메뉴 건너뛰기




Volumn 81, Issue 2, 2006, Pages 339-377

Investing in mutual funds when returns are predictable

Author keywords

Asset allocation; Equity mutual funds; Time varying managerial skills

Indexed keywords


EID: 33745934211     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2005.05.010     Document Type: Article
Times cited : (182)

References (45)
  • 2
    • 0039147416 scopus 로고    scopus 로고
    • Variable selection for portfolio choice
    • Ait-Sahalia Y., and Brandt M. Variable selection for portfolio choice. Journal of Finance 56 (2001) 1297-1351
    • (2001) Journal of Finance , vol.56 , pp. 1297-1351
    • Ait-Sahalia, Y.1    Brandt, M.2
  • 3
    • 0036335816 scopus 로고    scopus 로고
    • Stock return predictability and model uncertainty
    • Avramov D. Stock return predictability and model uncertainty. Journal of Financial Economics 64 (2002) 423-458
    • (2002) Journal of Financial Economics , vol.64 , pp. 423-458
    • Avramov, D.1
  • 4
    • 4344711664 scopus 로고    scopus 로고
    • Stock return predictability and asset pricing models
    • Avramov D. Stock return predictability and asset pricing models. The Review of Financial Studies 17 (2004) 699-738
    • (2004) The Review of Financial Studies , vol.17 , pp. 699-738
    • Avramov, D.1
  • 5
    • 33745950313 scopus 로고    scopus 로고
    • Avramov, D., Chordia, T., 2005a. Asset pricing models and financial market anomalies. Review of Financial Studies, forthcoming.
  • 6
    • 33745963601 scopus 로고    scopus 로고
    • Avramov, D., Chordia, T., 2005b. Predicting stock returns. Journal of Financial Economics, forthcoming.
  • 7
    • 0040436698 scopus 로고    scopus 로고
    • Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation
    • Baks K.P., Metrick A., and Wachter J. Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation. Journal of Finance 56 (2001) 45-85
    • (2001) Journal of Finance , vol.56 , pp. 45-85
    • Baks, K.P.1    Metrick, A.2    Wachter, J.3
  • 8
    • 0039179796 scopus 로고    scopus 로고
    • Investing for the long run when returns are predictable
    • Barberis N. Investing for the long run when returns are predictable. Journal of Finance 55 (2000) 225-264
    • (2000) Journal of Finance , vol.55 , pp. 225-264
    • Barberis, N.1
  • 9
    • 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
  • 10
    • 16244404602 scopus 로고    scopus 로고
    • Does fund size erode mutual fund performance? The role of liquidity and organization
    • Chen J., Hong H., Huang M., and Kubik J. Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review 94 (2004) 1276-1302
    • (2004) American Economic Review , vol.94 , pp. 1276-1302
    • Chen, J.1    Hong, H.2    Huang, M.3    Kubik, J.4
  • 11
    • 0039561990 scopus 로고    scopus 로고
    • Measuring mutual fund performance with characteristic-based benchmarks
    • Daniel K., Grinblatt M., Titman S., and Wermers R. Measuring mutual fund performance with characteristic-based benchmarks. Journal of Finance 52 (1997) 1035-1058
    • (1997) Journal of Finance , vol.52 , pp. 1035-1058
    • Daniel, K.1    Grinblatt, M.2    Titman, S.3    Wermers, R.4
  • 12
    • 84944839345 scopus 로고
    • Performance measurement using differential information and a security market line
    • Dybvig P., and Ross S. Performance measurement using differential information and a security market line. Journal of Finance 40 (1985) 383-399
    • (1985) Journal of Finance , vol.40 , pp. 383-399
    • Dybvig, P.1    Ross, S.2
  • 13
    • 0030376325 scopus 로고    scopus 로고
    • Multifactor portfolio efficiency and multifactor asset pricing
    • Fama E. Multifactor portfolio efficiency and multifactor asset pricing. Journal of Financial and Quantitative Analysis 31 (1996) 441-465
    • (1996) Journal of Financial and Quantitative Analysis , vol.31 , pp. 441-465
    • Fama, E.1
  • 14
    • 0002724146 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • Fama E., and French K. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics 19 (1989) 3-29
