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Optimal Utilization of Market Forecasts and the Evaluation of Investment Performance
11 references·13 citing·28 second hop
Optimal Utilization of Market Forecasts and the Evaluation of Investment Performance (2003)Optimal Utilization of Market Forecasts a…How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Measurement of Portfolio Performance Under Uncertainty (1970)Measurement of Portfolio Perf…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…RISK, RETURN AND EQUILIBRIUM: SOME CLARIFYING COMMENTS (1968)RISK, RETURN AND EQUILIBRIUM:…Mutual Fund Performance (1966)Mutual Fund PerformanceEquilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Investment Performance of Ethical Equity Funds in Malaysia (2020)The Investment Performance of…Measuring bond mutual fund performance with portfolio characteristics (2015)Measuring bond mutual fund pe…The market timing skills of hedge funds during the financial crisis (2011)The market timing skills of h…Measuring Bond Mutual Fund Performance with Portfolio Characteristics (2011)Measuring Bond Mutual Fund Pe…Portfolio performance gauging in discrete time using a Luenberger productivity indicator (2010)Portfolio performance gauging…Investment Performance Evaluation (2010)Investment Performance Evalua…Conditional performance evaluation for German equity mutual funds (2008)Conditional performance evalu…Timing and selectivity in Portuguese mutual fund performance (2005)Timing and selectivity in Por…On the Performance of Private Equity Investments: Does Market Timing Matter? (2004)On the Performance of Private…Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance (2003)Tests of Multifactor Pricing …Portfolio Theory and Performance Analysis (2003)Portfolio Theory and Performa…Conditioning Information and European Bond Fund Performance (2003)Conditioning Information and …Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance (2003)Chapter 12 Tests of multifact…Portfolio Selection: Efficient Diversification of Investments (1959)An Intertemporal Capital Asset Pricing Model (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Behavior of Stock-Market Prices (1965)RANDOM WALKS AND TECHNICAL THEORIES: SOME ADDITIONAL EVIDENCE (1970)Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Multiperiod Consumption-Investment Decisions (1975)Theory of games and economic behavior (2019)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)An Engine, Not a Camera (2006)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Efficient Capital Markets: II (1991)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1968RISK, RETURN AND EQUILIBRIUM: SOME CLARIFYING COMMENTS396 cited
  • 1970Measurement of Portfolio Performance Under Uncertainty390 cited

Cited by

  • 2003Portfolio Theory and Performance Analysis97 cited
  • 2010Investment Performance Evaluation77 cited
  • 2015Measuring bond mutual fund performance with portfolio characteristics70 cited
  • 2005Timing and selectivity in Portuguese mutual fund performance61 cited

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2003
Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
60 cited
  • 2003Conditioning Information and European Bond Fund Performance59 cited
  • 2011The market timing skills of hedge funds during the financial crisis39 cited
  • 2004On the Performance of Private Equity Investments: Does Market Timing Matter?36 cited
  • 2008Conditional performance evaluation for German equity mutual funds36 cited
  • 2010Portfolio performance gauging in discrete time using a Luenberger productivity indicator33 cited
  • 2011Measuring Bond Mutual Fund Performance with Portfolio Characteristics27 cited
  • 2003Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance25 cited
  • 2020The Investment Performance of Ethical Equity Funds in Malaysia23 cited