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Staying the Course: The Role of Investment Style Consistency in the Performance of Mutual Funds
16 references·7 citing·21 second hopsampled
Staying the Course: The Role of Investment Style Consistency in the Performance of Mutual Funds (2009)Staying the Course: The Role of Investmen…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…Risk Taking by Mutual Funds as a Response to Incentives (1997)Risk Taking by Mutual Funds a…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…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…The relationship between return and market value of common stocks (1981)The relationship between retu…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Investment Style Drift Puzzle and Risk-Taking in Venture Capital (2022)The Investment Style Drift Pu…The Smart Beta Mirage (2020)The Smart Beta MirageThe shrouded business of style drift in active mutual funds (2020)The shrouded business of styl…Tax‐Efficient Asset Management: Evidence from Equity Mutual Funds (2019)Tax‐Efficient Asset Managemen…Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds (2019)Don’t Take Their Word For It:…Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior (2016)Investment Decisions Under Am…Risk Shifting and Mutual Fund Performance (2008)Risk Shifting and Mutual Fund…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)Investor Sentiment and the Cross‐Section of Stock Returns (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)
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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
  • 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
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions

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1,759 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • Cited by

    • 2008Risk Shifting and Mutual Fund Performance53 cited
    • 2019Tax‐Efficient Asset Management: Evidence from Equity Mutual Funds50 cited
    • 2020The shrouded business of style drift in active mutual funds40 cited
    • 2016Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior40 cited
    • 2022The Investment Style Drift Puzzle and Risk-Taking in Venture Capital38 cited
    • 2019Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds34 cited
    • 2020The Smart Beta Mirage31 cited