-
1
-
-
0012231887
-
The impact of regulatory restrictions on fund performance: A comparative study of hedge funds and mutual funds
-
Working Paper, University of Notre-Dame
-
Ackermann C. Ravenscraft D. 1998 The impact of regulatory restrictions on fund performance: a comparative study of hedge funds and mutual funds. Working Paper, University of Notre-Dame.
-
(1998)
-
-
Ackermann, C.1
Ravenscraft, D.2
-
3
-
-
23544435878
-
Intertemporal variation in the performance of hedge funds employing a contingent-claim-based benchmark
-
Working Paper, London Business School
-
Agarwal V. 2001 Intertemporal variation in the performance of hedge funds employing a contingent-claim-based benchmark. Working Paper, London Business School.
-
(2001)
-
-
Agarwal, V.1
-
5
-
-
23544480031
-
Characterizing systematic risk of hedge funds with buy-and-hold and option-based strategies
-
Working Paper, London Business School
-
Agarwal V. Naik N.Y. 2002 Characterizing systematic risk of hedge funds with buy-and-hold and option-based strategies. Working Paper, London Business School.
-
(2002)
-
-
Agarwal, V.1
Naik, N.Y.2
-
6
-
-
0347432686
-
In search of true performance: Testing benchmark-model validity in managed funds context
-
Working Paper, Edith Cowan University
-
Allen D.E. Soucik V. 2000 In search of true performance: testing benchmark-model validity in managed funds context. Working Paper, Edith Cowan University.
-
(2000)
-
-
Allen, D.E.1
Soucik, V.2
-
7
-
-
0010853893
-
Hedge fund performance 1990-2000: Do the 'money machine' really add value?
-
Working Paper, ISMA Center, The University of Reading
-
Amin G.S. Kat H.M. 2001 Hedge fund performance 1990-2000: do the 'money machine' really add value?. Working Paper, ISMA Center, The University of Reading.
-
(2001)
-
-
Amin, G.S.1
Kat, H.M.2
-
9
-
-
0010023511
-
The relationship between returns and market value of common stocks
-
Banz R.W. The relationship between returns and market value of common stocks Journal of Financial Economics 9 1981 3-18
-
(1981)
Journal of Financial Economics
, vol.9
, pp. 3-18
-
-
Banz, R.W.1
-
10
-
-
0040197221
-
The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence
-
Basu S. The relationship between earnings yield, market value, and return for NYSE common stocks: further evidence Journal of Financial Economics 12 1983 129-156
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 129-156
-
-
Basu, S.1
-
11
-
-
84977705340
-
Debt/equity ratio and expected common stocks returns: Empirical evidence
-
Bhetari L.C. Debt/equity ratio and expected common stocks returns: empirical evidence Journal of Finance 43 1988 507-528
-
(1988)
Journal of Finance
, vol.43
, pp. 507-528
-
-
Bhetari, L.C.1
-
12
-
-
0009713512
-
An intertemporal asset pricing model with stochastic consumption and investment opportunities
-
Breeden D.T. An intertemporal asset pricing model with stochastic consumption and investment opportunities Journal of Financial Economics 7 1979 265-276
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 265-276
-
-
Breeden, D.T.1
-
17
-
-
0013389149
-
Careers and survival: Competition and risk in the hedge fund and CTA industry
-
Brown S.J. Goetzmann W.N. Park J. Careers and survival: competition and risk in the hedge fund and CTA industry Journal of Finance 56 2001 1869-1886
-
(2001)
Journal of Finance
, vol.56
, pp. 1869-1886
-
-
Brown, S.J.1
Goetzmann, W.N.2
Park, J.3
-
18
-
-
0003905942
-
Survivor bias and mutual funds performance
-
Working Paper, School of Business Administration, University of Southern California
-
Carhart M.M. 1995 Survivor bias and mutual funds performance. Working Paper, School of Business Administration, University of Southern California.
