-
1
-
-
0009164330
-
The performance of hedge funds: Risk, return, and incentives
-
Ackermann, C., R. McEnally, and D. Ravenscraft (1999), 'The performance of hedge funds: Risk, return, and incentives'. Journal of Finance 54, 833-874.
-
(1999)
Journal of Finance
, vol.54
, pp. 833-874
-
-
Ackermann, C.1
McEnally, R.2
Ravenscraft, D.3
-
2
-
-
0000802893
-
On timing and selectivity
-
Admati, A. R., S. Bhattacharya, P. Pfleiderer, and S. A. Ross (1986), 'On timing and selectivity'. Journal of Finance 41, 715-730.
-
(1986)
Journal of Finance
, vol.41
, pp. 715-730
-
-
Admati, A.R.1
Bhattacharya, S.2
Pfleiderer, P.3
Ross, S.A.4
-
3
-
-
0041111263
-
Does it all add up? Benchmarks and the compensation of portfolio managers
-
Admati, A. R. and P. Pfleiderer (1997), 'Does it all add up? Benchmarks and the compensation of portfolio managers'. Journal of Business 70, 323-350.
-
(1997)
Journal of Business
, vol.70
, pp. 323-350
-
-
Admati, A.R.1
Pfleiderer, P.2
-
4
-
-
0842346751
-
Risks and portfolio decisions involving hedge funds
-
Agarwal, V. and N. Naik (2004), 'Risks and portfolio decisions involving hedge funds'. Review of Financial Studies 17, 63-98. (Pubitemid 38169998)
-
(2004)
Review of Financial Studies
, vol.17
, Issue.1
, pp. 63-98
-
-
Agarwal, V.1
Naik, N.Y.2
-
7
-
-
33845304258
-
Share restrictions and asset pricing: Evidence from the hedge fund industry
-
DOI 10.1016/j.jfineco.2005.11.001, PII S0304405X06001425
-
Aragon, G. (2007), 'Share restrictions and asset pricing: Evidence from the hedge fund industry'. Journal of Financial Economics 83, 33-58. (Pubitemid 44873762)
-
(2007)
Journal of Financial Economics
, vol.83
, Issue.1
, pp. 33-58
-
-
Aragon, G.O.1
-
9
-
-
33749593936
-
Do hedge funds hedge?
-
Asness, C., R. Krail, and J. Liew (2001), 'Do hedge funds hedge?'. Journal of Portfolio Management 28, 6-19. (Pubitemid 33359128)
-
(2001)
Journal of Portfolio Management
, vol.28
, Issue.1
, pp. 6-19
-
-
Asness, C.1
Krail, R.2
Liew, J.3
-
10
-
-
0003217712
-
Conditional market timing with benchmark investors
-
Becker, C., W. Ferson, D. Myers, and M. Schill (1999), 'Conditional market timing with benchmark investors'. Journal of Financial Economics 52, 119-148.
-
(1999)
Journal of Financial Economics
, vol.52
, pp. 119-148
-
-
Becker, C.1
Ferson, W.2
Myers, D.3
Schill, M.4
-
11
-
-
12144279436
-
Mutual fund flows and performance in rational markets
-
DOI 10.1086/424739
-
Berk, J. and R. C. Green (2004), 'Mutual fund flows and performance in rational markets'. Journal of Political Economy 112, 1269-1295. (Pubitemid 40106863)
-
(2004)
Journal of Political Economy
, vol.112
, Issue.6
, pp. 1269-1295
-
-
Berk, J.B.1
Green, R.C.2
-
12
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F. and M. Scholes (1973), 'The pricing of options and corporate liabilities'. Journal of Political Economy 81, 637-654.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-654
-
-
Black, F.1
Scholes, M.2
-
13
-
-
0002787901
-
How to use security analysis to improve portfolio selection
-
Black, F. and J. Treynor (1973), 'How to use security analysis to improve portfolio selection'. Journal of Business 46, 66-86.
-
(1973)
Journal of Business
, vol.46
, pp. 66-86
-
-
Black, F.1
Treynor, J.2
-
14
-
-
77955270527
-
Assessing fixed-income fund manager style and performance from historical returns
-
Brown, D. T. and W. J. Marshall (2001), 'Assessing fixed-income fund manager style and performance from historical returns'. Journal of Fixed Income 10, 15-25.
-
(2001)
Journal of Fixed Income
, vol.10
, pp. 15-25
-
-
Brown, D.T.1
Marshall, W.J.2
-
15
-
-
0011063897
-
Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry
-
Brown, K., V. Harlow, and L. Starks (1996), 'Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry'. Journal of Finance 51, 85-110.
-
(1996)
Journal of Finance
, vol.51
, pp. 85-110
-
-
Brown, K.1
Harlow, V.2
Starks, L.3
-
16
-
-
0011065327
-
Offshore hedge funds: Survival and performance 1989-1995
-
Brown, S., W. Goetzmann, and R. Ibbotson (1999), 'Offshore hedge funds: Survival and performance 1989-1995'. Journal of Business 72, 91-118.
