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Return-based style analysis with time-varying exposures
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Return-based style analysis with time-varying exposures (2006)Return-based style analysis with time-var…Evaluating style analysis (2003)Evaluating style analysisOn Mutual Fund Investment Styles (2002)On Mutual Fund Investment Sty…Mutual fund objective misclassification (2000)Mutual fund objective misclas…Generalised style analysis of hedge funds (2000)Generalised style analysis of…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Mutual fund styles (1997)Mutual fund stylesMutual Fund Misclassification: Evidence Based on Style Analysis (1997)Mutual Fund Misclassification…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…INVESTMENT PERFORMANCE OF INTERNATIONAL MUTUAL FUNDS (1994)INVESTMENT PERFORMANCE OF INT…Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…UK unit trust performance 1980–1989: A passive time-varying approach (1992)UK unit trust performance 198…Evaluating the Performance of International Mutual Funds (1990)Evaluating the Performance of…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…DYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS‐IN‐VARIABLES (2008)DYNAMIC HEDGE FUND STYLE ANAL…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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Financial Intermediation and Delegated Monitoring (1984)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Volatility Spillover Effects in European Equity Markets (2005)Global market integration: An alternative measure and its application☆ (2009)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Survivorship Bias in Performance Studies (1992)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)Style momentum within the S&P-500 index (2004)SRI Funds: Nomen est Omen (2008)Picking Winners? Investment Consultants' Recommendations of Fund Managers (2013)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Herding and Feedback Trading by Institutional and Individual Investors (1999)Mutual Fund Flows and Performance in Rational Markets (2004)Asset Fire Sales (and Purchases) in Equity Markets (2005)Economic Forces and the Stock Market (1986)Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry (2001)Mutual Fund's R 2 as Predictor of Performance (2012)Brand Perceptions and the Market for Common Stock (2002)Performance evaluation and self-designated benchmark indexes in the mutual fund industry (2009)Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices (2013)Multifactor Explanations of Asset Pricing Anomalies (1996)Volatility Timing in Mutual Funds: Evidence from Daily Returns (1999)No Place Like Home: Familiarity in Mutual Fund Manager Portfolio Choice (2012)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 1997Mutual fund styles475 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds414 cited
  • 2002On Mutual Fund Investment Styles397 cited
  • 1997Mutual Fund Misclassification: Evidence Based on Style Analysis160 cited
  • 2000Generalised style analysis of hedge funds137 cited
  • 1990Evaluating the Performance of International Mutual Funds124 cited
  • 2000Mutual fund objective misclassification115 cited
  • 1992UK unit trust performance 1980–1989: A passive time-varying approach114 cited
  • 1994INVESTMENT PERFORMANCE OF INTERNATIONAL MUTUAL FUNDS113 cited
  • 2003Evaluating style analysis

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  • 2008DYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS‐IN‐VARIABLES20 cited