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. Author manuscript; available in PMC: 2010 Mar 25.
Published in final edited form as: J Finance. 2009 Dec;64(6):2515–2534. doi: 10.1111/j.1540-6261.2009.01509.x

Table V. 401(k) Return Performance Persistence.

This table shows the results of regressing year t 401(k) portfolio alpha on year t – 1 401(k) portfolio alpha, where t goes from 1998 to 2000. Columns 2 and 4 interact t – 1 alpha with dummies for whether that alpha is positive or negative. The 3-factor alpha controls for the market return, size effect, and book-to-market effect. The 4-factor alpha also controls for stock price momentum. Standard errors, clustered by company × year × employee's state of residence in year t, are in parentheses below the point estimates.

3-factor alpha 4-factor alpha
αt−1 -0.1722**
(0.0520)		 0.0213
(0.0614)
at−1 × (αt −1 ≥ 0) -0.2389**
(0.0535)		 0.0912
(0.0859)
at−1 × (αt−1 < 0) 0.0276
(0.0488)		 -0.2061*
(0.0881)
Company × Year dummies Yes Yes Yes Yes
N 73,872 73,872 73,872 73,872