-
1
-
-
0001836487
-
Measuring investment performance in a rational expectations equilibrium model
-
Admati AR, Ross SA. 1985. Measuring investment performance in a rational expectations equilibrium model. J. Bus. 58:1-26
-
(1985)
J. Bus.
, vol.58
, pp. 1-26
-
-
Admati, A.R.1
Ross, S.A.2
-
2
-
-
0003021285
-
Optimal changepoint tests for normal linear regression
-
DOI 10.1016/0304-4076(94)01682-8
-
Andrews DWK, Lee I, Ploberger W. 1996. Optimal change-point tests for normal linear regression. J. Econom. 70:9-38 (Pubitemid 126339814)
-
(1996)
Journal of Econometrics
, vol.70
, Issue.1
, pp. 9-38
-
-
Andrews, D.W.K.1
Lee, I.2
Ploberger, W.3
-
3
-
-
78951469674
-
Hedge funds, managerial skill, and macroeconomic variables
-
Avramov D, Kosowski R, Naik N, Teo M. 2011. Hedge funds, managerial skill, and macroeconomic variables. J. Financ. Econ. 99:672-92
-
(2011)
J. Financ. Econ.
, vol.99
, pp. 672-692
-
-
Avramov, D.1
Kosowski, R.2
Naik, N.3
Teo, M.4
-
4
-
-
33745934211
-
Investing in mutual funds when returns are predictable
-
DOI 10.1016/j.jfineco.2005.05.010, PII S0304405X06000031
-
Avramov D, Wermers R. 2006. Investing in mutual funds when returns are predictable. J. Financ. Econ. 8:339-77 (Pubitemid 44057761)
-
(2006)
Journal of Financial Economics
, vol.81
, Issue.2
, pp. 339-377
-
-
Avramov, D.1
Wermers, R.2
-
6
-
-
80955161914
-
Manager universes: The solution or the problem?
-
ed. JR Squires, KP Ambachtsheer, Assoc. Invest. Manag. Res. (AIMR) Toronto, ON: CFA Inst. Publ
-
Bailey J. 1995. Manager universes: The solution or the problem? In Performance Evaluation, Benchmarks, and Attribution Analysis (AIMR Conference Proceedings), ed. JR Squires, KP Ambachtsheer, Assoc. Invest. Manag. Res. (AIMR), pp. 108-16. Toronto, ON: CFA Inst. Publ.
-
(1995)
Performance Evaluation, Benchmarks, and Attribution Analysis (AIMR Conference Proceedings)
, pp. 108-116
-
-
Bailey, J.1
-
7
-
-
0040436698
-
Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation
-
Baks K, Metrick A, Wachter J. 2001. Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation. J. Finance 56:45-86 (Pubitemid 33236122)
-
(2001)
Journal of Finance
, vol.56
, Issue.1
, pp. 45-86
-
-
Baks, K.P.1
Metrick, A.2
Wachter, J.3
-
8
-
-
74249121972
-
False discoveries in mutual fund performance: Measuring luck in estimated alphas
-
Barras L, Scaillet O, Wermers R. 2010. False discoveries in mutual fund performance: measuring luck in estimated alphas. J. Finance 65:179-216
-
(2010)
J. Finance
, vol.65
, pp. 179-216
-
-
Barras, L.1
Scaillet, O.2
Wermers, R.3
-
9
-
-
17644375205
-
International asset allocation with time-varying investment opportunities
-
DOI 10.1086/426520
-
Blake D, Timmermann A. 2005. International asset allocation with time-varying investment opportunities. J. Bus. 78:71-98 (Pubitemid 40572650)
-
(2005)
Journal of Business
, vol.78
, Issue.1
, pp. 71-98
-
-
Timmermann, A.1
Blake, D.2
-
10
-
-
80955127886
-
Decentralized investment management: Evidence from the pension fund industry
-
Blake D, Tonks I, Timmermann A, Wermers R. 2011. Decentralized investment management: evidence from the pension fund industry. SSRN Work. Pap. http://papers.ssrn.com/sol3/papers.cfm? abstract-id=1550591
-
(2011)
SSRN Work. Pap.