-
(1999)
Journal of Business
, vol.72
, pp. 91-118
-
-
Brown, S.1
Goetzmann, W.2
Ibbotson, R.3
-
18
-
-
1242300561
-
Survivorship bias in performance studies
-
Brown, S. J., W. N. Goetzmann, R. Ibbotson, and S. 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.N.2
Ibbotson, R.3
Ross, S.4
-
19
-
-
0033408312
-
Volatility timing in mutual funds: Evidence from daily returns
-
Busse, J. (1999), 'Volatility timing in mutual funds: Evidence from daily returns'. Review of Financial Studies 12, 1009-1041.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 1009-1041
-
-
Busse, J.1
-
21
-
-
0036417686
-
Mutual fund survivorship
-
Carhart, M., J. Carpenter, A. Lynch, and D. Musto (2002), 'Mutual fund survivorship'. Review of Financial Studies 15, 1439-1463. (Pubitemid 37496172)
-
(2002)
Review of Financial Studies
, vol.15
, Issue.5
, pp. 1439-1463
-
-
Carhart, M.M.1
Carpenter, J.N.2
Lynch, A.W.3
Musto, D.K.4
-
22
-
-
0002624840
-
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
-
24
-
-
0002344777
-
Market timing and mutual fund investment performance
-
Chang, E. C. and W. G. Lewellen (1984), 'Market timing and mutual fund investment performance'. Journal of Business 57, 57-72.
-
(1984)
Journal of Business
, vol.57
, pp. 57-72
-
-
Chang, E.C.1
Lewellen, W.G.2
-
25
-
-
0011610182
-
A comparison of single and multifactor perforamance methodologies
-
Chen, N.-F., T. Copeland, and D. Mayers (1987), 'A comparison of single and multifactor perforamance methodologies'. Journal of Financial and Quantitative Analysis 22, 401-417.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 401-417
-
-
Chen, N.-F.1
Copeland, T.2
Mayers, D.3
-
26
-
-
0000496978
-
Economic forces and the stock market
-
Chen, N.-F., R. R. Roll, and S. A. Ross (1986), 'Economic forces and the stock market'. Journal of Business 59, 383-403.
-
(1986)
Journal of Business
, vol.59
, pp. 383-403
-
-
Chen, N.-F.1
Roll, R.R.2
Ross, S.A.3
-
28
-
-
0030540877
-
Portfolio performance measurement: Theory and applications
-
Chen, Z. and P. J. Knez (1996), 'Portfolio performance Measurement: Theory and applications'. Review of Financial Studies 9, 511-556. (Pubitemid 126093800)
-
(1996)
Review of Financial Studies
, vol.9
, Issue.2
, pp. 511-556
-
-
Chen, Z.1
Knez, P.J.2
-
29
-
-
0001551506
-
Risk taking by mutual funds as a response to incentives
-
Chevalier, J. and L. Ellison (1997), 'Risk taking by mutual funds as a response to incentives'. Journal of Political Economy 105, 1167- 1200. (Pubitemid 127632316)
-
(1997)
Journal of Political Economy
, vol.105
, Issue.6
, pp. 1167-1200
-
-
Chevalier, J.1
Ellison, G.2
-
31
-
-
0030140198
-
The structure of mutual fund charges
-
DOI 10.1016/0304-405X(95)00856-A
-
Chordia, T. (1996), 'The structure of mutual fund charges'. Journal of Financial Economics 41, 3-39. (Pubitemid 126162154)
-
(1996)
Journal of Financial Economics
, vol.41
, Issue.1
, pp. 3-39
-
-
Chordia, T.1
-
32
-
-
0010732335
-
Conditional measures of performance and persistence for pension funds
-
Stamford, CT: JAI Press, ISBN: 0-7623-0328-X.
-
Christopherson, J. A., W. Ferson, and D. A. Glassman (1998a), 'Conditional measures of performance and persistence for pension funds'. In: Research in Finance, Vol. 16. Stamford, CT: JAI Press, pp. 1-46. ISBN: 0-7623-0328-X.
-
(1998)
Research in Finance
, vol.16
, pp. 1-46
-
-
Christopherson, J.A.1
Ferson, W.2
Glassman, D.A.3
-
33
-
-
0032345355
-
Conditioning manager alpha on economic information: Another look at the persistence of performance
-
Christopherson, J. A., W. Ferson, and D. A. Glassman (1998b), 'Conditioning manager alpha on economic information: Another look at the persistence of performance'. Review of Financial Studies 11, 111-142.
-
(1998)
Review of Financial Studies
, vol.11
, pp. 111-142
-
-
Christopherson, J.A.1
Ferson, W.2
Glassman, D.A.3
-
34
-
-
0002070793
-
Volatility and predictability of manager alpha: Learning the lessons of history
-
Christopherson, J. A. and A. L. Turner (1991), 'Volatility and predictability of manager alpha: Learning the lessons of history'. Journal of Portfolio Management 5, 5-12.
