SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Conditional performance, portfolio rebalancing, and momentum of small‐cap mutual funds
16 references·2 citing·38 second hop
Conditional performance, portfolio rebalancing, and momentum of small‐cap mutual funds (2003)Conditional performance, portfolio rebala…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Stock Splits, Tick Size, and Sponsorship (2000)Stock Splits, Tick Size, and …Evaluating managed fund performance using conditional measures: Australian evidence (2000)Evaluating managed fund perfo…Conditioning Variables and the Cross Section of Stock Returns (1999)Conditioning Variables and th…A Specialist's Quoted Depth and the Limit Order Book (1999)A Specialist's Quoted Depth a…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies (1998)Bad News Travels Slowly: Size…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect? (1997)Book-To-Market across Firm Si…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)The January Anomaly: Effects …Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…A model of investor sentiment /A model of investor sentiment…Investment manager skill in small-cap equities (2010)Investment manager skill in s…Asymmetric variance and spillover effects (2006)Asymmetric variance and spill…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Efficient Capital Markets: II (1991)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)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)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)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)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Continuous Auctions and Insider Trading (1985)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Common risk factors in the returns on stocks and bonds (1993)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Equilibrium Cross Section of Returns (2003)The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)Characteristics are covariances: A unified model of risk and return (2019)
this work references cited by second hop

References

  • 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
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1999Conditioning Variables and the Cross Section of Stock Returns839 cited
  • 1998Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies679 cited
  • 1997Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?365 cited
  • 1992The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias328 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2000Stock Splits, Tick Size, and Sponsorship256 cited
  • 1999A Specialist's Quoted Depth and the Limit Order Book253 cited
  • 2000Evaluating managed fund performance using conditional measures: Australian evidence119 cited
  • Cited by

    • 2010Investment manager skill in small-cap equities24 cited
    • 2006Asymmetric variance and spillover effects24 cited