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An analysis of mutual fund design: the case of investing in small-cap stocks
7 references·16 citing·45 second hop
An analysis of mutual fund design: the case of investing in small-cap stocks (1999)An analysis of mutual fund design: the ca…Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Transactions costs and invest…The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…The New Issues Puzzle (1995)The New Issues PuzzleCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Long‐Run Performance of initial Public Offerings (1991)The Long‐Run Performance of i…The Long-Run Performance of Initial Public Offerings, (1991)The Long-Run Performance of I…Optimal Security Design (1988)Optimal Security DesignIs There Too Much Benchmarking in Asset Management? (2023)Is There Too Much Benchmarkin…Short-term reversals, returns to liquidity provision and the costs of immediacy* (2022)Short-term reversals, returns…Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance (2020)Transaction Costs, Portfolio …Can investor sentiment predict the size premium? (2019)Can investor sentiment predic…Style Drift: Evidence from Small-Cap Mutual Funds (2016)Style Drift: Evidence from Sm…Passive versus Active Fund Performance: Do Index Funds Have Skill? (2014)Passive versus Active Fund Pe…High‐Frequency Trading and the Execution Costs of Institutional Investors (2014)High‐Frequency Trading and th…Market Crashes and Institutional Trading (2011)Market Crashes and Institutio…Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds (2010)Impatient Trading, Liquidity …Valuable Information and Costly Liquidity: Evidence from Individual Mutual Fund Trades (2007)Valuable Information and Cost…The performance and trading characteristics of exchange-traded funds (2006)The performance and trading c…Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation (2006)Seasonality, Market Timing an…The Index Tracking Strategies of Passive and Enhanced Index Equity Funds (2005)The Index Tracking Strategies…The Russell Reconstitution Effect (2003)The Russell Reconstitution Ef…Market Microstructure: A Practitioner's Guide (2002)Market Microstructure: A Prac…The disappearing size effect (2000)The disappearing size effectAsset pricing and the bid-ask spread (1986)Do Demand Curves for Stocks Slope Down? (1986)Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Index Changes and Losses to Index Fund Investors (2006)What Drives the S&P 500 Inclusion Effect? An Analytical Survey (2006)The Index Premium and its Hidden Cost for Index Funds (2010)Estimating the components of the bid/ask spread (1988)The Behavior of Stock Prices Around Institutional Trades (1995)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Are Financial Assets Priced Locally or Globally? (2002)Are Momentum Profits Robust to Trading Costs? (2004)Optimal trading strategy and supply/demand dynamics (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)On Persistence in Mutual Fund Performance (1997)Size and book-to-market factors in Australia (2012)Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies (2016)FIRM SIZE AND STOCK RETURNS: A QUANTITATIVE SURVEY (2019)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)On the Impossibility of Informationally Efficient Markets (1980)The Capital Structure Puzzle (1984)An introduction to general equilibrium with incomplete asset markets (1990)Effects of financial innovations on market volatility when beliefs are heterogeneous (1998)Financial System Architecture and the Co-Evolution of Banks and Capital Markets (2009)Advertising, Breadth of Ownership, and Liquidity (2003)Does Algorithmic Trading Improve Liquidity? (2011)High-Frequency Trading and Price Discovery (2014)Multiple markets, algorithmic trading, and market liquidity (2016)High-Frequency Trading Strategies (2017)The virtue of simplicity: On machine learning models in algorithmic trading (2020)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Does the Stock Market Overreact? (1985)INITIAL PUBLIC OFFERINGS (1988)Event Studies in Economics and Finance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The relationship between return and market value of common stocks (1981)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Pricing the commonality across alternative measures of liquidity (2007)Limited arbitrage in mergers and acquisitions (2002)The maturity of debt issues and predictable variation in bond returns (2003)Earnings Quality and International IPO Underpricing (2010)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1991The Long‐Run Performance of initial Public Offerings3,500 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades596 cited
  • 1991The Long-Run Performance of Initial Public Offerings,318 cited
  • 1988Optimal Security Design297 cited

Cited by

  • 2000The disappearing size effect125 cited
  • 2003The Russell Reconstitution Effect125 cited
  • 2014High‐Frequency Trading and the Execution Costs of Institutional Investors100 cited
  • 2020Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance93 cited
  • 2010Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds92 cited
  • 2014Passive versus Active Fund Performance: Do Index Funds Have Skill?85 cited
  • 2016Style Drift: Evidence from Small-Cap Mutual Funds59 cited
  • 2006The performance and trading characteristics of exchange-traded funds55 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2007Valuable Information and Costly Liquidity: Evidence from Individual Mutual Fund Trades53 cited
  • 2006Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation48 cited
  • 2002Market Microstructure: A Practitioner's Guide44 cited
  • 2019Can investor sentiment predict the size premium?41 cited
  • 2023Is There Too Much Benchmarking in Asset Management?38 cited
  • 2005The Index Tracking Strategies of Passive and Enhanced Index Equity Funds38 cited
  • 2011Market Crashes and Institutional Trading38 cited
  • 2022Short-term reversals, returns to liquidity provision and the costs of immediacy*37 cited