-
(1991)
Journal of Portfolio Management
, vol.5
, pp. 5-12
-
-
Christopherson, J.A.1
Turner, A.L.2
-
35
-
-
84993901783
-
The investment performance of U.S. equity pension fund managers
-
Coggin, D., F. Fabozzi, and S. Rahman (1993), 'The investment performance of U.S. equity pension fund managers'. Journal of Finance 48, 1039-1056.
-
(1993)
Journal of Finance
, vol.48
, pp. 1039-1056
-
-
Coggin, D.1
Fabozzi, F.2
Rahman, S.3
-
38
-
-
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
-
39
-
-
33646972178
-
Risk and return in an equilibrium APT: Applications of a new test methodology
-
Connor, G. and R. A. Korajczyk (1988), 'Risk and return in an equilibrium APT: Applications of a new test methodology'. Journal of Financial Economics 21, 255-289.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 255-289
-
-
Connor, G.1
Korajczyk, R.A.2
-
40
-
-
0011006390
-
The value line enigma (1965- 1978): A case study of performance evaluation issues
-
Copeland, T. and D. Mayers (1982), 'The value line enigma (1965- 1978): A case study of performance evaluation issues'. Journal of Financial Economics 10, 289-321.
-
(1982)
Journal of Financial Economics
, vol.10
, pp. 289-321
-
-
Copeland, T.1
Mayers, D.2
-
41
-
-
0010729640
-
Asymmetric information and portfolio performance measurement
-
Cornell, B. (1979), 'Asymmetric information and portfolio performance measurement'. Journal of Financial Economics 7, 381-390.
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 381-390
-
-
Cornell, B.1
-
42
-
-
0001205798
-
A theory of the term structure of interest rates
-
Cox, J. C., J. E. Ingersoll Jr., and S. A. Ross (1985), 'A theory of the term structure of interest rates'. Econometrica 53, 385-346.
-
(1985)
Econometrica
, vol.53
, pp. 385-346
-
-
Cox, J.C.1
Ingersoll Jr., J.E.2
Ross, S.A.3
-
43
-
-
0038851966
-
Evaluating portfolio performance with stochastic discount factors
-
Dahlquist, M. and P. Soderlind (1999), 'Evaluating portfolio performance with stochastic discount factors'. Journal of Business 72, 347-384.
-
(1999)
Journal of Business
, vol.72
, pp. 347-384
-
-
Dahlquist, M.1
Soderlind, P.2
-
44
-
-
0039561990
-
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
-
45
-
-
0036921447
-
The determinants of the flow of funds of managed portfolios: Mutual funds vs. pension funds
-
Del Guercio, D. and P. A. Tkac (2002), 'The determinants of the flow of funds of managed portfolios: Mutual funds vs. Pension funds'. Journal of Financial and Quantitative Analysis 37, 523-557. (Pubitemid 36047042)
-
(2002)
Journal of Financial and Quantitative Analysis
, vol.37
, Issue.4
, pp. 523-557
-
-
Del Guercio, D.1
Tkac, P.A.2
-
46
-
-
33749638253
-
Risk measurement when shares are subject to infrequent trading
-
Dimson, E. (1979), 'Risk measurement when shares are subject to infrequent trading'. Journal of Financial Economics 7, 197-226.
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 197-226
-
-
Dimson, E.1
-
47
-
-
0001347649
-
Mean variance theory in complete markets
-
Dybvig, P. H. and J. E. Ingersoll (1982), 'Mean variance theory in complete markets'. Journal of Business 55, 233-251.
-
(1982)
Journal of Business
, vol.55
, pp. 233-251
-
-
Dybvig, P.H.1
Ingersoll, J.E.2
-
48
-
-
84944839345
-
Performance measurement using differential information and a security market line
-
Dybvig, P. H. and S. A. Ross (1985), 'Performance measurement using differential information and 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
-
49
-
-
0000446210
-
Investor flows and the assessed performance of open-end mutual funds
-
Edelen, R. M. (1999), 'Investor flows and the assessed performance of open-end mutual funds'. Journal of Financial Economics 53, 439-466.
-
(1999)
Journal of Financial Economics
, vol.53
, pp. 439-466
-
-
Edelen, R.M.1
-
50
-
-
0039738564
-
A first look at the accuracy of the CRSP Mutual Fund Database and a comparison of the CRSP and Morningstar mutual fund databases
-
Elton, E. J., M. Gruber, and C. Blake (2001), 'A first look at the accuracy of the CRSP mutual fund database and a comparison of the CRSP and Morningstar databases'. Journal of Finance 56, 2415- 2430. (Pubitemid 33585027)
-
(2001)
Journal of Finance
, vol.56
, Issue.6
, pp. 2415-2430
-
-
Elton, E.J.1
Gruber, M.J.2
Blake, C.R.3
-
51
-
-
21144465720
-
The performance of bond mutual funds
-
Elton, E. J., M. J. Gruber, and C. R. Blake (1993), 'The performance of bond mutual funds'. Journal of Business 66, 371-403.