-
-
Blake, D.1
Tonks, I.2
Timmermann, A.3
Wermers, R.4
-
11
-
-
70349505840
-
Do hedge fund managers misreport returns? Evidence from the pooled distribution
-
Bollen NP, Pool VK. 2009. Do hedge fund managers misreport returns? Evidence from the pooled distribution. J. Finance 64:2257-88
-
(2009)
J. Finance
, vol.64
, pp. 2257-2288
-
-
Bollen, N.P.1
Pool, V.K.2
-
12
-
-
62449121671
-
Hedge fund risk dynamics: Implications for performance appraisal
-
Bollen NP, Whaley R. 2009. Hedge fund risk dynamics: implications for performance appraisal. J. Finance 64:987-1037
-
(2009)
J. Finance
, vol.64
, pp. 987-1037
-
-
Bollen, N.P.1
Whaley, R.2
-
13
-
-
0033408312
-
Volatility timing in mutual funds: Evidence from daily returns
-
Busse J. 1999. Volatility timing in mutual funds: evidence from daily returns. Rev. Financ. Stud. 12:1009-41
-
(1999)
Rev. Financ. Stud.
, vol.12
, pp. 1009-1041
-
-
Busse, J.1
-
14
-
-
77952662124
-
Performance and persistence in institutional investment management
-
Busse J, Goyal A, Wahal S. 2010. Performance and persistence in institutional investment management. J. Finance 65:765-90
-
(2010)
J. Finance
, vol.65
, pp. 765-790
-
-
Busse, J.1
Goyal, A.2
Wahal, S.3
-
15
-
-
0002624840
-
On persistence in mutual fund performance
-
Carhart M. 1997. On persistence in mutual fund performance. J. Finance 52:57-82
-
(1997)
J. Finance
, vol.52
, pp. 57-82
-
-
Carhart, M.1
-
16
-
-
0034403599
-
The value of active mutual fund management: An examination of the stockholdings and trades of fund managers
-
Chen H-L, Jegadeesh N, Wermers R. 2000. The value of active mutual fund management: an examination of the stockholdings and trades of fund managers. J. Financ. Quant. Anal. 35:343-68
-
(2000)
J. Financ. Quant. Anal.
, vol.35
, pp. 343-368
-
-
Chen, H.-L.1
Jegadeesh, N.2
Wermers, R.3
-
17
-
-
0030540877
-
Portfolio performance measurement: Theory and applications
-
Chen Z, Knez P. 1996. Portfolio performance measurement: theory and applications. Rev. Financ. Stud. 9:511-56 (Pubitemid 126093800)
-
(1996)
Review of Financial Studies
, vol.9
, Issue.2
, pp. 511-556
-
-
Chen, Z.1
Knez, P.J.2
-
18
-
-
0040705364
-
Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance
-
Chevalier J, Ellison G. 1999. Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance. J. Finance 54:875-99
-
(1999)
J. Finance
, vol.54
, pp. 875-899
-
-
Chevalier, J.1
Ellison, G.2
-
19
-
-
0032345355
-
Conditioning manager alphas on economic information: Another look at the persistence of performance
-
Christopherson JA, Ferson W, Glassman D. 1998. Conditioning manager alphas on economic information: another look at the persistence of performance. Rev. Financ. Stud. 11:111-42
-
(1998)
Rev. Financ. Stud.
