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Time Variation in Mutual Fund Style Exposures
16 references·2 citing·32 second hop
Time Variation in Mutual Fund Style Exposures (2007)Time Variation in Mutual Fund Style Expos…On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)On the Industry Concentration…On the Timing Ability of Mutual Fund Managers (2001)On the Timing Ability of Mutu…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…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…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)Of Tournaments and Temptation…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…A monthly effect in stock returns (1987)A monthly effect in stock ret…Market Timing and Mutual Fund Performance: An Empirical Investigation (1984)Market Timing and Mutual Fund…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On the Pooling of Time Series and Cross Section Data (1978)On the Pooling of Time Series…On the Style-Based Feedback Trading of Mutual Fund Managers (2016)On the Style-Based Feedback T…The Performance of Characteristics‐based Indices1 (2008)The Performance of Characteri…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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)International evidence on ethical mutual fund performance and investment style (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Rank-Order Tournaments as Optimum Labor Contracts (1979)Rank-Order Tournaments as Optimum Labor Contracts (1981)Prizes and Incentives in Elimination Tournaments (1985)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)The Behavior of Stock-Market Prices (1965)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Specification Tests in Econometrics (1978)The Rise and Fall of the Environmental Kuznets Curve (2004)Multifactor Explanations of Asset Pricing Anomalies (1996)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1978On the Pooling of Time Series and Cross Section Data5,402 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1996Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry1,491 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2005On the Industry Concentration of Actively Managed Equity Mutual Funds1,090 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1987A monthly effect in stock returns720 cited
  • 1984

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Market Timing and Mutual Fund Performance: An Empirical Investigation
634 cited
  • 2001On the Timing Ability of Mutual Fund Managers580 cited
  • Cited by

    • 2016On the Style-Based Feedback Trading of Mutual Fund Managers36 cited
    • 2008The Performance of Characteristics‐based Indices128 cited