-
(1993)
Journal of Business
, vol.66
, pp. 371-403
-
-
Elton, E.J.1
Gruber, M.J.2
Blake, C.R.3
-
52
-
-
84993848933
-
Fundamental economic variables, expected returns and bond fund performance
-
Elton, E. J., M. J. Gruber, and C. R. Blake (1995), 'Fundamental economic variables, expected returns and bond fund performance'. Journal of Finance 50, 1229-1256.
-
(1995)
Journal of Finance
, vol.50
, pp. 1229-1256
-
-
Elton, E.J.1
Gruber, M.J.2
Blake, C.R.3
-
53
-
-
0030517263
-
Survivorship bias and mutual fund performance
-
Elton, E. J., M. J. Gruber, and C. R. Blake (1996), 'Survivorship bias and mutual fund performance'. Review of Financial Studies 9, 1097- 1120.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 1097-1120
-
-
Elton, E.J.1
Gruber, M.J.2
Blake, C.R.3
-
54
-
-
0142188074
-
Incentive fees and mutual funds
-
Elton, E. J., M. J. Gruber, and C. R. Blake (2003), 'Incentive fees and mutual funds'. Journal of Finance 58, 779-804.
-
(2003)
Journal of Finance
, vol.58
, pp. 779-804
-
-
Elton, E.J.1
Gruber, M.J.2
Blake, C.R.3
-
56
-
-
84993924779
-
Components of investment performance
-
Fama, E. (1972), 'Components of investment performance'. Journal of Finance 27, 551-567.
-
(1972)
Journal of Finance
, vol.27
, pp. 551-567
-
-
Fama, E.1
-
57
-
-
0000480869
-
Efficient capital markets: A review of theory and empirical work
-
Fama, E. F. (1970), 'Efficient capital markets: A review of theory and empirical work'. Journal of Finance 25, 383-417.
-
(1970)
Journal of Finance
, vol.25
, pp. 383-417
-
-
Fama, E.F.1
-
58
-
-
0013413658
-
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
-
59
-
-
0000928969
-
Risk, return, and equilibrium: Some empirical tests
-
Fama, E. F. and J. D. MacBeth (1973), 'Risk, return, and equilibrium: Some empirical tests'. Journal of Political Economy 81, 607-636.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 607-636
-
-
Fama, E.F.1
MacBeth, J.D.2
-
61
-
-
0141942634
-
Performance evaluation with stochastic discount factors
-
Farnsworth, H. K., W. Ferson, D. Jackson, and S. Todd (2002), 'Performance evaluation with stochastic discount factors'. Journal of Business 75, 473-504.
-
(2002)
Journal of Business
, vol.75
, pp. 473-504
-
-
Farnsworth, H.K.1
Ferson, W.2
Jackson, D.3
Todd, S.4
-
62
-
-
33645743007
-
Evaluating government bond fund performance with stochastic discount factors
-
DOI 10.1093/rfs/hhj015
-
Ferson, W., T. Henry, and D. Kisgen (2006a), 'Evaluating government bond fund performance with stochastic discount factors'. Review of Financial Studies 19, 423-455. (Pubitemid 43551204)
-
(2006)
Review of Financial Studies
, vol.19
, Issue.2
, pp. 423-455
-
-
Ferson, W.1
Henry, T.R.2
Kisgen, D.J.3
-
63
-
-
33845480569
-
Fixed Income Fund Performance across Economic States
-
DOI 10.1016/S0196-3821(06)23001-6, PII S0196382106230016
-
Ferson, W., T. Henry, and D. Kisgen (2006b), 'Fixed income fund performance across economic states'. In: Research in Finance, Vol. 23. Oxford, UK: JAI Press, pp. 1-62. ISBN-13: 978-0-7623-1346-7. (Pubitemid 44913506)
-
(2006)
Research in Finance
, vol.23
, pp. 1-62
-
-
Ferson, W.1
Kisgen, D.2
Henry, T.3
-
64
-
-
0036698282
-
Conditional performance measurement using portfolio weights: Evidence for pension funds
-
Ferson, W. 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.1
Khang, K.2
-
66
-
-
0039056070
-
Measuring fund strategy and performance in changing economic conditions
-
Ferson, W. and R. Schadt (1996), 'Measuring fund strategy and performance in changing economic conditions'. Journal of Finance 51, 425-462. (Pubitemid 126093424)
-
(1996)
Journal of Finance
, vol.51
, Issue.2
, pp. 425-462
-
-
Ferson, W.E.1
Schadt, R.W.2
-
67
-
-
0041030607
-
The efficient use of conditioning information in portfolios
-
Ferson, W. and A. F. Siegel (2001), 'The efficient use of conditioning information in portfolios'. Journal of Finance 56, 967-982.
-
(2001)
Journal of Finance
, vol.56
, pp. 967-982
-
-
Ferson, W.1
Siegel, A.F.2
-
69
-
-
0003121535
-
Evaluating fund performance in a dynamic market
-
Ferson, W. and V. A. Warther (1996), 'Evaluating fund performance in a dynamic market'. Financial Analysts Journal 52, 20-28. (Pubitemid 127530370)
-
(1996)
Financial Analysts Journal
, vol.52
, Issue.6
, pp. 20-28
-
-
Ferson, W.E.1
Warther, V.A.2
-
70
-
-
77957094044
-
Theory and empirical testing of asset pricing models, Chapter 5 in Finance
-
M. Jarrow and Ziemba (eds.): Elsevier
-
Ferson, W. E. (1995), 'Theory and empirical testing of asset pricing models, Chapter 5 in Finance'. In: M. Jarrow and Ziemba (eds.): Handbooks in Operations Research and Management Science. Elsevier, pp. 145-200.