    • (1989) Journal of Financial Economics , vol.19 , pp. 3-29
    • Fama, E.1    French, K.2
  • 15
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama E., and French K. 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.1    French, K.2
  • 16
    • 0041030607 scopus 로고    scopus 로고
    • The efficient use of conditioning information in portfolios
    • Ferson W., and Siegel A. The efficient use of conditioning information in portfolios. Journal of Finance 56 (2001) 967-982
    • (2001) Journal of Finance , vol.56 , pp. 967-982
    • Ferson, W.1    Siegel, A.2
  • 17
    • 0001264756 scopus 로고
    • Mutual fund performance: an analysis of quarterly portfolio holdings
    • Grinblatt M., and Titman S. Mutual fund performance: an analysis of quarterly portfolio holdings. Journal of Business 62 (1989) 394-415
    • (1989) Journal of Business , vol.62 , pp. 394-415
    • Grinblatt, M.1    Titman, S.2
  • 18
    • 0000089498 scopus 로고
    • The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models
    • Hansen L., and Richard S. The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica 55 (1987) 587-613
    • (1987) Econometrica , vol.55 , pp. 587-613
    • Hansen, L.1    Richard, S.2
  • 19
    • 84993917531 scopus 로고
    • Hot hands in mutual funds: the persistence of performance, 1974-88
    • Hendricks D., Patel J., and Zeckhauser R. Hot hands in mutual funds: the 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
  • 20
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: implications for stock market efficiency
    • Jegadeesh N., and Titman S. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48 (1993) 65-91
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 21
    • 27944490784 scopus 로고    scopus 로고
    • Jones, C.S., Shanken, J., 2005. Mutual fund performance with learning across funds. Journal of Financial Economics 78, 507-552.
  • 22
    • 0040898734 scopus 로고    scopus 로고
    • On the predictability of stock returns: an asset allocation perspective
    • Kandel S., and Stambaugh R. On the predictability of stock returns: an asset allocation perspective. Journal of Finance 51 (1996) 385-424
    • (1996) Journal of Finance , vol.51 , pp. 385-424
    • Kandel, S.1    Stambaugh, R.2
  • 23
    • 46149129689 scopus 로고
    • Predicting returns in the stock and the bond markets
    • Keim D., and Stambaugh R. Predicting returns in the stock and the bond markets. Journal of Financial Economics 17 (1986) 357-390
    • (1986) Journal of Financial Economics , vol.17 , pp. 357-390
    • Keim, D.1    Stambaugh, R.2
  • 24
    • 84977716317 scopus 로고
    • Mutual fund performance evaluation: a comparison of benchmarks and benchmark comparisons
    • Lehmann B., and 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
  • 27
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton R.C. An intertemporal capital asset pricing model. Econometrica 41 (1973) 867-887
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.C.1
  • 28
    • 0001309575 scopus 로고
    • On market timing and investment performance Part I: an equilibrium theory of value for market forecasts
    • Merton R.C. On market timing and investment performance Part I: an equilibrium theory of value for market forecasts. Journal of Business 54 (1981) 263-289
    • (1981) Journal of Business , vol.54 , pp. 263-289
    • Merton, R.C.1
  • 29
    • 33645806149 scopus 로고    scopus 로고
    • Discussion: mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs, and expenses
    • Moskowitz T. Discussion: mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs, and expenses. Journal of Finance 55 (2000) 1695-1703
    • (2000) Journal of Finance , vol.55 , pp. 1695-1703
    • Moskowitz, T.1
  • 30
    • 0038515609 scopus 로고    scopus 로고
    • An analysis of covariance risk and pricing anomalies
    • Moskowitz T. An analysis of covariance risk and pricing anomalies. Review of Financial Studies 16 (2003) 417-457
