-
1
-
-
0001836487
-
Measuring investment performance in a rational expectations model
-
Admati, A.R. and S.A. Ross, 1985, Measuring investment performance in a rational expectations model, Journal of Business 58, 1-26.
-
(1985)
Journal of Business
, vol.58
, pp. 1-26
-
-
Admati, A.R.1
Ross, S.A.2
-
2
-
-
0002368438
-
Evaluating benchmark quality
-
Bailey, J.V., 1992, Evaluating benchmark quality, Financial Analysts Journal 48, 33-39.
-
(1992)
Financial Analysts Journal
, vol.48
, pp. 33-39
-
-
Bailey, J.V.1
-
4
-
-
0002773672
-
An empirical examination of international mutual fund performance
-
Block, S.B., M.T. Stanley and S.M. Sneddon, 1989, An empirical examination of international mutual fund performance, Journal of International Finance 1, 73-94.
-
(1989)
Journal of International Finance
, vol.1
, pp. 73-94
-
-
Block, S.B.1
Stanley, M.T.2
Sneddon, S.M.3
-
5
-
-
0002593137
-
Problems in evaluating the performance of portfolios with options
-
Bookstaber, R. and R. Clarke, 1985, Problems in evaluating the performance of portfolios with options, Financial Analysts Journal 41, 48-62.
-
(1985)
Financial Analysts Journal
, vol.41
, pp. 48-62
-
-
Bookstaber, R.1
Clarke, R.2
-
6
-
-
84977711495
-
The number of factors in security returns
-
Brown, S.J., 1989, The number of factors in security returns, Journal of Finance 44, 1247-1262.
-
(1989)
Journal of Finance
, vol.44
, pp. 1247-1262
-
-
Brown, S.J.1
-
7
-
-
84944833063
-
A new approach to testing asset pricing models: The bilinear paradigm
-
Brown, S.J. and M.I. Weinstein, 1983, A new approach to testing asset pricing models: The bilinear paradigm, Journal of Finance 38, 711-743.
-
(1983)
Journal of Finance
, vol.38
, pp. 711-743
-
-
Brown, S.J.1
Weinstein, M.I.2
-
9
-
-
1242300561
-
Survivorship bias in performance studies
-
Brown, S.J., W. Goetzmann, R.G. Ibbotson and S.A. Ross, 1992, Survivorship bias in performance studies, Review of Financial Studies 5, 553-580.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 553-580
-
-
Brown, S.J.1
Goetzmann, W.2
Ibbotson, R.G.3
Ross, S.A.4
-
10
-
-
84986524527
-
An arbitrage pricing approach to evaluating mutual fund performance
-
Chang, E.C. and W.G. Lewellen, 1985, An arbitrage pricing approach to evaluating mutual fund performance, Journal of Financial Research 8, 15-30.
-
(1985)
Journal of Financial Research
, vol.8
, pp. 15-30
-
-
Chang, E.C.1
Lewellen, W.G.2
-
11
-
-
84944835230
-
Some empirical tests of the theory of arbitrage pricing
-
Chen, N., 1983, Some empirical tests of the theory of arbitrage pricing, Journal of Finance 38, 1393-1414.
-
(1983)
Journal of Finance
, vol.38
, pp. 1393-1414
-
-
Chen, N.1
-
12
-
-
0011610182
-
A comparison of single and multifactor portfolio performance methodologies
-
Chen, N., T.E. Copeland and D. Mayers, 1987, A comparison of single and multifactor portfolio performance methodologies, Journal of Financial and Quantitative Analysis 22, 401-417.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 401-417
-
-
Chen, N.1
Copeland, T.E.2
Mayers, D.3
-
13
-
-
0001369142
-
Tests of equality between sets of coefficients in two linear regressions
-
Chow, G.C., 1960, Tests of equality between sets of coefficients in two linear regressions, Econometrica 28, 591-605.
-
(1960)
Econometrica
, vol.28
, pp. 591-605
-
-
Chow, G.C.1
-
14
-
-
84993901783
-
The investment performance of U.S. equity pension fund managers: An empirical investigation
-
Coggin, T.D., F.J. Fabozzi and S. Rahman, 1993, The investment performance of U.S. equity pension fund managers: An empirical investigation, Journal of Finance 48, 1039-1055.
-
(1993)
Journal of Finance
, vol.48
, pp. 1039-1055
-
-
Coggin, T.D.1
Fabozzi, F.J.2
Rahman, S.3
-
15
-
-
0000436587
-
Performance measurement with the arbitrage pricing theory: A new framework for analysis
-
Connor, G. and R.A. Korajczyk, 1986, Performance measurement with the arbitrage pricing theory: A new framework for analysis, Journal of Financial Economics 15, 373-394.