-
(1995)
Handbooks in Operations Research and Management Science
, pp. 145-200
-
-
Ferson W., .E.1
-
71
-
-
66049117785
-
Tests of multifactor pricing models, volatility bounds and portfolio performance
-
M. H. George M. Constantinides and R. M. Stulz (eds.): North Holland: Elsevier Science Publishers (forthcoming).
-
Ferson, W. E. (2003), 'Tests of multifactor pricing models, volatility bounds and portfolio performance'. In: M. H. George M. Constantinides and R. M. Stulz (eds.): Handbook of the Economics of Finance. North Holland: Elsevier Science Publishers (forthcoming).
-
(2003)
Handbook of the Economics of Finance
-
-
Ferson W., .E.1
-
72
-
-
84868361786
-
Asset pricing models with conditional betas and alphas: The effects of data snooping and spurious regression
-
forthcoming
-
Ferson, W. E., S. Sarkissian, and T. Simin (2007), 'Asset pricing models with conditional betas and alphas: The effects of data snooping and spurious regression'. Journal of Financial and Quantitative Analysis. forthcoming.
-
(2007)
Journal of Financial and Quantitative Analysis
-
-
Ferson, W.E.1
Sarkissian, S.2
Simin, T.3
-
73
-
-
0031519866
-
Empirical characteristics of dynamic trading strategies: The case of hedge funds
-
Fung, W. and D. Hsieh (1997), 'Empirical characteristics of dynamic trading strategies: The case of hedge funds'. Review of Financial Studies 10, 275-302.
-
(1997)
Review of Financial Studies
, vol.10
, pp. 275-302
-
-
Fung, W.1
Hsieh, D.2
-
74
-
-
0034416371
-
Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases
-
Fung, W. and D. Hsieh (2000), 'Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases'. Journal of Financial and Quantitative Analysis 35, 291-307.
-
(2000)
Journal of Financial and Quantitative Analysis
, vol.35
, pp. 291-307
-
-
Fung, W.1
Hsieh, D.2
-
75
-
-
0035595435
-
The risk in hedge fund strategies: Theory and evidence from trend followers
-
Fung, W. and D. Hsieh (2001), 'The risk in hedge fund strategies: Theory and evidence from trend followers'. Review of Financial Studies 14, 313-341. (Pubitemid 33587848)
-
(2001)
Review of Financial Studies
, vol.14
, Issue.2
, pp. 313-341
-
-
Fung, W.1
Hsieh, D.A.2
-
76
-
-
7744243971
-
An econometric model of serial correlation and illiquidity in hedge fund returns
-
Getmansky, M., A. Lo, and I. Makarov (2004), 'An econometric model of serial correlation and illiquidity in hedge fund returns'. Journal of Financial Economics 74, 529-610.
-
(2004)
Journal of Financial Economics
, vol.74
, pp. 529-610
-
-
Getmansky, M.1
Lo, A.2
Makarov, I.3
-
77
-
-
38149144646
-
A contingent claims approach to performance evaluation
-
Glosten, L. and R. Jagannathan (1994), 'A contingent claims approach to performance evaluation'. Journal of Empirical Finance 1, 133-166.
-
(1994)
Journal of Empirical Finance
, vol.1
, pp. 133-166
-
-
Glosten, L.1
Jagannathan, R.2
-
78
-
-
0034395780
-
Monthly measurement of daily timers
-
Goetzmann, W., J. Ingersoll, and Z. Ivkovic (2000), 'Monthly measurement of daily timers'. Journal of Financial and Quantitative Analysis 35, 257-290.
-
(2000)
Journal of Financial and Quantitative Analysis
, vol.35
, pp. 257-290
-
-
Goetzmann, W.1
Ingersoll, J.2
Ivkovic, Z.3
-
81
-
-
12744269051
-
Yet another look at mutual fund tournaments
-
Goriaev, M., T. Nijman, and B. Werker (2005), 'Yet another look at mutual fund tournaments'. Journal of Empirical Finance 12, 127- 137.
-
(2005)
Journal of Empirical Finance
, vol.12
, pp. 127-137
-
-
Goriaev, M.1
Nijman, T.2
Werker, B.3
-
82
-
-
84977358854
-
Portfolio performance and the 'cost' of timing decisions
-
Grant, D. (1977), 'Portfolio performance and the 'cost' of timing decisions'. Journal of Finance 32, 837-846.
-
(1977)
Journal of Finance
, vol.32
, pp. 837-846
-
-
Grant, D.1
-
83
-
-
0001264756
-
Mutual fund performance: An analysis of quarterly portfolio holdings
-
Grinblatt, M. and S. Titman (1989a), 'Mutual fund performance: An analysis of quarterly portfolio holdings'. Journal of Business 62, 393-416.
