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Comparative measures of performance for U.S.-based international equity mutual funds
16 references·13 citing·38 second hop
Comparative measures of performance for U.S.-based international equity mutual funds (1996)Comparative measures of performance for U…A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques (1994)A Study of Monthly Mutual Fun…The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation (1993)The Investment Performance of…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Evaluating the Performance of International Mutual Funds (1990)Evaluating the Performance of…International Investments. (1989)International Investments.Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Mutual Fund Performance Evalu…Performance measurement with the arbitrage pricing theory (1986)Performance measurement with …Measuring Investment Performance in a Rational Expectations Equilibrium Model (1985)Measuring Investment Performa…The Market-Timing Performance of Mutual Fund Managers (1983)The Market-Timing Performance…Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Investment Analysis and Portfolio Management. (1979)Investment Analysis and Portf…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Mathematical Methods in Investment and Finance (1975)Mathematical Methods in Inves…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …Mutual Fund Performance (1966)Mutual Fund PerformanceMutual Fund Performance: Evidence From South Africa (2015)Mutual Fund Performance: Evid…Performance of international and global equity mutual funds: Do country momentum and sector momentum matter? (2014)Performance of international …Performance, stock selection and market timing of the German equity mutual fund industry (2012)Performance, stock selection …Market Timing And Selectivity: An Empirical Investigation Into The Features Of Greek Mutual Fund Managers (2011)Market Timing And Selectivity…The comparative role of iShares and country funds in internationally diversified portfolios (2009)The comparative role of iShar…Performance Analysis of Listed Construction and Real Estate Companies in Nigeria (2006)Performance Analysis of Liste…The econometrics of efficient portfolios (2004)The econometrics of efficient…On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds (2003)On the construction of mutual…International equity funds, performance, and investor flows: Australian evidence (2003)International equity funds, p…Mutual funds as an alternative to direct stock investment: A cointegration approach (2002)Mutual funds as an alternativ…The Performance, Asset Allocation, and Investment Style of International Equity Managers (2001)The Performance, Asset Alloca…Measuring performance of international closed-end funds (2001)Measuring performance of inte…Equity mutual fund managers performance in Greece (2001)Equity mutual fund managers p…An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Modern Portfolio Theory and Investment Analysis. (1982)The Performance of Hedge Funds: Risk, Return, and Incentives (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The relationship between return and market value of common stocks (1981)Mutual fund performance and seemingly unrelated assets (2002)Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence (2003)The Determinants of Mutual Fund Performance: A Cross-Country Study (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)The Performance of Mutual Funds in the Period 1945-1964 (1968)The arbitrage theory of capital asset pricing (1976)Random matrix approach to cross correlations in financial data (2002)Testing for a unit root in panels with dynamic factors (2004)Panels with Nonstationary Multifactor Error Structures (2006)The Behavior of Stock-Market Prices (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)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)How Many Stocks Make a Diversified Portfolio? (1987)Stock market volatility, excess returns, and the role of investor sentiment (2002)Sorting things out: valuation of new firms in uncertain markets (2003)Sources of risk and expected returns in global equity markets (1994)Diversification, Integration and Emerging Market Closed‐End Funds (1996)Do mutual funds time the market? Evidence from portfolio holdings (2007)Portfolio Performance Evaluation: Old Issues and New Insights (1989)Survivor Bias and Mutual Fund Performance (1996)Mutual fund styles (1997)
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References

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  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1979Investment Analysis and Portfolio Management.985 cited
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  • 1994A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques474 cited
  • 1990Evaluating the Performance of International Mutual Funds399 cited
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  • 1993The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation259 cited
  • 1985Measuring Investment Performance in a Rational Expectations Equilibrium Model222 cited
  • 1983The Market-Timing Performance of Mutual Fund Managers

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216 cited
  • 1975Mathematical Methods in Investment and Finance195 cited
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    • 2001Measuring performance of international closed-end funds27 cited
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