-
(1995)
-
-
Carhart, M.M.1
-
19
-
-
0002624840
-
On persistence in mutual fund performance
-
Carhart M.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.M.1
-
22
-
-
0039561990
-
Measuring mutual fund performance with characteristic-based benchmark
-
Daniel K. Grinblatt M. Titman S. Wermers R. Measuring mutual fund performance with characteristic-based benchmark Journal of Finance 7 1997 1035-1058
-
(1997)
Journal of Finance
, vol.7
, pp. 1035-1058
-
-
Daniel, K.1
Grinblatt, M.2
Titman, S.3
Wermers, R.4
-
23
-
-
21144474059
-
Efficiency with costly information: A re-interpretation of evidence from managed portfolios
-
Elton E. Gruber M. Das S. Hlavka M. Efficiency with costly information: a re-interpretation of evidence from managed portfolios Review of Financial Studies 6 1993 1-21
-
(1993)
Review of Financial Studies
, vol.6
, pp. 1-21
-
-
Elton, E.1
Gruber, M.2
Das, S.3
Hlavka, M.4
-
25
-
-
84977737676
-
The cross-section of expected returns
-
Fama E.F. French K.R. The cross-section of expected returns Journal of Finance 47 1992 427-465
-
(1992)
Journal of Finance
, vol.47
, pp. 427-465
-
-
Fama, E.F.1
French, K.R.2
-
26
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama E.F. French K.R. Common risk factors in the returns on stocks and bonds Journal of Financial Economics 33 1993 3-56
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.F.1
French, K.R.2
-
27
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
Fama E.F. French K.R. Multifactor explanations of asset pricing anomalies Journal of Finance 51 1996 55-84
-
(1996)
Journal of Finance
, vol.51
, pp. 55-84
-
-
Fama, E.F.1
French, K.R.2
-
28
-
-
11544342489
-
Value versus growth: The international evidence
-
Fama E.F. French K.R. Value versus growth: the international evidence Journal of Finance 1998 1975-1999
-
(1998)
Journal of Finance
, pp. 1975-1999
-
-
Fama, E.F.1
French, K.R.2
-
29
-
-
0039030368
-
Characteristics, covariances, and average returns: 1929-1997
-
Fama E.F. French K.R. Characteristics, covariances, and average returns: 1929-1997 Journal of Finance 55 2000 389-406
-
(2000)
Journal of Finance
, vol.55
, pp. 389-406
-
-
Fama, E.F.1
French, K.R.2
-
30
-
-
0031519866
-
Empirical characteristics of dynamic trading strategies: The case of hedge funds
-
Fung W. Hsieh D.A. Empirical characteristics of dynamic trading strategies: the case of hedge funds Review of Financial Studies 10 1997 275-302
-
(1997)
Review of Financial Studies
, vol.10
, pp. 275-302
-
-
Fung, W.1
Hsieh, D.A.2
-
31
-
-
0034416371
-
Performance characteristics of hedge funds and commodity funds: Natural vs spurious biases
-
Fung W. Hsieh D.A. Performance characteristics of hedge funds and commodity funds: natural vs spurious biases Journal of Quantitative and Financial Analysis 35 2000 291-307
-
(2000)
Journal of Quantitative and Financial Analysis
, vol.35
, pp. 291-307
-
-
Fung, W.1
Hsieh, D.A.2
-
32
-
-
0035595435
-
The risk of hedge funds strategies: Theory and evidence from trend followers
-
Fung W. Hsieh D.A. The risk of hedge funds strategies: theory and evidence from trend followers Review of Financial Studies 14 2001 313-341
-
(2001)
Review of Financial Studies
, vol.14
, pp. 313-341
-
-
Fung, W.1
Hsieh, D.A.2
-
34
-
-
0001264756
-
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
-
35
-
-
84993660461
-
The persistence of mutual fund performance
-
Grinblatt M. Titman S. The persistence of mutual fund performance Journal of Finance 42 1992 1977-1984
-
(1992)
Journal of Finance
, vol.42
, pp. 1977-1984
-
-
Grinblatt, M.1
Titman, S.2
-
36
-
-
84971947408
-
A study of monthly mutual fund returns and performance evaluation techniques
-