-
(1989)
Journal of Business
, vol.62
, pp. 393-416
-
-
Grinblatt, M.1
Titman, S.2
-
84
-
-
21144484811
-
Portfolio Performance evaluation: Old issues and new insights
-
Grinblatt, M. and S. Titman (1989b), 'Portfolio Performance evaluation: Old issues and new insights'. Review of Financial Studies 2, 393-422.
-
(1989)
Review of Financial Studies
, vol.2
, pp. 393-422
-
-
Grinblatt, M.1
Titman, S.2
-
85
-
-
84993660461
-
The persistence of mutual fund performance
-
Grinblatt, M. and S. Titman (1992), 'The persistence of mutual fund performance'. Journal of Finance 47, 1977-1984.
-
(1992)
Journal of Finance
, vol.47
, pp. 1977-1984
-
-
Grinblatt, M.1
Titman, S.2
-
86
-
-
21144478549
-
Performance measurement without benchmarks: An examination of mutual fund returns
-
Grinblatt, M. and S. Titman (1993), 'Performance measurement without benchmarks: An examination of mutual fund returns'. Journal of Business 60, 97-112.
-
(1993)
Journal of Business
, vol.60
, pp. 97-112
-
-
Grinblatt, M.1
Titman, S.2
-
87
-
-
0000741932
-
Momentum strategies, portfolio performance and herding: A study of mutual fund behavior
-
Grinblatt, M., S. Titman, and R. Wermers (1995), 'Momentum strategies, portfolio performance and herding: A study of mutual fund behavior'. American Economic Review 85, 1088-1105.
-
(1995)
American Economic Review
, vol.85
, pp. 1088-1105
-
-
Grinblatt, M.1
Titman, S.2
Wermers, R.3
-
88
-
-
0001188867
-
On the impossibility of informationally efficient markets
-
Grossman, S. J. and J. E. Stiglitz (1980), 'On the impossibility of informationally efficient markets'. American Economic Review 70, 393-408.
-
(1980)
American Economic Review
, vol.70
, pp. 393-408
-
-
Grossman, S.J.1
Stiglitz, J.E.2
-
89
-
-
0039056269
-
Another puzzle: The growth in actively managed mutual funds
-
Gruber, M. (1996), 'Another puzzle: The growth in actively managed mutual funds'. Journal of Finance 51, 783-810.
-
(1996)
Journal of Finance
, vol.51
, pp. 783-810
-
-
Gruber, M.1
-
90
-
-
0000414660
-
Large sample properties of generalized method of moments estimators
-
Hansen, L. P. (1982), 'Large sample properties of generalized method of moments estimators'. Econometrica 50, 1029-1054.
-
(1982)
Econometrica
, vol.50
, pp. 1029-1054
-
-
Hansen, L.P.1
-
91
-
-
0000089498
-
The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models
-
Hansen, L. P. and S. Richard (1987), 'The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models'. Econometrica 55, 587-613.
-
(1987)
Econometrica
, vol.55
, pp. 587-613
-
-
Hansen, L.P.1
Richard, S.2
-
93
-
-
84993917531
-
Hot hands in mutual funds: Short run persistence of performance, 1974-1988
-
Hendricks, D., J. Patel, and R. Zeckhauser (1993), 'Hot hands in mutual funds: Short run persistence of performance, 1974-1988'. Journal of Finance 48, 93-130.
-
(1993)
Journal of Finance
, vol.48
, pp. 93-130
-
-
Hendricks, D.1
Patel, J.2
Zeckhauser, R.3
-
94
-
-
0039560598
-
The J-shape of performance persistence given survivorship bias
-
Hendricks, D., J. Patel, and R. Zeckhauser (1997), 'The J-shape of performance persistence given survivorship bias'. Review of Economics and Statistics 79, 161-166. (Pubitemid 127344023)
-
(1997)
Review of Economics and Statistics
, vol.79
, Issue.2
, pp. 161-166
-
-
Hendricks, D.1
Patel, J.2
Zeckhauser, R.3
-
95
-
-
0002500773
-
Market timing and mutual fund performance: An empirical Investigation
-
Henriksson, R. (1984), 'Market timing and mutual fund performance: An empirical Investigation'. Journal of Business 57, 73-96.
-
(1984)
Journal of Business
, vol.57
, pp. 73-96
-
-
Henriksson, R.1
-
96
-
-
0002311906
-
Efficiency with costly information: A study of mutual fund performance, 1965-1984
-
Ippolito, R. A. (1989), 'Efficiency with costly information: A study of mutual fund performance, 1965-1984'. The Quarterly Journal of Economics 104, 1-23.
-
(1989)
The Quarterly Journal of Economics
, vol.104
, pp. 1-23
-
-
Ippolito, R.A.1
-
97
-
-
79953230734
-
Consumer reaction to measures of poor quality: Evidence from the mutual fund industry
-
Ippolito, R. A. (1992), 'Consumer reaction to measures of poor quality: Evidence from the mutual fund industry'. Journal of Law and Economics 35, 45-70.
