메뉴 건너뛰기




Volumn 53, Issue 3, 1999, Pages 439-466

Investor flows and the assessed performance of open-end mutual funds

Author keywords

G23; G29; Market timing; Mutual fund flows; Mutual fund performance

Indexed keywords


EID: 0000446210     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(99)00028-8     Document Type: Article
Times cited : (397)

References (47)
  • 1
    • 0009164330 scopus 로고    scopus 로고
    • The performance of hedge funds: Risk, return, and incentives
    • forthcoming
    • Ackermann, C., McEnally, R., Ravenscraft, D., 1999. The performance of hedge funds: risk, return, and incentives. Journal of Finance, forthcoming.
    • (1999) Journal of Finance
    • Ackermann, C.1    McEnally, R.2    Ravenscraft, D.3
  • 2
    • 0001547698 scopus 로고
    • Direct and indirect sale of information
    • Admati A., Pfliederer P. Direct and indirect sale of information. Econometrica. 58:1990;901-928.
    • (1990) Econometrica , vol.58 , pp. 901-928
    • Admati, A.1    Pfliederer, P.2
  • 3
    • 0000664813 scopus 로고
    • Private benefits from block ownership and discounts on closed-end funds
    • Barclay M., Holderness C., Pontiff J. Private benefits from block ownership and discounts on closed-end funds. Journal of Financial Economics. 33:1993;263-292.
    • (1993) Journal of Financial Economics , vol.33 , pp. 263-292
    • Barclay, M.1    Holderness, C.2    Pontiff, J.3
  • 6
    • 0011063897 scopus 로고    scopus 로고
    • Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry
    • Brown K., Harlow W., Starks L. Of tournaments and temptations. an analysis of managerial incentives in the mutual fund industry Journal of Finance. 51:1996;85-110.
    • (1996) Journal of Finance , vol.51 , pp. 85-110
    • Brown, K.1    Harlow, W.2    Starks, L.3
  • 7
    • 0002624840 scopus 로고    scopus 로고
    • On persistence in mutual fund performance
    • Carhart M. On persistence in mutual fund performance. Journal of Finance. 52:1997;57-82.
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.1
  • 9
    • 0002344777 scopus 로고
    • Market timing and mutual fund investment performance
    • Chang E., Lewellen W. Market timing and mutual fund investment performance. Journal of Business. 57:1984;57-72.
    • (1984) Journal of Business , vol.57 , pp. 57-72
    • Chang, E.1    Lewellen, W.2
  • 10
    • 0001551506 scopus 로고    scopus 로고
    • Risk taking by mutual funds as a response to incentives
    • Chevalier J., Ellison G. Risk taking by mutual funds as a response to incentives. Journal of Political Economy. 105:1997;1167-1200.
    • (1997) Journal of Political Economy , vol.105 , pp. 1167-1200
    • Chevalier, J.1    Ellison, G.2
  • 11
    • 0030140198 scopus 로고    scopus 로고
    • The structure of mutual fund charges
    • Chordia T. The structure of mutual fund charges. Journal of Financial Economics. 41:1996;3-39.
    • (1996) Journal of Financial Economics , vol.41 , pp. 3-39
    • Chordia, T.1
  • 14
    • 0010858944 scopus 로고    scopus 로고
    • The persistence of risk-adjusted mutual fund performance
    • Elton E., Gruber M., Blake C. The persistence of risk-adjusted mutual fund performance. Journal of Business. 69:1996;133-157.
    • (1996) Journal of Business , vol.69 , pp. 133-157
    • Elton, E.1    Gruber, M.2    Blake, C.3
  • 15
    • 21144474059 scopus 로고
    • Efficiency with costly information: A reinterpretation of evidence from managed portfolios
    • Elton E., Gruber M., Das S., Hlavka M. Efficiency with costly information. a reinterpretation of evidence from managed portfolios Review of Financial Studies. 6:1993;1-22.
    • (1993) Review of Financial Studies , vol.6 , pp. 1-22
    • Elton, E.1    Gruber, M.2    Das, S.3    Hlavka, M.4
  • 16
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama E., Macbeth J. Risk, return, and equilibrium. empirical tests Journal of Political Economy. 71:1973;607-636.
    • (1973) Journal of Political Economy , vol.71 , pp. 607-636
    • Fama, E.1    MacBeth, J.2
  • 17
    • 0039056070 scopus 로고    scopus 로고
    • Measuring fund strategy and performance in changing economic conditions
    • Ferson W., Schadt R. Measuring fund strategy and performance in changing economic conditions. Journal of Finance. 51:1996;425-462.
    • (1996) Journal of Finance , vol.51 , pp. 425-462