Grinblatt M. Titman S. A study of monthly mutual fund returns and performance evaluation techniques Journal of Financial and Quantitative Analysis 29 1994 419-444
-
(1994)
Journal of Financial and Quantitative Analysis
, vol.29
, pp. 419-444
-
-
Grinblatt, M.1
Titman, S.2
-
37
-
-
0000741932
-
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 American Economic Review 85 1995
-
(1995)
American Economic Review
, vol.85
-
-
Grinblatt, M.1
Titman, S.2
Wermers, R.3
-
38
-
-
0039056269
-
Another puzzle: The growth in actively managed mutual funds
-
Gruber M.J. Another puzzle: the growth in actively managed mutual funds Journal of Finance 51 1996 783-810
-
(1996)
Journal of Finance
, vol.51
, pp. 783-810
-
-
Gruber, M.J.1
-
39
-
-
84993917531
-
Hot hands in mutual funds: Short-run persistence of performance, 1974-88
-
Hendricks D. Patel J. Zeckhauser R. Hot hands in mutual funds: short-run persistence of performance, 1974-88 Journal of Finance 48 1993 93-130
-
(1993)
Journal of Finance
, vol.48
, pp. 93-130
-
-
Hendricks, D.1
Patel, J.2
Zeckhauser, R.3
-
40
-
-
0002311906
-
Efficiency with costly information: A study of mutual fund performance
-
Ippolito R.A. Efficiency with costly information: a study of mutual fund performance Quarterly Journal of Economics 104 1989 1-24
-
(1989)
Quarterly Journal of Economics
, vol.104
, pp. 1-24
-
-
Ippolito, R.A.1
-
41
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for stock market efficiency
-
Jegadeesh N. Titman S. Returns to buying winners and selling losers: implications for stock market efficiency Journal of Finance 48 1993 93-130
-
(1993)
Journal of Finance
, vol.48
, pp. 93-130
-
-
Jegadeesh, N.1
Titman, S.2
-
42
-
-
0000486548
-
The performance of mutual funds in the period 1945-1964
-
Jensen M.C. 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.C.1
-
43
-
-
0000615046
-
Risk, the pricing of capital assets and evaluation of investment portfolios
-
Jensen M.C. Risk, the pricing of capital assets and evaluation of investment portfolios Journal of Business 42 1969 167-247
-
(1969)
Journal of Business
, vol.42
, pp. 167-247
-
-
Jensen, M.C.1
-
45
-
-
84977716317
-
Mutual fund performance evaluation: A comparison of benchmarks and benchmarks comparisons
-
Lehmann B.N. Modest D.M. Mutual fund performance evaluation: a comparison of benchmarks and benchmarks comparisons Journal of Finance 42 1987 233-245
-
(1987)
Journal of Finance
, vol.42
, pp. 233-245
-
-
Lehmann, B.N.1
Modest, D.M.2
-
46
-
-
0006218042
-
On the performance of hedge funds
-
Liang B. On the performance of hedge funds Financial Analysts Journal 1999 72-85
-
(1999)
Financial Analysts Journal
, pp. 72-85
-
-
Liang, B.1
-
48
-
-
0037564444
-
Hedge funds performance: 1990-1999
-
January/February
-
Liang B. Hedge funds performance: 1990-1999 Financial Analysts Journal, January/February 2001 11-18
-
(2001)
Financial Analysts Journal
, pp. 11-18
-
-
Liang, B.1
-
49
-
-
0003114587
-
The valuation of risk assets and the selection of risky investments in stock portfolio and capital budgets
-
Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolio and capital budgets Review of Economics and Statistics 47 1965 13-37
-
(1965)
Review of Economics and Statistics
, vol.47
, pp. 13-37
-
-
Lintner, J.1
-
50
-
-
0000525598
-
The effects of personal taxes and dividends on capital asset prices: Theory and empirical evidence
-
Litzenberger R. Ramaswamy K. The effects of personal taxes and dividends on capital asset prices: theory and empirical evidence Journal of Financial Economics 7 1979 163-195
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 163-195
-
-
Litzenberger, R.1
Ramaswamy, K.2
-
51
-
-
0000983494
-
The effects of dividends on common stocks returns: Tax effects or information's effects?