-
(1992)
Journal of Law and Economics
, vol.35
, pp. 45-70
-
-
Ippolito, R.A.1
-
98
-
-
0000849010
-
Assessing the market timing performance of managed portfolios
-
Jagannathan, R. and R. Korajczyk (1986), 'Assessing the market timing performance of managed portfolios'. Journal of Business 59, 217-236.
-
(1986)
Journal of Business
, vol.59
, pp. 217-236
-
-
Jagannathan, R.1
Korajczyk, R.2
-
99
-
-
0000486548
-
The performance of mutual funds in the period 1945-1964
-
Jensen, M. C. (1968), 'The performance of mutual funds in the period 1945-1964'. Journal of Finance 23, 389-416.
-
(1968)
Journal of Finance
, vol.23
, pp. 389-416
-
-
Jensen, M.C.1
-
100
-
-
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
-
101
-
-
0003250652
-
Optimal utilization of market forecasts and the evaluation of investment performance
-
G. P. Szego and K. Shell (eds.): North-Holland Publishing Company.
-
Jensen, M. C. (1972), 'Optimal utilization of market forecasts and the evaluation of investment performance'. In: G. P. Szego and K. Shell (eds.): Mathematical Methods in Finance. North-Holland Publishing Company.
-
(1972)
Mathematical Methods in Finance
-
-
Jensen, M.C.1
-
102
-
-
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
-
103
-
-
0039657043
-
How are derivatives used? Evidence from the mutual fund industry
-
Koski, J. and J. Pontiff (1999), 'How are derivatives used? Evidence from the mutual fund industry'. Journal of Finance 54, 791-816.
-
(1999)
Journal of Finance
, vol.54
, pp. 791-816
-
-
Koski, J.1
Pontiff, J.2
-
104
-
-
0031535216
-
Performance attribution using an APT with prespecified factors
-
Kryzanowski, L., S. Lalancette, and M. To (1997), 'Performance attribution using an APT with prespecified factors'. Journal of Financial and Quantitative Analysis 32, 205-224.
-
(1997)
Journal of Financial and Quantitative Analysis
, vol.32
, pp. 205-224
-
-
Kryzanowski, L.1
Lalancette, S.2
To, M.3
-
106
-
-
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, 233-266.
-
(1987)
Journal of Finance
, vol.42
, pp. 233-266
-
-
Lehmann, B.N.1
Modest, D.M.2
-
107
-
-
0010788842
-
Performance beyond mean-variance: Performance measurement in a nonsymmetric world
-
Leland, H. (1999), 'Performance beyond mean-variance: Performance measurement in a nonsymmetric world'. Financial Analysts Journal 55, 27-36.
-
(1999)
Financial Analysts Journal
, vol.55
, pp. 27-36
-
-
Leland, H.1
-
108
-
-
0006218042
-
On the performance of hedge funds
-
Liang, B. (1999), 'On the performance of hedge funds'. Financial Analysts Journal 55, 72-85.
-
(1999)
Financial Analysts Journal
, vol.55
, pp. 72-85
-
-
Liang, B.1
-
110
-
-
0011604602
-
Stock prices, inflation, and the term structure of interest rates
-
Long, J. B. (1974), 'Stock prices, inflation, and the term structure of interest rates'. Journal of Financial Economics 1, 131-170.
-
(1974)
Journal of Financial Economics
, vol.1
, pp. 131-170
-
-
Long, J.B.1
-
111
-
-
84993848940
-
Returns from investing in equity mutual funds 1971 to 1991
-
Malkiel, B. G. (1995), 'Returns from investing in equity mutual funds 1971 to 1991'. Journal of Finance 50, 549-572.
-
(1995)
Journal of Finance
, vol.50
, pp. 549-572
-
-
Malkiel, B.G.1
-
112
-
-
0037738966
-
Measuring portfolio performance and the empirical content of asset pricing models
-
Mayers, D. and E. M. Rice (1979), 'Measuring portfolio performance and the empirical content of asset pricing models'. Journal of Financial Economics 7, 3-28.
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 3-28
-
-
Mayers, D.1
Rice, E.M.2
-
113
-
-
0001738730
-
An intertemporal capital asset pricing model
-
Merton, R. C. (1973), 'An intertemporal capital asset pricing model'. Econometrica 41, 867-887.
-
(1973)
Econometrica
, vol.41
, pp. 867-887
-
-
Merton, R.C.1
-
114
-
-
0001309575
-
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
-
115
-
-
0001309573
-
On market timing and investment performance II: Statistical procedures for evaluating forecasting skills
-
Merton, R. C. and R. D. Henriksson (1981), 'On market timing and investment performance II: Statistical procedures for evaluating forecasting skills'. Journal of Business 54, 513-534.