, vol.11
, pp. 111-142
-
-
Christopherson, J.A.1
Ferson, W.2
Glassman, D.3
-
20
-
-
55849123030
-
The small world of investing: Board connections and mutual fund returns
-
Cohen L, Frazzini A, Malloy C. 2008. The small world of investing: board connections and mutual fund returns. J. Polit. Econ. 116:951-79
-
(2008)
J. Polit. Econ.
, vol.116
, pp. 951-979
-
-
Cohen, L.1
Frazzini, A.2
Malloy, C.3
-
21
-
-
19944387251
-
Judging fund managers by the company they keep
-
DOI 10.1111/j.1540-6261.2005.00756.x
-
Cohen R, Coval J, Pastor L. 2005. Judging fund managers by the company they keep. J. Finance 60:1057-96 (Pubitemid 40758674)
-
(2005)
Journal of Finance
, vol.60
, Issue.3
, pp. 1057-1096
-
-
Cohen, R.B.1
Coval, J.D.2
Pastor, L.3
-
22
-
-
0011006390
-
The Value Line enigma (1965-1978): A case study of performance evaluation issues
-
Copeland TE, Mayers D. 1982. The Value Line enigma (1965-1978): a case study of performance evaluation issues. J. Financ. Econ. 10:289-322
-
(1982)
J. Financ. Econ.
, vol.10
, pp. 289-322
-
-
Copeland, T.E.1
Mayers, D.2
-
23
-
-
71949087490
-
How active is your fund manager? A new measure that predicts performance
-
Cremers M, Petajisto A. 2009. How active is your fund manager? A new measure that predicts performance. Rev. Financ. Stud. 22:3329-65
-
(2009)
Rev. Financ. Stud.
, vol.22
, pp. 3329-3365
-
-
Cremers, M.1
Petajisto, A.2
-
24
-
-
0038851966
-
Evaluating portfolio performance with stochastic discount factors
-
Dahlquist M, Soderlind P. 1999. Evaluating portfolio performance with stochastic discount factors. J. Bus. 72:347-83
-
(1999)
J. Bus.
, vol.72
, pp. 347-383
-
-
Dahlquist, M.1
Soderlind, P.2
-
25
-
-
0039561990
-
Measuring mutual fund performance with characteristic-based benchmarks
-
Daniel K, Grinblatt M, Titman S, Wermers R. 1997. Measuring mutual fund performance with characteristic-based benchmarks. J. Finance 52:1035-58
-
(1997)
J. Finance
, vol.52
, pp. 1035-1058
-
-
Daniel, K.1
Grinblatt, M.2
Titman, S.3
Wermers, R.4
-
27
-
-
84855386870
-
How some hedge fund characteristics impact performance
-
De Souza C, Gokcan S. 2003. How some hedge fund characteristics impact performance. AIMA J. Sep.
-
(2003)
AIMA J. Sep
-
-
De Souza, C.1
Gokcan, S.2
-
28
-
-
33846290054
-
Mutual fund performance and governance structure: The role of portfolio managers and boards of directors
-
doi:10.2139/ssrn.687273
-
Ding B, Wermers R. 2009. Mutual fund performance and governance structure: the role of portfolio managers and boards of directors. SSRN Work. Pap. http://ssrn.com/abstract=687273 or doi:10.2139/ssrn.687273
-
(2009)
SSRN Work. Pap.
-
-
Ding, B.1
Wermers, R.2
-
29
-
-
0002724146
-
Business conditions and expected returns on stocks and bonds
-
Fama EF, French KR. 1989. Business conditions and expected returns on stocks and bonds. J. Financ. Econ. 19:3-29
-
(1989)
J. Financ. Econ.
, vol.19
, pp. 3-29
-
-
Fama, E.F.1
French, K.R.2
-
30
-
-
84977737676
-
The cross-section of expected stock returns
-
Fama EF, French KR. 1992. The cross-section of expected stock returns. J. Finance 47:427-65
-
(1992)
J. Finance
, vol.47
, pp. 427-465
-
-
Fama, E.F.1
French, K.R.2
-
31
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama EF, French KR. 1993. Common risk factors in the returns on stocks and bonds. J. Financ. Econ. 33:3-56
-
(1993)