    • Ferson, W.1    Schadt, R.2
  • 18
    • 0003121535 scopus 로고    scopus 로고
    • Evaluating fund performance in a dynamic market
    • Ferson W., Warther V. Evaluating fund performance in a dynamic market. Financial Analysts Journal. 52:1996;20-28.
    • (1996) Financial Analysts Journal , vol.52 , pp. 20-28
    • Ferson, W.1    Warther, V.2
  • 20
    • 0001264756 scopus 로고
    • Mutual fund performance: An analysis of quarterly portfolio holdings
    • Grinblatt M., Titman S. Mutual fund performance. an analysis of quarterly portfolio holdings Journal of Business. 62:1989;393-416.
    • (1989) Journal of Business , vol.62 , pp. 393-416
    • Grinblatt, M.1    Titman, S.2
  • 21
    • 21144484811 scopus 로고
    • Portfolio performance evaluation: Old issues and new insights
    • Grinblatt M., Titman S. Portfolio performance evaluation. old issues and new insights Review of Financial Studies. 2:1989;396-422.
    • (1989) Review of Financial Studies , vol.2 , pp. 396-422
    • Grinblatt, M.1    Titman, S.2
  • 22
    • 84993660461 scopus 로고
    • Performance persistence in mutual funds
    • Grinblatt M., Titman S. Performance persistence in mutual funds. Journal of Finance. 47:1992;1977-1984.
    • (1992) Journal of Finance , vol.47 , pp. 1977-1984
    • Grinblatt, M.1    Titman, S.2
  • 23
    • 21144478549 scopus 로고
    • Performance measurement without benchmarks: An examination of mutual fund returns
    • Grinblatt M., Titman S. Performance measurement without benchmarks. an examination of mutual fund returns Journal of Business. 66:1993;47-68.
    • (1993) Journal of Business , vol.66 , pp. 47-68
    • Grinblatt, M.1    Titman, S.2
  • 25
    • 0000741932 scopus 로고
    • Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior
    • Grinblatt M., Titman S., Wermers R. Momentum investment strategies, portfolio performance, and herding. a study of mutual fund behavior The American Economic Review. 85:1995;1088-1105.
    • (1995) The American Economic Review , vol.85 , pp. 1088-1105
    • Grinblatt, M.1    Titman, S.2    Wermers, R.3
  • 26
    • 84944832265 scopus 로고
    • On the efficiency of competitive stock markets where trades have diverse information
    • Grossman S. On the efficiency of competitive stock markets where trades have diverse information. Journal of Finance. 31:1976;573-585.
    • (1976) Journal of Finance , vol.31 , pp. 573-585
    • Grossman, S.1
  • 27
    • 0001188867 scopus 로고
    • On the impossibility of informationally efficient markets
    • Grossman S., Stiglitz J. On the impossibility of informationally efficient markets. American Economic Review. 70:1980;393-408.
    • (1980) American Economic Review , vol.70 , pp. 393-408
    • Grossman, S.1    Stiglitz, J.2
  • 28
    • 0039056269 scopus 로고    scopus 로고
    • Another puzzle: The growth of actively managed mutual funds
    • Gruber M. Another puzzle. the growth of actively managed mutual funds Journal of Finance. 51:1996;783-810.
    • (1996) Journal of Finance , vol.51 , pp. 783-810
    • Gruber, M.1
  • 29
    • 0000088496 scopus 로고
    • On the aggregation of information in competitive markets
    • Hellwig M. On the aggregation of information in competitive markets. Journal of Economic Theory. 22:1980;477-498.
    • (1980) Journal of Economic Theory , vol.22 , pp. 477-498
    • Hellwig, M.1
  • 30
    • 84993917531 scopus 로고
    • Hot hands in mutual funds: Short run persistence of relative performance, 1974-1988
    • Hendricks D., Patel J., Zeckhauser R. Hot hands in mutual funds. short run persistence of relative performance, 1974-1988 Journal of Finance. 48:1993;93-131.
    • (1993) Journal of Finance , vol.48 , pp. 93-131
    • Hendricks, D.1    Patel, J.2    Zeckhauser, R.3
  • 31
    • 0002500773 scopus 로고
    • Market timing and mutual fund performance: An empirical investigation
    • Henriksson R. Market timing and mutual fund performance. an empirical investigation Journal of Business. 57:1984;73-96.
    • (1984) Journal of Business , vol.57 , pp. 73-96
    • Henriksson, R.1
  • 32
    • 0001309573 scopus 로고
    • On market timing and investment performance: Statistical procedures for evaluating forecasting skills
    • Henriksson R., Merton R. On market timing and investment performance. statistical procedures for evaluating forecasting skills Journal of Business. 54:1981;513-533.