-
(1981)
Journal of Business
, vol.54
, pp. 513-534
-
-
Merton, R.C.1
Henriksson, R.D.2
-
116
-
-
0006968004
-
Characteristics of risk and return in risk arbitrage
-
Mitchell, M. and T. Pulvino (2001), 'Characteristics of risk and return in risk arbitrage'. Journal of Finance 56, 2135-2175. (Pubitemid 33585018)
-
(2001)
Journal of Finance
, vol.56
, Issue.6
, pp. 2135-2175
-
-
Mitchell, M.1
Pulvino, T.2
-
119
-
-
84977431626
-
Ambiguity when performance is measured by the security market line
-
Roll, R. (1978), 'Ambiguity when performance is measured by the security market line'. Journal of Finance 33, 1051-1069.
-
(1978)
Journal of Finance
, vol.33
, pp. 1051-1069
-
-
Roll, R.1
-
120
-
-
49549135545
-
The arbitrage pricing theory of capital asset pricing
-
Ross, S. A. (1976), 'The arbitrage pricing theory of capital asset pricing'. Journal of Economic Theory 13, 341-360.
-
(1976)
Journal of Economic Theory
, vol.13
, pp. 341-360
-
-
Ross, S.A.1
-
122
-
-
24244465678
-
Vanguard bucks trend by cutting fund fees
-
Schultz, E. (1996), 'Vanguard bucks trend by cutting fund fees'. The Wall Street Journal, pp. c1-c25.
-
(1996)
The Wall Street Journal
-
-
Schultz, E.1
-
123
-
-
84980092818
-
Capital asset prices: A theory of market equilibrium under conditions of risk
-
Sharpe, W. F. (1964), 'Capital asset prices: A theory of market equilibrium under conditions of risk'. Journal of Finance 19, 425-442.
-
(1964)
Journal of Finance
, vol.19
, pp. 425-442
-
-
Sharpe, W.F.1
-
124
-
-
0001752951
-
Mutual fund performance
-
Sharpe, W. F. (1966), 'Mutual fund performance'. Journal of Business 1(part II), 119-138.
-
(1966)
Journal of Business
, vol.1
, Issue.PART II
, pp. 119-138
-
-
Sharpe, W.F.1
-
125
-
-
0002716956
-
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
-
126
-
-
0000290148
-
Persistent performance in the mutual fund market: Tests with funds and investment advisors
-
Shukla, R. and C. Trzcinka (1994), 'Persistent performance in the mutual fund market: Tests with funds and investment advisors'. Review of Quantitative Finance and Accounting 4, 115-135.
-
(1994)
Review of Quantitative Finance and Accounting
, vol.4
, pp. 115-135
-
-
Shukla, R.1
Trzcinka, C.2
-
127
-
-
0005163859
-
Costly search and mutual fund flows
-
Sirri, E. R. and P. Tufano (1998), 'Costly search and mutual fund flows'. Journal of Finance 53, 1589-1622.
-
(1998)
Journal of Finance
, vol.53
, pp. 1589-1622
-
-
Sirri, E.R.1
Tufano, P.2
-
128
-
-
0011815682
-
A nonparametric model of term structure dynamics and the market price of interest rate risk
-
Stanton, R. (1997), 'A nonparametric model of term structure dynamics and the market price of interest rate risk'. Journal of Finance 52, 1973-2002.
-
(1997)
Journal of Finance
, vol.52
, pp. 1973-2002
-
-
Stanton, R.1
-
129
-
-
0009430868
-
Performance incentive fees: An agency theoretic approach
-
Starks, L. (1987), 'Performance incentive fees: An agency theoretic approach'. Journal of Financial and Quantitative Analysis 22, 17-32.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 17-32
-
-
Starks, L.1
-
130
-
-
0002332446
-
How to rate management of investment funds
-
Treynor, J. (1965), 'How to rate management of investment funds'. Harvard Business 41, 63-75.
-
(1965)
Harvard Business
, vol.41
, pp. 63-75
-
-
Treynor, J.1
-
131
-
-
0001739404
-
Can mutual funds outguess the market?
-
Treynor, J. and K. Mazuy (1966), 'Can mutual funds outguess the market?'. Harvard Business Review 44, 131-136.
-
(1966)
Harvard Business Review
, vol.44
, pp. 131-136
-
-
Treynor, J.1
Mazuy, K.2
-
132
-
-
0347078538
-
An equilibrium characterization of the term structure
-
Vasicek, O. A. (1977), 'An equilibrium characterization of the term structure'. Journal of Financial Economics 5, 177-188.
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 177-188
-
-
Vasicek, O.A.1
-
133
-
-
0041457738
-
Consensus beliefs, information acquisition, and market information efficiency
-
Verrecchia, R. E. (1980), 'Consensus beliefs, information acquisition, and market information efficiency'. American Economic Review 70, 874-884.
-
(1980)
American Economic Review
, vol.70
, pp. 874-884
-
-
Verrecchia, R.E.1
-
134
-
-
0000956516
-
Is money smart? A study of mutual fund investors' fund selection ability
-
Zheng, L. (1999), 'Is money smart? A study of mutual fund investors' fund selection ability'. Journal of Finance 54, 901-933.
-
(1999)
Journal of Finance
, vol.54
, pp. 901-933
-
-
Zheng, L.1
|