J. Financ. Econ.
, vol.33
, pp. 3-56
-
-
Fama, E.F.1
French, K.R.2
-
32
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
Fama EF, French KR. 1996. Multifactor explanations of asset pricing anomalies. J. Finance 51:55-84
-
(1996)
J. Finance
, vol.51
, pp. 55-84
-
-
Fama, E.F.1
French, K.R.2
-
33
-
-
77957161053
-
Luck versus skill in the cross-section of mutual fund returns
-
Fama EF, French KR. 2010. Luck versus skill in the cross-section of mutual fund returns. J. Finance 65:1915-45
-
(2010)
J. Finance
, vol.65
, pp. 1915-1945
-
-
Fama, E.F.1
French, K.R.2
-
34
-
-
0009888594
-
Conditioning variables and the cross-section of stock returns
-
Ferson W, Harvey C. 1999. Conditioning variables and the cross-section of stock returns. J. Finance 54:1325-60
-
(1999)
J. Finance
, vol.54
, pp. 1325-1360
-
-
Ferson, W.1
Harvey, C.2
-
35
-
-
33645743007
-
Evaluating government bond fund performance with stochastic discount factors
-
DOI 10.1093/rfs/hhj015
-
Ferson W, Henry T, Kisgen D. 2006. Evaluating government bond fund performance with stochastic discount factors. Rev. Financ. Stud. 19:423-55 (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
-
36
-
-
0036698282
-
Conditional performance measurement using portfolio weights: Evidence for pension funds
-
Ferson W, Khang K. 2002. Conditional performance measurement using portfolio weights: evidence for pension funds. J. Financ. Econ. 65:249-82
-
(2002)
J. Financ. Econ.
, vol.65
, pp. 249-282
-
-
Ferson, W.1
Khang, K.2
-
37
-
-
0039056070
-
Measuring fund strategy and performance in changing economic conditions
-
Ferson WE, Schadt RW. 1996. Measuring fund strategy and performance in changing economic conditions. J. Finance 51:425-61 (Pubitemid 126313376)
-
(1996)
Journal of Finance
, vol.51
, Issue.2
, pp. 425-461
-
-
Person, W.E.1
Schadt, R.W.2
-
38
-
-
47749095356
-
Presidential address: The cost of active investing
-
French KR. 2008. Presidential address: the cost of active investing. J. Finance 63:1537-73
-
(2008)
J. Finance
, vol.63
, pp. 1537-1573
-
-
French, K.R.1
-
39
-
-
0034416371
-
Performance characteristics of hedge funds and CTA funds: Natural versus spurious biases
-
Fung W, Hsieh D. 2000. Performance characteristics of hedge funds and CTA funds: natural versus spurious biases. J. Financ. Quant. Anal. 35:291-307
-
(2000)
J. Financ. Quant. Anal.
, vol.35
, pp. 291-307
-
-
Fung, W.1
Hsieh, D.2
-
40
-
-
7444249771
-
Hedge fund benchmarks: A risk-based approach
-
Fung W, Hsieh D. 2004. Hedge fund benchmarks: a risk-based approach. Financ. Anal. J. 60:65-80 (Pubitemid 39443287)
-
(2004)
Financial Analysts Journal
, vol.60
, Issue.5
, pp. 65-80
-
-
Fung, W.1
Hsieh, D.A.2
-
41
-
-
47749141439
-
Hedge funds: Performance, risk, and capital formation
-
Fung W, Hsieh DA, Naik NY, Ramadorai T. 2008. Hedge funds: performance, risk, and capital formation. J. Finance 63:1777-803
-
(2008)
J. Finance
, vol.63
, pp. 1777-803
-
-
Fung, W.1
Hsieh, D.A.2
Naik, N.Y.3
Ramadorai, T.4
-
42
-
-
80955161911
-
Share restrictions and investor flows in the hedge fund industry
-
Getmansky M, Liang B, Schwarz C, Wermers R. 2011. Share restrictions and investor flows in the hedge fund industry. SSRN Work. Pap. http://papers.ssrn. com/sol3/papers.cfm?abstract-id= 891732
-
(2011)
SSRN Work. Pap.