    • (2003) Review of Financial Studies , vol.16 , pp. 417-457
    • Moskowitz, T.1
  • 31
  • 32
    • 0038957681 scopus 로고    scopus 로고
    • Portfolio selection and asset pricing models
    • Pastor L. Portfolio selection and asset pricing models. Journal of Finance 55 (2000) 179-223
    • (2000) Journal of Finance , vol.55 , pp. 179-223
    • Pastor, L.1
  • 33
    • 0034195524 scopus 로고    scopus 로고
    • Comparing asset pricing models: an investment perspective
    • Pastor L., and Stambaugh R. Comparing asset pricing models: an investment perspective. Journal of Financial Economics 56 (2000) 335-381
    • (2000) Journal of Financial Economics , vol.56 , pp. 335-381
    • Pastor, L.1    Stambaugh, R.2
  • 34
    • 0036221467 scopus 로고    scopus 로고
    • Mutual fund performance and seemingly unrelated assets
    • Pastor L., and Stambaugh R. Mutual fund performance and seemingly unrelated assets. Journal of Financial Economics 63 (2002) 315-349
    • (2002) Journal of Financial Economics , vol.63 , pp. 315-349
    • Pastor, L.1    Stambaugh, R.2
  • 36
    • 84977431626 scopus 로고
    • Ambiguity when performance is measured by the securities market line
    • Roll R. Ambiguity when performance is measured by the securities market line. Journal of Finance 33 (1978) 1051-1069
    • (1978) Journal of Finance , vol.33 , pp. 1051-1069
    • Roll, R.1
  • 37
    • 7244231862 scopus 로고    scopus 로고
    • Anomalies and market efficiency
    • Constantinides G.M., Harris M., and Stulz R. (Eds)
    • Schwert G.W. Anomalies and market efficiency. In: Constantinides G.M., Harris M., and Stulz R. (Eds). Handbook of Economics and Finance (2003) 937-972
    • (2003) Handbook of Economics and Finance , pp. 937-972
    • Schwert, G.W.1
  • 38
    • 0040520434 scopus 로고
    • Intertemporal asset pricing: an empirical investigation
    • Shanken J. Intertemporal asset pricing: an empirical investigation. Journal of Econometrics 45 (1990) 99-120
    • (1990) Journal of Econometrics , vol.45 , pp. 99-120
    • Shanken, J.1
  • 39
    • 0005163859 scopus 로고    scopus 로고
    • Costly search and mutual fund flows
    • Sirri E., and 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
  • 40
    • 33745953409 scopus 로고    scopus 로고
    • Stambaugh, R.F., 2003. Inference about survivors. Unpublished Working Paper, The Wharton School.
  • 41
    • 0006818286 scopus 로고    scopus 로고
    • Mutual fund herding and the impact on stock prices
    • Wermers R. Mutual fund herding and the impact on stock prices. Journal of Finance 54 (1999) 581-622
    • (1999) Journal of Finance , vol.54 , pp. 581-622
    • Wermers, R.1
  • 42
    • 0038185576 scopus 로고    scopus 로고
    • Mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs, and expenses
    • Wermers R. Mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs, and expenses. Journal of Finance 55 (2000) 1655-1695
    • (2000) Journal of Finance , vol.55 , pp. 1655-1695
    • Wermers, R.1
  • 43
    • 33745963428 scopus 로고    scopus 로고
    • Wermers, R., 2004. Is money really smart? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. Unpublished Working Paper, The University of Maryland.
  • 44
    • 0000627474 scopus 로고
    • Prediction and decision problems in regression models from the Bayesian point of view
    • Zellner A., and Chetty V.K. Prediction and decision problems in regression models from the Bayesian point of view. Journal of the American Statistical Association 60 (1965) 608-615
    • (1965) Journal of the American Statistical Association , vol.60 , pp. 608-615
    • Zellner, A.1    Chetty, V.K.2
  • 45
    • 0000956516 scopus 로고    scopus 로고
    • Is money smart? A study of mutual fund investors' fund selection ability
    • Zheng L. Is money smart? A study of mutual fund investors' fund selection ability. Journal of Finance 54 (1999) 901-933
    • (1999) Journal of Finance , vol.54 , pp. 901-933
    • Zheng, L.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.