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New Insights Into Mutual Funds: Performance and Family Strategies
16 references·11 citing·12 second hop
New Insights Into Mutual Funds: Performance and Family Strategies (2007)New Insights Into Mutual Funds: Performan…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…The relationship between return and market value of common stocks (1981)The relationship between retu…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…End-of-Life Inventory Decisions of Service Parts (2011)End-of-Life Inventory Decisio…An Institution-Based View of Ownership (2011)An Institution-Based View of …Transition Process and Performance in IT Outsourcing: Evidence from a Field Study and Laboratory Experiments (2010)Transition Process and Perfor…Leveraging Logistics Partnerships: Lessons from Humanitarian Organizations (2010)Leveraging Logistics Partners…Engaging Environmental Turbulence : Organizational Determinants for Repetitive, Quick and Adequate Responses (2010)Engaging Environmental Turbul…Diffusion of Corporate Governance Beliefs: Board independence and the emergence of a shareholder value orientation in the Netherlands (2010)Diffusion of Corporate Govern…Eco-efficient Supply Chains for Electrical and Electronic Products (2008)Eco-efficient Supply Chains f…Buyer-seller interaction patterns during ongoing service exchange (2007)Buyer-seller interaction patt…Financial Services and Emerging Markets (2006)Financial Services and Emergi…Capital Structure, Strategic Competition, and Governance (2004)Capital Structure, Strategic …Organizing Systemic Innovation (2003)Organizing Systemic InnovationTHE 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)The Behavior of Stock-Market Prices (1965)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited

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2000
Conditional Skewness in Asset Pricing Tests
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Cited by

  • 2003Organizing Systemic Innovation41 cited
  • 2006Financial Services and Emerging Markets41 cited
  • 2010Leveraging Logistics Partnerships: Lessons from Humanitarian Organizations39 cited
  • 2007Buyer-seller interaction patterns during ongoing service exchange38 cited
  • 2010Engaging Environmental Turbulence : Organizational Determinants for Repetitive, Quick and Adequate Responses36 cited
  • 2008Eco-efficient Supply Chains for Electrical and Electronic Products30 cited
  • 2004Capital Structure, Strategic Competition, and Governance28 cited
  • 2010Diffusion of Corporate Governance Beliefs: Board independence and the emergence of a shareholder value orientation in the Netherlands26 cited
  • 2011End-of-Life Inventory Decisions of Service Parts25 cited
  • 2011An Institution-Based View of Ownership19 cited
  • 2010Transition Process and Performance in IT Outsourcing: Evidence from a Field Study and Laboratory Experiments14 cited