-
-
Getmansky, M.1
Liang, B.2
Schwarz, C.3
Wermers, R.4
-
43
-
-
7744243971
-
An econometric model of serial correlation and illiquidity in hedge fund returns
-
Getmansky M, Lo AW, Makarov I. 2004. An econometric model of serial correlation and illiquidity in hedge fund returns. J. Financ. Econ. 74:529-610
-
(2004)
J. Financ. Econ.
, vol.74
, pp. 529-610
-
-
Getmansky, M.1
Lo, A.W.2
Makarov, I.3
-
45
-
-
34548532494
-
Portfolio performance manipulation and manipulation-proof performance measures
-
Goetzmann W, Ingersoll J, Spiegel M, Welch I. 2007. Portfolio performance manipulation and manipulation-proof performance measures. Rev. Financ. Stud. 20:1503-46
-
(2007)
Rev. Financ. Stud.
, vol.20
, pp. 1503-1546
-
-
Goetzmann, W.1
Ingersoll, J.2
Spiegel, M.3
Welch, I.4
-
46
-
-
33344471270
-
Manager education and mutual fund performance
-
DOI 10.1016/j.jempfin.2005.10.001, PII S0927539805000733
-
Gottesman A, Morey MR. 2006. Manager education and mutual fund performance. J. Empir. Finance 13:145-82 (Pubitemid 43286241)
-
(2006)
Journal of Empirical Finance
, vol.13
, Issue.2
, pp. 145-182
-
-
Gottesman, A.A.1
Morey, M.R.2
-
47
-
-
0030295871
-
Market timing ability and volatility implied in investment newsletters' asset allocation recommendations
-
DOI 10.1016/0304-405X(96)00878-1
-
Graham J, Harvey C. 1996. Market timing ability and volatility implied in investment newsletters' asset allocation recommendations. J. Financ. Econ. 42:397-421 (Pubitemid 126164696)
-
(1996)
Journal of Financial Economics
, vol.42
, Issue.3
, pp. 397-421
-
-
Graham, J.R.1
Harvey, C.R.2
-
48
-
-
84055211536
-
How smart are the smart guys? A unique view from hedge fund stock holdings
-
Griffin J, Xu J. 2009. How smart are the smart guys? A unique view from hedge fund stock holdings. Rev. Financ. Stud. 22:2531-70
-
(2009)
Rev. Financ. Stud.
, vol.22
, pp. 2531-2570
-
-
Griffin, J.1
Xu, J.2
-
50
-
-
0001264756
-
Mutual fund performance: An analysis of quarterly portfolio holdings
-
Grinblatt M, Titman S. 1989a. Mutual fund performance: an analysis of quarterly portfolio holdings. J. Bus. 62:394-415
-
(1989)
J. Bus.
, vol.62
, pp. 394-415
-
-
Grinblatt, M.1
Titman, S.2
-
51
-
-
21144484811
-
Portfolio performance evaluation: Old issues and new insights
-
Grinblatt M, Titman S. 1989b. Portfolio performance evaluation: old issues and new insights. Rev. Financ. Stud. 2:393-422
-
(1989)
Rev. Financ. Stud.
, vol.2
, pp. 393-422
-
-
Grinblatt, M.1
Titman, S.2
-
52
-
-
21144478549
-
Performance measurement without benchmarks: An examination of mutual fund returns
-
Grinblatt M, Titman S. 1993. Performance measurement without benchmarks: an examination of mutual fund returns. J. Bus. 66:47-68
-
(1993)
J. Bus.
, vol.66
, pp. 47-68
-
-
Grinblatt, M.1
Titman, S.2
-
53
-
-
0000741932
-
Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior
-
Grinblatt M, Titman S, Wermers R. 1995. Momentum investment strategies, portfolio performance, and herding: a study of mutual fund behavior. Am. Econ. Rev. 85:1088-105
-
(1995)
Am. Econ. Rev.
