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Closed‐End Fund Expenses and Investment Selection
16 references·1 citing·44 second hopsampled
Closed‐End Fund Expenses and Investment Selection (2000)Closed‐End Fund Expenses and Investment S…A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent-Claims Analysis (2011)A Theoretical and Empirical I…THE COST OF MUTUAL FUND DISTRIBUTION FEES (1998)THE COST OF MUTUAL FUND DISTR…AN EMPIRICAL ANALYSIS OF MUTUAL FUND EXPENSES (1997)AN EMPIRICAL ANALYSIS OF MUTU…Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…A RE‐EXAMINATION OF THE EFFECT OF 12B–1 PLANS ON MUTUAL FUND EXPENSE RATIOS (1994)A RE‐EXAMINATION OF THE EFFEC…A RE‐EXAMINATION OF THE RELATIONSHIP BETWEEN CLOSED‐END FUND DISCOUNTS AND EXPENSES (1992)A RE‐EXAMINATION OF THE RELAT…Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation (1990)Market Timing, Selectivity, a…The Effect of 12b-1 Plans on Mutual Fund Expense Ratios: A Note (1987)The Effect of 12b-1 Plans on …Market Timing and Mutual Fund Performance: An Empirical Investigation (1984)Market Timing and Mutual Fund…Market Timing and Mutual Fund Investment Performance (1984)Market Timing and Mutual Fund…The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency (1979)The Investment Performance of…THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES (1977)THE VALUATION OF CLOSED‐END I…A theoretical and empirical investigation of the dual purpose funds (1976)A theoretical and empirical i…Objectives and Performance of Mutual Funds, 1960-1969 (1974)Objectives and Performance of…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Myths Associated with Closed-End Investment Company Discounts (1966)Myths Associated with Closed-…Size Signals Success: Evidence from Real Estate Private Equity (2015)Size Signals Success: Evidenc…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)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)ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION (1978)On Studies of Mutual Fund Performance, 1962–1991 (1993)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Persistence of Mutual Fund Performance (1992)ECONOMIES OF SCALE IN MUTUAL FUND ADMINISTRATION (1999)Mutual fund characteristics, managerial attributes, and fund performance (2004)The development of mutual funds around the world (2004)The capital asset pricing model: Some empirical tests (1972)Evaluating the Performance of International Mutual Funds (1990)Volatility Timing in Mutual Funds: Evidence from Daily Returns (1999)Do mutual funds time the market? Evidence from portfolio holdings (2007)On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)Mutual Fund Performance (1966)Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Economies of scale and scope in French mutual funds (1992)Why Do Money Fund Managers Voluntarily Waive Their Fees? (2001)Obfuscation in mutual funds (2021)On estimating the expected return on the market (1980)The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation (1993)A contingent claim approach to performance evaluation (1994)Mutual fund flows and investor returns: An empirical examination of fund investor timing ability (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)A neural network approach to mutual fund net asset value forecasting (1996)The relationship between mutual fund fees and expenses and their effects on performance (1998)Dividend Policy, Growth, and the Valuation of Shares (1961)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Closed-end Country Funds and U.S. Market Sentiment (1995)Volatility, Sentiment, and Noise Traders (1999)Arbitrage crashes and the speed of capital (2011)The Cross-Section of Expected Stock Returns (1992)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)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)Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Survivor Bias and Mutual Fund Performance (1996)On the Timing Ability of Mutual Fund Managers (2001)
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References

  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 1984Market Timing and Mutual Fund Performance: An Empirical Investigation634 cited
  • 1984Market Timing and Mutual Fund Investment Performance434 cited
  • 1977THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES372 cited
  • 1990Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation263 cited
  • 1979The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency167 cited
  • 1997AN EMPIRICAL ANALYSIS OF MUTUAL FUND EXPENSES161 cited
  • 1974Objectives and Performance of Mutual Funds, 1960-1969139 cited
  • 1987The Effect of 12b-1 Plans on Mutual Fund Expense Ratios: A Note121 cited
  • 2011A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent-Claims Analysis110 cited
  • 1976A theoretical and empirical investigation of the dual purpose funds103 cited
  • 1966Myths Associated with Closed-End Investment Company Discounts64 cited
  • 1994A RE‐EXAMINATION OF THE EFFECT OF 12B–1 PLANS ON MUTUAL FUND EXPENSE RATIOS60 cited
  • 1998

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THE COST OF MUTUAL FUND DISTRIBUTION FEES
57 cited
  • 1992A RE‐EXAMINATION OF THE RELATIONSHIP BETWEEN CLOSED‐END FUND DISCOUNTS AND EXPENSES57 cited
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    • 2015Size Signals Success: Evidence from Real Estate Private Equity13 cited