-
Litzenberger R. Ramaswamy K. The effects of dividends on common stocks returns: tax effects or information's effects? Journal of Finance 37 1982 429-443
-
(1982)
Journal of Finance
, vol.37
, pp. 429-443
-
-
Litzenberger, R.1
Ramaswamy, K.2
-
52
-
-
84993848940
-
Returns from investing in equity mutual funds 1971 to 1991
-
Malkiel B.G. Returns from investing in equity mutual funds 1971 to 1991 Journal of Finance 50 1995 549-572
-
(1995)
Journal of Finance
, vol.50
, pp. 549-572
-
-
Malkiel, B.G.1
-
53
-
-
0040628315
-
Performance evaluation with transactions data: The stock selection of investment newsletters
-
Metrick E. Performance evaluation with transactions data: the stock selection of investment newsletters Journal of Finance 54 1999 1743-1775
-
(1999)
Journal of Finance
, vol.54
, pp. 1743-1775
-
-
Metrick, E.1
-
54
-
-
0006968004
-
Characteristics of risk and return in risk arbitrage
-
Mitchell M. Pulvino T. Characteristics of risk and return in risk arbitrage Journal of Finance 56 2001 2135-2175
-
(2001)
Journal of Finance
, vol.56
, pp. 2135-2175
-
-
Mitchell, M.1
Pulvino, T.2
-
55
-
-
0000706085
-
A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey W. West K. A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 1987 703-708
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
56
-
-
0010736088
-
Managed futures as an investment set
-
PhD Dissertation, Columbia University
-
Park J. 1995 Managed futures as an investment set. PhD Dissertation, Columbia University.
-
(1995)
-
-
Park, J.1
-
59
-
-
0347432679
-
Managed futures, hedge funds and mutual fund return estimation: A multi-factor approach
-
CISDM Working Paper
-
Schneeweis T. Spurgin R. 1997 Managed futures, hedge funds and mutual fund return estimation: a multi-factor approach. CISDM Working Paper.
-
(1997)
-
-
Schneeweis, T.1
Spurgin, R.2
-
60
-
-
0346326757
-
Multifactor analysis of hedge funds, managed futures and mutual fund return and risk characteristics
-
Schneeweis T. Spurgin R. Multifactor analysis of hedge funds, managed futures and mutual fund return and risk characteristics Journal of Alternative Investments 1 1998 1-24
-
(1998)
Journal of Alternative Investments
, vol.1
, pp. 1-24
-
-
Schneeweis, T.1
Spurgin, R.2
-
61
-
-
84980092818
-
Capital asset prices: A theory of market equilibrium under conditions of risk
-
Sharpe W.F. Capital asset prices: a theory of market equilibrium under conditions of risk Journal of Finance 19 1964 425-442
-
(1964)
Journal of Finance
, vol.19
, pp. 425-442
-
-
Sharpe, W.F.1
-
62
-
-
0002716956
-
Asset allocation: Management style and performance measurement
-
Sharpe W.F. Asset allocation: management style and performance measurement Journal of Portfolio Management 18 1992 7-19
-
(1992)
Journal of Portfolio Management
, vol.18
, pp. 7-19
-
-
Sharpe, W.F.1
-
63
-
-
0005163859
-
Costly search and mutual fund flows
-
Sirri E.R. 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.R.1
Tufano, P.2
-
64
-
-
0003550097
-
Momentum investment strategies of mutual funds, performance persistence, and survivorship bias
-
Working paper, Graduate School of Business and Administration, University of Colorado
-
Wermers R. 1996 Momentum investment strategies of mutual funds, performance persistence, and survivorship bias. Working paper, Graduate School of Business and Administration, University of Colorado.
-
(1996)
-
-
Wermers, R.1
-
65
-
-
0000956516
-
Is money smart? A study of mutual fund investor' fund selection ability
-
Zheng L. Is money smart? A study of mutual fund investor' fund selection ability Journal of Finance 54 1999 901-933
-
(1999)
Journal of Finance
, vol.54
, pp. 901-933
-
-
Zheng, L.1
|