, vol.85
, pp. 1088-105
-
-
Grinblatt, M.1
Titman, S.2
Wermers, R.3
-
54
-
-
0001188867
-
On the impossibility of informationally efficient markets
-
Grossman SJ, Stiglitz JE. 1980. On the impossibility of informationally efficient markets. Am. Econ. Rev. 70:393-408
-
(1980)
Am. Econ. Rev.
, vol.70
, pp. 393-408
-
-
Grossman, S.J.1
Stiglitz, J.E.2
-
55
-
-
79954488909
-
Risk shifting and mutual fund performance
-
doi: 10.1093/rfs/hhr001
-
Huang J, Sialm C, Zhang H. 2011. Risk shifting and mutual fund performance. Rev. Financ. Stud. doi: 10.1093/rfs/hhr001
-
(2011)
Rev. Financ. Stud.
-
-
Huang, J.1
Sialm, C.2
Zhang, H.3
-
57
-
-
22944470053
-
The winner-loser effect in Japanese stock returns
-
DOI 10.1016/j.japwor.2003.06.001
-
Iihara Y, Kato HK, Tokunaga T. 2004. The winner-loser effect in Japanese stock returns. Japan World Econ. 16:471-85 (Pubitemid 41052806)
-
(2004)
Japan and the World Economy
, vol.16
, Issue.4
, pp. 471-485
-
-
Iihara, Y.1
Kato, H.K.2
Tokunaga, T.3
-
58
-
-
74249118307
-
Do hot hands exist among hedge fund managers? An empirical examination
-
Jagannathan R, Malakhov A, Novikov D. 2010. Do hot hands exist among hedge fund managers? An empirical examination. J. Finance 65:217-55
-
(2010)
J. Finance
, vol.65
, pp. 217-255
-
-
Jagannathan, R.1
Malakhov, A.2
Novikov, D.3
-
59
-
-
84977718628
-
Evidence of predictable behavior of security returns
-
Jegadeesh N. 1990. Evidence of predictable behavior of security returns. J. Finance 45:881-98
-
(1990)
J. Finance
, vol.45
, pp. 881-898
-
-
Jegadeesh, N.1
-
60
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for stock market efficiency
-
Jegadeesh N, Titman S. 1993. Returns to buying winners and selling losers: implications for stock market efficiency. J. Finance 48:65-91
-
(1993)
J. Finance
, vol.48
, pp. 65-91
-
-
Jegadeesh, N.1
Titman, S.2
-
61
-
-
0000486548
-
The performance of mutual funds in the period 1945-1964
-
Jensen MC. 1968. The performance of mutual funds in the period 1945-1964. J. Finance 23:389-416
-
(1968)
J. Finance
, vol.23
, pp. 389-416
-
-
Jensen, M.C.1
-
62
-
-
0036343306
-
Can past performance be used to find the winners among international stock funds?
-
Jern B. 2002. Can past performance be used to find the winners among international stock funds? Ekonomiska Samfundets Tidskrift 55:77-97
-
(2002)
Ekonomiska Samfundets Tidskrift
, vol.55
, pp. 77-97
-
-
Jern, B.1
-
63
-
-
23944459531
-
On the industry concentration of actively managed equity mutual funds
-
DOI 10.1111/j.1540-6261.2005.00785.x
-
Kacperczyk M, Sialm C, Zheng L. 2005. On the industry concentration of actively managed equity mutual funds. J. Finance 60:1983-2012 (Pubitemid 41205011)
-
(2005)
Journal of Finance
, vol.60
, Issue.4
, pp. 1983-2012
-
-
Kacperczyk, M.1
Sialm, C.2
Zheng, L.U.3
-
65
-
-
46149129689
-
Predicting returns in the stock and the bond markets
-
Keim D, Stambaugh RF. 1986. Predicting returns in the stock and the bond markets. J. Financ. Econ. 17:357-90
-
(1986)
J. Financ. Econ.
, vol.17
, pp. 357-390
-
-
Keim, D.1
Stambaugh, R.F.2
-
66
-
-
80955127883
-
The cross-section of managerial ability, incentives, and risk preferences
-
Koijen R. 2010. The cross-section of managerial ability, incentives, and risk preferences. SSRN Work. Pap. http://ssrn.com/abstract=1101652
-
(2010)
SSRN Work. Pap.
