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Using generic benchmarks to present manager styles
2 references·5 citing·28 second hop
Using generic benchmarks to present manager styles (1991)Using generic benchmarks to present manag…On the Number of Factors in the Arbitrage Pricing Model (1986)On the Number of Factors in t…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Relative benchmark rating and persistence analysis: Evidence from Italian equity funds (2005)Relative benchmark rating and…Herding in delegated portfolio management: When is comparative performance information desirable? (2003)Herding in delegated portfoli…The Performance, Asset Allocation, and Investment Style of International Equity Managers (2001)The Performance, Asset Alloca…Style analysis and property fund performance (1999)Style analysis and property f…Fund Management Changes and Equity Style Shifts (1999)Fund Management Changes and E…Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Contractual mutual fund governance: the case of China (2014)Mutual Fund Performance (1966)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Sharpe Ratio (1994)The level of direct property in Hong Kong property company performance (2004)Style Analysis in Real Estate Markets: Beyond the Sector and Region Dichotomy (2009)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Moral Hazard in Teams (1982)Continuous Auctions and Insider Trading (1985)A Simple Model of Herd Behavior (1992)To be good or to be better: asset managers’ attitudes towards herding (2009)Herd behaviour in buyout investments (2019)Herding in Open-end Funds: Evidence from China (2021)Portfolio Selection: Efficient Diversification of Investments (1959)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)The Adjustment of Stock Prices to New Information (2003)Factor Analysis as a Statistical Method. (1972)The arbitrage theory of capital asset pricing (1976)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The structure of international stock returns and the integration of capital markets (1995)Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory (1998)Portfolio management with heuristic optimization (2005)Return-based style analysis with time-varying exposures (2006)Style drift, fund flow and fund performance: New cross-sectional evidence (2007)Fund governance and style drift (2016)
this work references cited by second hop

References

  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1986On the Number of Factors in the Arbitrage Pricing Model152 cited

Cited by

  • 2003Herding in delegated portfolio management: When is comparative performance information desirable?35 cited
  • 1999Fund Management Changes and Equity Style Shifts28 cited
  • 2005Relative benchmark rating and persistence analysis: Evidence from Italian equity funds27 cited
  • 1999Style analysis and property fund performance26 cited
  • 2001The Performance, Asset Allocation, and Investment Style of International Equity Managers25 cited

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