메뉴 건너뛰기




Volumn 22, Issue 11, 2009, Pages 4553-4599

Benchmarking money manager performance: Issues and evidence

Author keywords

[No Author keywords available]

Indexed keywords


EID: 70349267218     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhp016     Document Type: Article
Times cited : (58)

References (33)
  • 1
    • 0001836487 scopus 로고
    • Measuring investment performance in a rational expectations equilibrium model
    • Admati, A. R., and S. A. Ross. 1985. Measuring Investment Performance in a Rational Expectations Equilibrium 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
    • 0031097135 scopus 로고    scopus 로고
    • Detecting long-run abnormal stock returns: The empirical power and specification of test statistics
    • Barber, B. M., and J. D. Lyon. 1997. Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics. Journal of Financial Economics 43:341-372
    • (1997) Journal of Financial Economics , vol.43 , pp. 341-372
    • Barber, B.M.1    Lyon, J.D.2
  • 4
    • 33747194850 scopus 로고    scopus 로고
    • Understanding mutual fund and hedge fund styles using return-based style analysis
    • Ben Dor, A., R. Jagannathan, and I. Meier. 2003. Understanding Mutual Fund and Hedge Fund Styles Using Return-based Style Analysis. Journal of Investment Management 1:97-137.
    • (2003) Journal of Investment Management , vol.1 , pp. 97-137
    • Ben Dor, A.1    Jagannathan, R.2    Meier, I.3
  • 5
    • 0002624840 scopus 로고    scopus 로고
    • On persistence in mutual fund performance
    • Carhart, M. M. 1997. On Persistence in Mutual Fund Performance. Journal of Finance 52:57-82.
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.M.1
  • 8
    • 0033453060 scopus 로고    scopus 로고
    • On portfolio optimization: Forecasting covariances and choosing the risk model
    • Chan, L. K. C., J. Karceski, and J. Lakonishok. 1999. On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model. Review of Financial Studies 12:937-974
    • (1999) Review of Financial Studies , vol.12 , pp. 937-974
    • Chan, L.K.C.1    Karceski, J.2    Lakonishok, J.3
  • 9
    • 0010019475 scopus 로고    scopus 로고
    • The stock market valuation of research&development expenditures
    • Chan, L. K. C., J. Lakonishok, and T. Sougiannis. 2001. The Stock Market Valuation of Research&Development Expenditures. Journal of Finance 56:2431-2456
    • (2001) Journal of Finance , vol.56 , pp. 2431-2456
    • Chan, L.K.C.1    Lakonishok, J.2    Sougiannis, T.3
  • 10
    • 0002014264 scopus 로고    scopus 로고
    • Evidence on the characteristics of cross sectional variation in stock returns
    • Daniel, K., and S. Titman. 1997. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns. Journal of Finance 52:1-33. (Pubitemid 127343961)
    • (1997) Journal of Finance , vol.52 , Issue.1 , pp. 1-33
    • Daniel, K.1    Titman, S.2
  • 11
    • 0039561990 scopus 로고    scopus 로고
    • Measuring mutual fund performance with characteristic-based benchmarks
    • Daniel, K., M. Grinblatt, S. Titman, and R. Wermers. 1997. Measuring Mutual Fund Performance with Characteristic-based Benchmarks. Journal of Finance 52:1035-1058
    • (1997) Journal of Finance , vol.52 , pp. 1035-1058
    • Daniel, K.1    Grinblatt, M.2    Titman, S.3    Wermers, R.4
  • 13
    • 84944839345 scopus 로고
    • Differential information and performance measurement using a security market line
    • Dybvig, P. H., and S. A. Ross. 1985. Differential Information and Performance Measurement Using a Security Market Line. Journal of Finance 40:383-399
    • (1985) Journal of Finance , vol.40 , pp. 383-399
    • Dybvig, P.H.1    Ross, S.A.2
  • 14
    • 0346207692 scopus 로고    scopus 로고
    • Market efficiency, long-term returns and behavioral finance
    • Fama, E. F. 1998. Market Efficiency, Long-Term Returns and Behavioral Finance. Journal of Financial Economics 49:283-306.
    • (1998) Journal of Financial Economics , vol.49 , pp. 283-306
    • Fama, E.F.1
  • 15
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. F., and K. R. French. 1992. The Cross-Section of Expected Stock Returns. Journal of Finance 46:427-466
    • (1992) Journal of Finance , vol.46 , pp. 427-466
    • Fama, E.F.1    French, K.R.2
  • 16
    • 38549147867 scopus 로고
    • Common risk factors in the returns on bonds and stocks