-
-
Koijen, R.1
-
67
-
-
80955161909
-
Do mutual funds perform when it matters most to investors? US mutual fund performance and risk in recessions and expansions
-
Kosowski R. 2006. Do mutual funds perform when it matters most to investors? US mutual fund performance and risk in recessions and expansions. SSRN Work. Pap. http://ssrn.com/abstract=926971
-
(2006)
SSRN Work. Pap.
-
-
Kosowski, R.1
-
68
-
-
33947501244
-
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis
-
Kosowski R, Naik N, Teo M. 2007. Do hedge funds deliver alpha? A Bayesian and bootstrap analysis. J. Financ. Econ. 84:229-64
-
(2007)
J. Financ. Econ.
, vol.84
, pp. 229-264
-
-
Kosowski, R.1
Naik, N.2
Teo, M.3
-
69
-
-
33846251341
-
Can mutual fund "stars" really pick stocks? New evidence from a bootstrap analysis
-
Kosowski R, Timmermann A, Wermers R, White H. 2006. Can mutual fund "stars" really pick stocks? New evidence from a bootstrap analysis. J. Finance 61:2551-95
-
(2006)
J. Finance
, vol.61
, pp. 2551-2595
-
-
Kosowski, R.1
Timmermann, A.2
Wermers, R.3
White, H.4
-
70
-
-
0041028786
-
Evaluating mutual fund performance
-
Kothari SP, Warner J. 2001. Evaluating mutual fund performance. J. Finance 56:1985-2010
-
(2001)
J. Finance
, vol.56
, pp. 1985-2010
-
-
Kothari, S.P.1
Warner, J.2
-
71
-
-
0010734388
-
Price momentum and trading volume
-
Lee CMC, Swaminathan B. 2000. Price momentum and trading volume. J. Finance 55:2017-69
-
(2000)
J. Finance
, vol.55
, pp. 2017-2069
-
-
Lee, C.M.C.1
Swaminathan, B.2
-
72
-
-
0034415483
-
Hedge funds: The living and the dead
-
Liang B. 2000. Hedge funds: the living and the dead. J. Financ. Quant. Anal. 35:309-26
-
(2000)
J. Financ. Quant. Anal.
, vol.35
, pp. 309-326
-
-
Liang, B.1
-
74
-
-
0038185576
-
Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses. Discussion
-
Moskowitz TJ. 2000. Mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs, and expenses. Discussion. J. Finance 55:1695-703
-
(2000)
J. Finance
, vol.55
, pp. 1695-703
-
-
Moskowitz, T.J.1
-
75
-
-
80955127882
-
-
Work. Pap., Chulalongkorn Univ./Univ. Md., Coll. Park
-
Nitibhon C, Tirapat S, Wermers R. 2005. Secrets of Thai equity funds revealed: an analysis of performance, persistence, and flows. Work. Pap., Chulalongkorn Univ./Univ. Md., Coll. Park
-
(2005)
Secrets of Thai Equity Funds Revealed: An Analysis of Performance, Persistence, and Flows
-
-
Nitibhon, C.1
Tirapat, S.2
Wermers, R.3
-
76
-
-
0036217845
-
Investing in equity mutual funds
-
Pastor L, Stambaugh R. 2002a. Investing in equity mutual funds. J. Financ. Econ. 63:351-80
-
(2002)
J. Financ. Econ.
, vol.63
, pp. 351-380
-
-
Pastor, L.1
Stambaugh, R.2
-
77
-
-
0036221467
-
Mutual fund performance and seemingly unrelated assets
-
Pastor L, Stambaugh R. 2002b. Mutual fund performance and seemingly unrelated assets. J. Financ. Econ. 63:315-49
-
(2002)