    • (1981) Journal of Business , vol.54 , pp. 513-533
    • Henriksson, R.1    Merton, R.2
  • 33
    • 79953230734 scopus 로고
    • Consumer reaction to measures of poor quality: Evidence from the mutual fund industry
    • Ippolito R. Consumer reaction to measures of poor quality. evidence from the mutual fund industry Journal of Law & Economics. 35:1992;45-70.
    • (1992) Journal of Law & Economics , vol.35 , pp. 45-70
    • Ippolito, R.1
  • 34
    • 0000849010 scopus 로고
    • Assessing the market timing performance of managed portfolios
    • Jagannathan R., Korajczyk R. Assessing the market timing performance of managed portfolios. Journal of Business. 59:1986;217-235.
    • (1986) Journal of Business , vol.59 , pp. 217-235
    • Jagannathan, R.1    Korajczyk, R.2
  • 35
    • 0000486548 scopus 로고
    • The performance of mutual funds in the period 1945-1964
    • Jensen M. The performance of mutual funds in the period 1945-1964. Journal of Finance. 23:1968;389-416.
    • (1968) Journal of Finance , vol.23 , pp. 389-416
    • Jensen, M.1
  • 36
    • 0003250652 scopus 로고
    • Optimal use of market forecasts and the evaluation of investment performance
    • Amsterdam: North Holland/American Elsevier
    • Jensen M. Optimal use of market forecasts and the evaluation of investment performance. Szego and Shell, Mathematical Models in Investment and Finance. 1972;North Holland/American Elsevier, Amsterdam.
    • (1972) Szego and Shell, Mathematical Models in Investment and Finance
    • Jensen, M.1
  • 37
    • 0000037402 scopus 로고
    • The market timing performance of mutual fund managers
    • Kon S. The market timing performance of mutual fund managers. Journal of Business. 56:1983;323-347.
    • (1983) Journal of Business , vol.56 , pp. 323-347
    • Kon, S.1
  • 38
    • 0001215569 scopus 로고
    • The investment performance of mutual funds: An empirical investigation of timing, selectivity and market efficiency
    • Kon S., Jen F. The investment performance of mutual funds. an empirical investigation of timing, selectivity and market efficiency Journal of Business. 52:1979;263-289.
    • (1979) Journal of Business , vol.52 , pp. 263-289
    • Kon, S.1    Jen, F.2
  • 40
    • 84977716317 scopus 로고
    • Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons
    • Lehmann B., Modest D. Mutual fund performance evaluation. a comparison of benchmarks and benchmark comparisons Journal of Finance. 42:1987;233-265.
    • (1987) Journal of Finance , vol.42 , pp. 233-265
    • Lehmann, B.1    Modest, D.2
  • 42
    • 84993848940 scopus 로고
    • Returns from investing in equity mutual funds 1971-1991
    • Malkiel B. Returns from investing in equity mutual funds 1971-1991. Journal of Finance. 50:1995;549-572.
    • (1995) Journal of Finance , vol.50 , pp. 549-572
    • Malkiel, B.1
  • 43
    • 0012342228 scopus 로고
    • Is fund growth related to fund performance?
    • Smith, K. 1978. Is fund growth related to fund performance? Journal of Portfolio Management 5, 49-54.
    • (1978) Journal of Portfolio Management , vol.5 , pp. 49-54
    • Smith, K.1
  • 44
    • 0005163859 scopus 로고    scopus 로고
    • Costly search and mutual fund flows
    • Sirri E., Tufano P. Costly search and mutual fund flows. Journal of Finance. 53:1998;1589-1622.
    • (1998) Journal of Finance , vol.53 , pp. 1589-1622
    • Sirri, E.1    Tufano, P.2
  • 45
    • 0001739404 scopus 로고    scopus 로고
    • Can mutual funds outguess the market?
    • Treynor, J., Mazuy, F., 1998. Can mutual funds outguess the market? Harvard Business Review 45, 131-136.
    • (1998) Harvard Business Review , vol.45 , pp. 131-136
    • Treynor, J.1    Mazuy, F.2
  • 46
    • 0000125897 scopus 로고
    • Information acquisition in a noisy rational expectations economy
    • Verrecchia R. Information acquisition in a noisy rational expectations economy. Econometrica. 50:1982;1415-1430.
    • (1982) Econometrica , vol.50 , pp. 1415-1430
    • Verrecchia, R.1
  • 47
    • 0001273817 scopus 로고
    • Aggregate mutual fund flows and security returns
    • Warther V. Aggregate mutual fund flows and security returns. Journal of Financial Economics. 39:1995;209-236.
    • (1995) Journal of Financial Economics , vol.39 , pp. 209-236
    • Warther, V.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.