Nonsimultaneous prices and the evaluation of managed portfolios in Spain

Applied Financial Economics

Volumn 9, Issue 3, 1999, Pages 273-281

  Basarrate, Begoña ^a   Rubio, Gonzalo ^a  

^a UNIVERSITY OF THE BASQUE COUNTRY UPV EHU   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040629734     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031099332348     Document Type: Article

References (22)

1. Ansótegui, C. and Esteban, M. (1996) The Spanish stock market in the long run. Working Paper, Universidad del País Vasco.
2. Brown, C., Goetzmann, W., Ibbotson, R. and Ross, S. (1992) Survivorship bias in performance studies, Review of Financial Studies, 5, 553-80.
3. Carhart, M. (1997) On persistence in mutual fund performance, Journal of Finance, 52, 57-82.
4. Chen, Z. and Knez, P. (1996) Portfolio performance measurement: theory and applications, Review of Financial Studies, 9, 511-55.
5. Christopherson, J., Ferson, W., and Glassman, D. (1998) Conditioning manager alphas on economic information: another look at the persistence of performance, Review of Financial Studies, 11, 111-42.
6. Elton, E., Gruber, M., Das, J. and Hlavka, M. (1993) Efficiency with costly information: a reinterpretation of evidence for managed portfolios, Review of Financial Studies, 6, 1-22.
7. Elton, E., Gruber, M. and Blake, C. (1996a) The persistence of risk-adjusted mutual fund performance, Journal of Business, 69, 133-57.
8. Elton, E., Gruber, M. and Blake, C. (1996b) Survivorship bias and mutual fund performance, Review of Financial Studies, 9, 1097-120.
9. Fama, E. and French, K. (1993) Common risk factors in the return on bonds and stocks, Journal of Financial Economics, 33, 3-56.
10. Ferson, W. and Schadt, R. (1996) Measuring fund strategy and performance in changing economic conditions, Journal of Finance, 51, 425-61.
11. Grinblatt, M. and Titman, S. (1992) Performance persistence in mutual funds, Journal of Finance, 47, 1977-84.
12. Grinblatt, M. and Titman, S. (1993) Performance measurement without benchmarks: an examination of mutual fund returns, Journal of Business, 66, 47-68.
13. Grinblatt, M. and Titman, S. (1994) A study of monthly mutual fund returns and performance evaluation techniques, Journal of Financial and Quantitative Analysis, 29, 419-44.
14. Gruber, M. (1996) Another puzzle: the growth in actively managed mutual funds, Journal of Finance, 51, 783-810.
15. Hendricks, D., Patel, J. and Zeckhauser, R. (1993) Hot hands in mutual funds: short-run persistence of performance, Journal of Finance, 48, 93-130.
16. Jagannathan, R. and Wang, Z. (1996) The conditional CAPM and the cross-section of expected returns, Journal of Finance, 51, 3-53.
17. Martínez, M. A. (1996) Legal constraints and performance of Spanish mutual funds (1996). Working Paper, Universidad del País Vasco.
18. Rubio, G. (1995) Further evidence on performance evaluation: portfolio holdings, recommendations, and turnover costs, Review of Quantitative Finance and Accounting, 5, 127-53.
19. Rubio, G. and Tapia, M. (1998) The liquidity premium in equity pricing under a continuous auction system, European Journal of Finance, 4, 1-28.
20. Shanken, J. (1990) Intertemporal asset pricing: an empirical investigation, Journal of Econometrics, 45, 99-120.
21. Treynor, J. and F. Black (1973) How to use security analysis to improve porfolio selection, Journal of Business, 46, 66-86.
22. Zheng, L. (1997). Is money smart? A study of mutual fund investors' fund selection ability, Working Paper, Yale School of Management.