J. Financ. Econ.
, vol.63
, pp. 315-349
-
-
Pastor, L.1
Stambaugh, R.2
-
78
-
-
0348223599
-
An examination of the performance of the trades and stockholdings of fund managers: Further evidence
-
Pinnuck M. 2003. An examination of the performance of the trades and stockholdings of fund managers: further evidence. J. Financ. Quant. Anal. 38:811-28 (Pubitemid 37537497)
-
(2003)
Journal of Financial and Quantitative Analysis
, vol.38
, Issue.4
, pp. 811-828
-
-
Pinnuck, M.1
-
79
-
-
84977431626
-
Ambiguity when performance is measured by the securities line
-
Roll R. 1978. Ambiguity when performance is measured by the securities line. J. Finance 33:1051-69
-
(1978)
J. Finance
, vol.33
, pp. 1051-1069
-
-
Roll, R.1
-
80
-
-
0040165125
-
International momentum strategies
-
Rouwenhorst G. 1998. International momentum strategies. J. Finance 53:267-84
-
(1998)
J. Finance
, vol.53
, pp. 267-284
-
-
Rouwenhorst, G.1
-
81
-
-
84980092818
-
Capital asset prices: A theory of market equilibrium under conditions of risk
-
Sharpe W. 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. J. Finance 19:425-42
-
(1964)
J. Finance
, vol.19
, pp. 425-442
-
-
Sharpe, W.1
-
82
-
-
0036020892
-
A direct approach to false discovery rates
-
Storey JD. 2002. A direct approach to false discovery rates. J. R. Stat. Soc. Ser. A Stat. Soc. 64:479-98
-
(2002)
J. R. Stat. Soc. Ser. A Stat. Soc.
, vol.64
, pp. 479-498
-
-
Storey, J.D.1
-
83
-
-
78650561140
-
Do the best hedge funds hedge?
-
Titman S, Tiu C. 2011. Do the best hedge funds hedge? Rev. Financ. Stud. 24:123-68
-
(2011)
Rev. Financ. Stud.
, vol.24
, pp. 123-168
-
-
Titman, S.1
Tiu, C.2
-
84
-
-
49149145590
-
The Mayers-Rice conjecture: A counterexample
-
Verrecchia R. 1980. The Mayers-Rice conjecture: a counterexample. J. Financ. Econ. 8:87-100
-
(1980)
J. Financ. Econ.
, vol.8
, pp. 87-100
-
-
Verrecchia, R.1
-
85
-
-
0038185576
-
Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses
-
Wermers R. 2000. Mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs, and expenses. J. Finance 55:1655-95
-
(2000)
J. Finance
, vol.55
, pp. 1655-1695
-
-
Wermers, R.1
-
86
-
-
27244435308
-
Is money really "smart"? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence
-
doi:10.2139/ssrn.414420
-
Wermers R. 2005. Is money really "smart"? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. SSRN Work. Pap. http://ssrn.com/abstract=414420 or doi:10.2139/ssrn.414420
-
(2005)
SSRN Work. Pap.
-
-
Wermers, R.1
-
87
-
-
33646497902
-
Performance evaluation with portfolio holdings information
-
DOI 10.1016/j.najef.2006.01.001, PII S1062940806000040
-
Wermers R. 2006. Performance evaluation with portfolio holdings information. N. Am. J. Econ. Finance 17:207-30 (Pubitemid 43705511)
-
(2006)
North American Journal of Economics and Finance
, vol.17
, Issue.2
, pp. 207-230
-
-
Wermers, R.1
-
89
-
-
17644426080
-
Fund manager herding: A test of the accuracy of empirical results using U.K. data
-
DOI 10.1086/426529
-
Wylie S. 2005. Fund manager herding: a test of the accuracy of empirical results using U.K. data. J. Bus. 78:381-403 (Pubitemid 40572659)
-
(2005)
Journal of Business
, vol.78
, Issue.1
, pp. 381-403
-
-
Wylie, S.1
|