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Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market
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Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market (2008)Testing for persistence in mutual fund pe…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Mutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…International Momentum Strategies (1998)International Momentum Strate…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…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…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…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Mutual Fund Performance (1966)Mutual Fund PerformancePortfolio Selection (1952)Portfolio SelectionThe Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Does the Stock Market Overreact? (1985)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Herding and Feedback Trading by Institutional and Individual Investors (1999)Asset Fire Sales (and Purchases) in Equity Markets (2005)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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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
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1952Portfolio Selection4,609 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 1998International Momentum Strategies1,813 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices

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