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Performance Evaluation Using Conditional Alphas and Betas
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Performance Evaluation Using Conditional Alphas and Betas (1999)Performance Evaluation Using Conditional …Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance (1998)Conditioning Manager Alphas o…Conditional Market Timing with Benchmark Investors (1998)Conditional Market Timing wit…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…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Evaluating Fund Performance in a Dynamic Market (1996)Evaluating Fund Performance i…Equity Style Classifications (1995)Equity Style ClassificationsThe Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation (1993)The Investment Performance of…The Structure and Performance of the Money Management Industry (1992)The Structure and Performance…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 …Aggregate Performance of Mutual Funds, 1948-1967 (1970)Aggregate Performance of Mutu…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds (2019)Selectivity and Market Timing…Markets, Profits, Capital, Leverage and Return (2010)Markets, Profits, Capital, Le…The 101 Ways to Measure Portfolio Performance (2009)The 101 Ways to Measure Portf…Measuring the Timing Ability and Performance of Bond Mutual Funds (2009)Measuring the Timing Ability …Measuring performance in a dynamic world: Conditional mean–variance fundamentals (2009)Measuring performance in a dy…Conditioning information in mutual fund performance evaluation: Portuguese evidence (2009)Conditioning information in m…Time Variation in Mutual Fund Style Exposures (2007)Time Variation in Mutual Fund…Retirement Savings Behavior of Higher Education Employees (2007)Retirement Savings Behavior o…Generating composite volatility forecasts with random factor betas (2007)Generating composite volatili…On the Choice of Superannuation Funds in Australia (2006)On the Choice of Superannuati…Benefits of International Bond Diversification (2004)Benefits of International Bon…Are TIPS the “real” deal?: A conditional assessment of their role in a nominal portfolio (2004)Are TIPS the “real” deal?: A …Conditional performance, portfolio rebalancing, and momentum of small‐cap mutual funds (2003)Conditional performance, port…U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used? (2002)U.K. Unit Trust Performance: …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Statistical Methods for Meta-Analysis. (1986)Statistical Methods for Meta-Analysis (1988)Conditional performance measurement using portfolio weights: evidence for pension funds (2002)Just How Much Do Individual Investors Lose By Trading? (2005)The Selection and Termination of Investment Management Firms by Plan Sponsors (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)Common risk factors in the returns on stocks and bonds (1993)Contrarian Investment, Extrapolation, and Risk (1994)Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions (2006)Do individual investors learn from their trading experience? (2008)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)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)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Why Is There Mandatory Retirement? (1979)Are small investors naive about incentives? (2007)The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2009)Money Doctors (2014)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)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)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)Volatility Timing in Mutual Funds: Evidence from Daily Returns (1999)Performance and Characteristics of Swedish Mutual Funds (2000)Performance and Persistence in Institutional Investment Management (2010)
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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
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1996The Persistence of Risk-Adjusted Mutual Fund Performance838 cited
  • 1992The Structure and Performance of the Money Management Industry572 cited
  • 1998Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance430 cited
  • 1998Conditional Market Timing with Benchmark Investors262 cited
  • 1993The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation259 cited
  • 1996Evaluating Fund Performance in a Dynamic Market212 cited
  • 1970Aggregate Performance of Mutual Funds, 1948-1967137 cited
  • 1995Equity Style Classifications80 cited

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  • 2009Measuring the Timing Ability and Performance of Bond Mutual Funds56 cited
  • 2009The 101 Ways to Measure Portfolio Performance

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51 cited
  • 2007Retirement Savings Behavior of Higher Education Employees38 cited
  • 2007Time Variation in Mutual Fund Style Exposures37 cited
  • 2010Markets, Profits, Capital, Leverage and Return33 cited
  • 2004Are TIPS the “real” deal?: A conditional assessment of their role in a nominal portfolio32 cited
  • 2009Measuring performance in a dynamic world: Conditional mean–variance fundamentals26 cited
  • 2003Conditional performance, portfolio rebalancing, and momentum of small‐cap mutual funds25 cited
  • 2002U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?23 cited
  • 2004Benefits of International Bond Diversification21 cited
  • 2009Conditioning information in mutual fund performance evaluation: Portuguese evidence20 cited
  • 2006On the Choice of Superannuation Funds in Australia19 cited
  • 2019Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds18 cited
  • 2007Generating composite volatility forecasts with random factor betas18 cited