-
(1986)
Journal of Financial Economics
, vol.15
, pp. 373-394
-
-
Connor, G.1
Korajczyk, R.A.2
-
16
-
-
0003132162
-
The attributes, behavior, and performance of U.S. mutual funds
-
Connor, G. and R.A. Korajczyk, 1991, The attributes, behavior, and performance of U.S. mutual funds, Review of Quantitative Finance and Accounting 1, 5-26.
-
(1991)
Review of Quantitative Finance and Accounting
, vol.1
, pp. 5-26
-
-
Connor, G.1
Korajczyk, R.A.2
-
17
-
-
0011620518
-
A new alternative trade-weighted dollar exchange rate index
-
Sept.
-
Cox, W.M., 1986, A new alternative trade-weighted dollar exchange rate index, Federal Reserve Bank of Dallas Economic Review, Sept., 20-28.
-
(1986)
Federal Reserve Bank of Dallas Economic Review
, pp. 20-28
-
-
Cox, W.M.1
-
18
-
-
84977716189
-
Evaluating the performance of international mutual funds
-
Cumby, R.E. and J.D. Glen, 1990, Evaluating the performance of international mutual funds, Journal of Finance 45, 497-521.
-
(1990)
Journal of Finance
, vol.45
, pp. 497-521
-
-
Cumby, R.E.1
Glen, J.D.2
-
19
-
-
84986522921
-
Investment performance of international mutual funds
-
Droms, W.G. and D.A. Walker, 1994, Investment performance of international mutual funds, Journal of Financial Research 27, 1-14.
-
(1994)
Journal of Financial Research
, vol.27
, pp. 1-14
-
-
Droms, W.G.1
Walker, D.A.2
-
20
-
-
0000863848
-
The analytics of performance measurement using a security market line
-
Dybvig, P.H. and S.A. Ross, 1985, The analytics of performance measurement using a security market line, Journal of Finance 40, 401-416.
-
(1985)
Journal of Finance
, vol.40
, pp. 401-416
-
-
Dybvig, P.H.1
Ross, S.A.2
-
21
-
-
0002583220
-
U.S.-based international mutual funds: A performance evaluation
-
Eun, C.S., R. Kolodny and B.G. Resnick, 1991, U.S.-based international mutual funds: A performance evaluation, Journal of Portfolio Management 17, 88-94.
-
(1991)
Journal of Portfolio Management
, vol.17
, pp. 88-94
-
-
Eun, C.S.1
Kolodny, R.2
Resnick, B.G.3
-
22
-
-
0011553414
-
Common sense on CAPM, APT, and correlated residuals
-
Fogler, H.R., 1982, Common sense on CAPM, APT, and correlated residuals, Journal of Portfolio Management 8, 20-28.
-
(1982)
Journal of Portfolio Management
, vol.8
, pp. 20-28
-
-
Fogler, H.R.1
-
24
-
-
0003506109
-
-
MacMillan, New York
-
Hair, J.F. Jr., R.E. Anderson, R.L. Tatham and W.C. Black, 1991, Multivariate data analysis, Third edition, (MacMillan, New York).
-
(1991)
Multivariate Data Analysis, Third Edition
-
-
Hair J.F., Jr.1
Anderson, R.E.2
Tatham, R.L.3
Black, W.C.4
-
25
-
-
0000615046
-
Risk, the pricing of capital assets, and the evaluation of investment portfolios
-
Jensen, M.C., 1969, Risk, the pricing of capital assets, and the evaluation of investment portfolios, Journal of Business 42, 167-247.
-
(1969)
Journal of Business
, vol.42
, pp. 167-247
-
-
Jensen, M.C.1
-
26
-
-
0003250652
-
Optimal utilization of market forecasts and the evaluation of investment portfolio performance
-
G.P. Szego and K. Shell, eds. (North-Holland, Amsterdam)
-
Jensen, M.C., 1972, Optimal utilization of market forecasts and the evaluation of investment portfolio performance, In: G.P. Szego and K. Shell, eds., Mathematical methods in investment and finance (North-Holland, Amsterdam).
-
(1972)
Mathematical Methods in Investment and Finance
-
-
Jensen, M.C.1
-
28
-
-
0000037402
-
The market-timing performance of mutual fund managers
-
Kon, S.J., 1983, The market-timing performance of mutual fund managers, Journal of Business 56, 323-347.
-
(1983)
Journal of Business
, vol.56
, pp. 323-347
-
-
Kon, S.J.1
-
29
-
-
84977732703
-
Orthogonal frontiers and alternative mean-variance efficiency tests
-
Lehmann, B.N., 1987, Orthogonal frontiers and alternative mean-variance efficiency tests, Journal of Finance 42, 601-619.