    • Fama, E. F., and K. R. French. 1993. Common Risk Factors in the Returns on Bonds and Stocks. Journal of Financial Economics 33:3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 17
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor explanations of asset pricing anomalies
    • Fama, E. F., and K. R. French. 1996. Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance 51:55-87.
    • (1996) Journal of Finance , vol.51 , pp. 55-87
    • Fama, E.F.1    French, K.R.2
  • 19
    • 0036698282 scopus 로고    scopus 로고
    • Conditional performance measurement using portfolio weights: Evidence for pension funds
    • Ferson, W. E., and K. Khang. 2002. Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds. Journal of Financial Economics 65:249-282
    • (2002) Journal of Financial Economics , vol.65 , pp. 249-282
    • Ferson, W.E.1    Khang, K.2
  • 20
    • 0039056070 scopus 로고    scopus 로고
    • Measuring fund strategy and performance in changing economic conditions
    • Ferson, W. E., and R. W. Schadt. 1996. Measuring Fund Strategy and Performance in Changing Economic Conditions. Journal of Finance 51:425-461
    • (1996) Journal of Finance , vol.51 , pp. 425-461
    • Ferson, W.E.1    Schadt, R.W.2
  • 21
    • 38149144646 scopus 로고
    • A contingent claim approach to performance evaluation
    • Glosten, L. R., and R. Jagannathan. 1994. A Contingent Claim Approach to Performance Evaluation. Journal of Empirical Finance 1:133-160
    • (1994) Journal of Empirical Finance , vol.1 , pp. 133-160
    • Glosten, L.R.1    Jagannathan, R.2
  • 22
    • 34548532494 scopus 로고    scopus 로고
    • Portfolio performance manipulation and manipulation-proof performance measures
    • Goetzmann, W., J. Ingersoll, M. Spiegel, and I. Welch. 2007. Portfolio Performance Manipulation and Manipulation-Proof Performance Measures. Review of Financial Studies 20:1503-1546
    • (2007) Review of Financial Studies , vol.20 , pp. 1503-1546
    • Goetzmann, W.1    Ingersoll, J.2    Spiegel, M.3    Welch, I.4
  • 24
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jegadeesh, N., and S. Titman. 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48:65-91.
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 25
    • 0000486548 scopus 로고
    • The performance of mutual funds in the period 1945-64
    • Jensen, M. C. 1968. The Performance of Mutual Funds in the Period 1945-64. Journal of Finance 23:389-416.
    • (1968) Journal of Finance , vol.23 , pp. 389-416
    • Jensen, M.C.1
  • 26
    • 0035578755 scopus 로고    scopus 로고
    • Are insider trades informative?
    • Lakonishok, J., and I. Lee. 2001. Are Insider Trades Informative? Review of Financial Studies 14:79-111. (Pubitemid 33587385)
    • (2001) Review of Financial Studies , vol.14 , Issue.1 , pp. 79-111
    • Lakonishok, J.1    Lee, I.2
  • 27
  • 28
    • 84977716317 scopus 로고
    • 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
  • 29
    • 0009885154 scopus 로고    scopus 로고
    • Improved methods for tests of long-run abnormal stock returns
    • Lyon, J. D., B. M. Barber, and C. L. Tsai. 1999. Improved Methods for Tests of Long-Run Abnormal Stock Returns. Journal of Finance 54:165-201.
    • (1999) Journal of Finance , vol.54 , pp. 165-201
    • Lyon, J.D.1    Barber, B.M.2    Tsai, C.L.3
  • 30
    • 0001309575 scopus 로고
    • On market timing and investment performance. I. An equilibrium theory of value for market forecasts
    • Merton, R. C. 1981. On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts. Journal of Business 54:363-406.
    • (1981) Journal of Business , vol.54 , pp. 363-406
    • Merton, R.C.1
  • 31
    • 0039372633 scopus 로고    scopus 로고
    • Managerial decisions and long-term stock price performance
    • Mitchell, M. L., and E. Stafford. 2000. Managerial Decisions and Long-Term Stock Price Performance. Journal of Business 73:287-329.
    • (2000) Journal of Business , vol.73 , pp. 287-329
    • Mitchell, M.L.1    Stafford, E.2
  • 32
    • 0002716956 scopus 로고
    • Asset allocation: Management style and performance measurement
    • Sharpe, W. F. 1992. Asset Allocation: Management Style and Performance Measurement. Journal of Portfolio Management 18:7-19.
    • (1992) Journal of Portfolio Management , vol.18 , pp. 7-19
    • Sharpe, W.F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.