The mutual fund data come from the 1998 CRSP Survivor Bias FreeMutual Fund Database. Our initial sample contains 2,609 domestic equity mutual funds. We exclude multiple share classes for the same fund as well as funds with only a year or less of available returns. The initial sample is used to obtain the values of the prior parameters in the empirical Bayes pro- cedure mentioned previously. To form the investment universe, we reduce the initial sample of 2,609 funds to the 503 funds that (i) charge no load fee, (ii) exist at the end of 1998, (iii) have at least 36 months of return history under.
