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Managerial performance and the cross-sectional pricing of closed-end funds
16 references·16 citing·35 second hopsampled
Managerial performance and the cross-sectional pricing of closed-end funds (1999)Managerial performance and the cross-sect…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Persistence of Risk-Adjusted Mutual Fund Performance (1996)The Persistence of Risk-Adjus…Survivor Bias and Mutual Fund Performance (1996)Survivor Bias and Mutual Fund…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…The Performance of Bond Mutual Funds (1993)The Performance of Bond Mutua…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Private benefits from block ownership and discounts on closed-end funds (1993)Private benefits from block o…Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Hot Hands in Mutual Funds: Sh…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Mutual Fund Performance Evalu…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES (1977)THE VALUATION OF CLOSED‐END I…DISCOUNTS AND PREMIUMS ON CLOSED‐END MUTUAL FUNDS: A STUDY IN VALUATION (1973)DISCOUNTS AND PREMIUMS ON CLO…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…ETF Premiums and Liquidity Segmentation (2018)ETF Premiums and Liquidity Se…Open-End Organizational Structures and Limits to Arbitrage (2017)Open-End Organizational Struc…Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds (2016)Managerial Rents vs. Sharehol…Why Do Closed-End Bond Funds Exist? An Additional Explanation for the Growth in Domestic Closed-End Bond Funds (2013)Why Do Closed-End Bond Funds …Who's the Fairest of Them All? Evidence from Closed-End Funds (2013)Who's the Fairest of Them All…The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium (2012)The Secondary Market for Hedg…Payout policies and closed-end fund discounts: Signaling, agency costs, and the role of institutional investors (2011)Payout policies and closed-en…Price Discovery in Real Estate Markets: A Dynamic Analysis (2009)Price Discovery in Real Estat…The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium (2008)The Secondary Market for Hedg…Are ETFs Replacing Index Mutual Funds? (2008)Are ETFs Replacing Index Mutu…Dividend policy, signaling, and discounts on closed-end funds (2006)Dividend policy, signaling, a…The Closed-End Fund Discount (2002)The Closed-End Fund DiscountAgency Conflicts in Closed-End Funds: The Case of Rights Offerings (2002)Agency Conflicts in Closed-En…International Portfolio Investment: Theory, Evidence, and Institutional Framework (2001)International Portfolio Inves…International Portfolio Investment: Theory, Evidence, and Institutional Framework (2001)International Portfolio Inves…Rational Markets: Yes or No? The Affirmative Case (2000)Rational Markets: Yes or No? …An Empirical Evaluation of Accounting Income Numbers (1968)Modern Portfolio Theory and Investment Analysis. (1982)The Performance of Hedge Funds: Risk, Return, and Incentives (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)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)Efficient Capital Markets: II (1991)Breadth of ownership and stock returns (2002)The market for borrowing stock (2002)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)Economic Forces and the Stock Market (1986)Dividend yields and expected stock returns (1988)Noise Trader Risk in Financial Markets (1990)Herding and Feedback Trading by Institutional and Individual Investors (1999)Retail Investor Sentiment and Return Comovements (2006)Does Academic Research Destroy Stock Return Predictability? (2015)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability (1999)Unobserved Actions of Mutual Funds (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)
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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
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1993Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-19881,219 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1996The Persistence of Risk-Adjusted Mutual Fund Performance838 cited
  • 1996Survivor Bias and Mutual Fund Performance599 cited
  • 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons581 cited
  • 1993The Performance of Bond Mutual Funds464 cited
  • 1977THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES372 cited
  • 1993Private benefits from block ownership and discounts on closed-end funds259 cited

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  • 1973DISCOUNTS AND PREMIUMS ON CLOSED‐END MUTUAL FUNDS: A STUDY IN VALUATION127 cited
  • Cited by

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    • 2006Dividend policy, signaling, and discounts on closed-end funds57 cited
    • 2000Rational Markets: Yes or No? The Affirmative Case54 cited
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    • 2017Open-End Organizational Structures and Limits to Arbitrage50 cited
    • 2011Payout policies and closed-end fund discounts: Signaling, agency costs, and the role of institutional investors37 cited
    • 2013Why Do Closed-End Bond Funds Exist? An Additional Explanation for the Growth in Domestic Closed-End Bond Funds36 cited
    • 2002The Closed-End Fund Discount36 cited
    • 2018ETF Premiums and Liquidity Segmentation32 cited
    • 2002Agency Conflicts in Closed-End Funds: The Case of Rights Offerings30 cited
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