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The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation
16 references·16 citing·32 second hopsampled
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation (1993)The Investment Performance of U.S. Equity…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Methods of Meta-Analysis (2004)Methods of Meta-AnalysisThe Structure and Performance of the Money Management Industry (1992)The Structure and Performance…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Portfolio Performance Evaluation: Old Issues and New Insights (1989)Portfolio Performance Evaluat…Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…Efficiency With Costly Information: A Study of Mutual Fund Performance, 1965-1984 (1989)Efficiency With Costly Inform…Statistical Methods for Meta-Analysis (1988)Statistical Methods for Meta-…Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Mutual Fund Performance Evalu…Statistical Methods for Meta-Analysis. (1986)Statistical Methods for Meta-…Determinants of Portfolio Performance (1986)Determinants of Portfolio Per…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…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The short-term persistence of international mutual fund performance (2015)The short-term persistence of…Picking Winners? Investment Consultants' Recommendations of Fund Managers (2013)Picking Winners? Investment C…Decentralized Investment Management: Evidence from the Pension Fund Industry (2013)Decentralized Investment Mana…The persistence of European mutual fund performance (2012)The persistence of European m…The Benefits of Relationship Lending in a Cross-Country Context: A Meta-Analysis (2012)The Benefits of Relationship …Sovereign wealth fund investment and the return-to-risk performance of target firms (2011)Sovereign wealth fund investm…Is Bigger Better? Size and Performance in Pension Plan Management (2011)Is Bigger Better? Size and Pe…Benchmarking Money Manager Performance: Issues and Evidence (2009)Benchmarking Money Manager Pe…The Selection and Termination of Investment Management Firms by Plan Sponsors (2008)The Selection and Termination…Socially Responsible Investments (2007)Socially Responsible Investme…Just How Much Do Individual Investors Lose By Trading? (2005)Just How Much Do Individual I…A nonparametric test of market timing (2003)A nonparametric test of marke…Conditional performance measurement using portfolio weights: evidence for pension funds (2002)Conditional performance measu…Evaluating managed fund performance using conditional measures: Australian evidence (2000)Evaluating managed fund perfo…Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance (1998)Conditioning Manager Alphas o…Cumulative research knowledge and social policy formulation: The critical role of meta-analysis. (1996)Cumulative research knowledge…An Empirical Evaluation of Accounting Income Numbers (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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Risks and Portfolio Decisions Involving Hedge Funds (2003)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)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)Meta-analysis in clinical trials (1986)Meta-analysis of Observational Studies in Epidemiology A Proposal for Reporting (2000)Conducting Meta-Analyses in R with the metafor Package (2010)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)The Behavior of Stock Prices Around Institutional Trades (1995)Beyond Greed and Fear (2002)A Meta-Analysis of Fear Appeals: Implications for Effective Public Health Campaigns (2000)Personality and leadership: A qualitative and quantitative review. (2002)Travel and the Built Environment (2010)A meta-analytic test of intergroup contact theory. (2006)The Impact of Enhancing Students’ Social and Emotional Learning: A Meta-Analysis of School-Based Universal Interventions (2011)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)
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References

  • 1988Statistical Methods for Meta-Analysis10,330 cited
  • 1986Statistical Methods for Meta-Analysis.4,785 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 2004Methods of Meta-Analysis3,023 cited
  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1986Determinants of Portfolio Performance1,031 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1984Market Timing and Mutual Fund Performance: An Empirical Investigation634 cited
  • 1989Efficiency With Costly Information: A Study of Mutual Fund Performance, 1965-1984633 cited
  • 1989Portfolio Performance Evaluation: Old Issues and New Insights583 cited
  • 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons581 cited
  • 1992The Structure and Performance of the Money Management Industry

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572 cited
  • 1984Market Timing and Mutual Fund Investment Performance434 cited
  • Cited by

    • 2005Just How Much Do Individual Investors Lose By Trading?248 cited
    • 2002Conditional performance measurement using portfolio weights: evidence for pension funds247 cited
    • 2008The Selection and Termination of Investment Management Firms by Plan Sponsors227 cited
    • 2003A nonparametric test of market timing159 cited
    • 2007Socially Responsible Investments139 cited
    • 2013Picking Winners? Investment Consultants' Recommendations of Fund Managers130 cited
    • 2013Decentralized Investment Management: Evidence from the Pension Fund Industry125 cited
    • 2000Evaluating managed fund performance using conditional measures: Australian evidence119 cited
    • 2012The Benefits of Relationship Lending in a Cross-Country Context: A Meta-Analysis117 cited
    • 2011Sovereign wealth fund investment and the return-to-risk performance of target firms102 cited
    • 1996Cumulative research knowledge and social policy formulation: The critical role of meta-analysis.101 cited
    • 2015The short-term persistence of international mutual fund performance93 cited
    • 2009Benchmarking Money Manager Performance: Issues and Evidence93 cited
    • 2012The persistence of European mutual fund performance91 cited
    • 1998Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance88 cited
    • 2011Is Bigger Better? Size and Performance in Pension Plan Management84 cited