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Past Imperfect? The Performance of UK Equity Managed Funds
16 references·0 citing·32 second hop
Past Imperfect? The Performance of UK Equity Managed Funds (2003)Past Imperfect? The Performance of UK Equ…The hazards of mutual fund underperformance: A Cox regression analysis (1999)The hazards of mutual fund un…Asset Allocation Dynamics and Pension Fund Performance (1999)Asset Allocation Dynamics and…Against The Gods: The Remarkable Story of Risk (1999)Against The Gods: The Remarka…The Implications of Style Analysis for Mutual Fund Performance Evaluation (1998)The Implications of Style Ana…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Consistency of UK Pension Fund Investment Performance (1997)Consistency of UK Pension Fun…Against the Gods: The Remarkable Story of Risk (1997)Against the Gods: The Remarka…The Persistence of Risk-Adjusted Mutual Fund Performance (1996)The Persistence of Risk-Adjus…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Against the Gods: The Remarkable Story of Risk (1996)Against the Gods: The Remarka…Performance Persistence (1995)Performance PersistenceHot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Hot Hands in Mutual Funds: Sh…The Persistence of Mutual Fund Performance (1992)The Persistence of Mutual Fun…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Career Concerns of Mutual Fund Managers (1999)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Behavior of Stock-Market Prices (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)The Cross-Section of Expected Stock Returns (1992)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Survivorship Bias in Performance Studies (1992)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Are Some Mutual Fund Managers Better Than Others? Cross‐Sectional Patterns in Behavior and Performance (1999)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)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)The nature of procrastination: A meta-analytic and theoretical review of quintessential self-regulatory failure. (2007)Risk assessment and risk management: Review of recent advances on their foundation (2015)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1996Against the Gods: The Remarkable Story of Risk1,441 cited
  • 1993Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-19881,219 cited
  • 1992The Persistence of Mutual Fund Performance1,040 cited
  • 1995Performance Persistence946 cited
  • 1996The Persistence of Risk-Adjusted Mutual Fund Performance838 cited
  • 1997Against the Gods: The Remarkable Story of Risk631 cited
  • 1999Asset Allocation Dynamics and Pension Fund Performance351 cited
  • 1999Against The Gods: The Remarkable Story of Risk339 cited
  • 1999The hazards of mutual fund underperformance: A Cox regression analysis121 cited
  • 1998The Implications of Style Analysis for Mutual Fund Performance Evaluation89 cited
  • 1997

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Consistency of UK Pension Fund Investment Performance
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