-
(1987)
Journal of Finance
, vol.42
, pp. 601-619
-
-
Lehmann, B.N.1
-
30
-
-
84977716317
-
Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons
-
Lehmann, B.N. and D.M. Modest, 1987, Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons, Journal of Finance 42, 233-265.
-
(1987)
Journal of Finance
, vol.42
, pp. 233-265
-
-
Lehmann, B.N.1
Modest, D.M.2
-
31
-
-
84986492793
-
APT vs. CAPM estimates of the return-generating function parameters for regulated public utilities
-
Pettway, R.H. and B.D. Jordan, 1987, APT vs. CAPM estimates of the return-generating function parameters for regulated public utilities, Journal of Financial Research 10, 227-238.
-
(1987)
Journal of Financial Research
, vol.10
, pp. 227-238
-
-
Pettway, R.H.1
Jordan, B.D.2
-
32
-
-
0003534449
-
-
Dryden, Fort Worth, TX
-
Reilly, F.K., 1994, Investment analysis and portfolio management, Fourth edition (Dryden, Fort Worth, TX).
-
(1994)
Investment Analysis and Portfolio Management, Fourth Edition
-
-
Reilly, F.K.1
-
33
-
-
0029715277
-
The benchmark error problem with global capital markets
-
Reilly, F.K., and R.A. Akhtar, 1995, The benchmark error problem with global capital markets, Journal of Portfolio Management 22, 33-52.
-
(1995)
Journal of Portfolio Management
, vol.22
, pp. 33-52
-
-
Reilly, F.K.1
Akhtar, R.A.2
-
34
-
-
84977397160
-
An empirical investigation of the arbitrage pricing theory
-
Roll, R., and S.A. Ross, 1980, An empirical investigation of the arbitrage pricing theory, Journal of Finance 35, 1073-1103.
-
(1980)
Journal of Finance
, vol.35
, pp. 1073-1103
-
-
Roll, R.1
Ross, S.A.2
-
35
-
-
0039473752
-
A critique of the asset pricing theory's tests; Part I: On the past and potential testability of the theory
-
Roll, R., 1977, A critique of the asset pricing theory's tests; Part I: On the past and potential testability of the theory, Journal of Financial Economics 4, 129-176.
-
(1977)
Journal of Financial Economics
, vol.4
, pp. 129-176
-
-
Roll, R.1
-
36
-
-
0003234216
-
International fixed income investing: Theory and practice
-
F.J. Fabozzi ed. (Irwin Business One, Hornewood, IL)
-
Rosenberg, M.R., 1991, International fixed income investing: Theory and practice, In: F.J. Fabozzi ed., The handbook of fixed income securities, Third edition (Irwin Business One, Hornewood, IL).
-
(1991)
The Handbook of Fixed Income Securities, Third Edition
-
-
Rosenberg, M.R.1
-
37
-
-
0001752951
-
Mutual fund performance
-
Sharpe, W.F., 1966, Mutual fund performance, Journal of Business 39, 119-138.
-
(1966)
Journal of Business
, vol.39
, pp. 119-138
-
-
Sharpe, W.F.1
-
38
-
-
0001537228
-
Sequential tests of the arbitrage pricing theory: A comparison of principal components and maximum likelihood factors
-
Shukla, R. and C.A. Trzcinka, 1990, Sequential tests of the arbitrage pricing theory: A comparison of principal components and maximum likelihood factors, Journal of Finance 45, 1541-1564.
-
(1990)
Journal of Finance
, vol.45
, pp. 1541-1564
-
-
Shukla, R.1
Trzcinka, C.A.2
-
39
-
-
0004265140
-
-
Addison-Wesley, Reading, MA
-
Solnik, B., 1991, International investments, Second edition (Addison-Wesley, Reading, MA).
-
(1991)
International Investments, Second Edition
-
-
Solnik, B.1
-
41
-
-
0002786256
-
Currency risks in international equity portfolios
-
Thomas, L.B., III, 1988, Currency risks in international equity portfolios, Financial Analysts Journal 44, 68-71.
-
(1988)
Financial Analysts Journal
, vol.44
, pp. 68-71
-
-
Thomas L.B. III1
-
43
-
-
0001739404
-
Can mutual funds outguess the market?
-
Treynor, J.L. and F. Mazuy, 1966, Can mutual funds outguess the market?, Harvard Business Review 45, 131-136.
-
(1966)
Harvard Business Review
, vol.45
, pp. 131-136
-
-
Treynor, J.L.1
Mazuy, F.2
|