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Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds
16 references·0 citing·27 second hopsampled
Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds (2013)Performance Chasing, Fund Flows and Fund …Fire Sales in Finance and Macroeconomics (2011)Fire Sales in Finance and Mac…Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance (2008)Liquidity, Investment Style, …Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Does Fund Size Erode Mutual F…How Investors Interpret Past Fund Returns (2003)How Investors Interpret Past …The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds (2002)The Determinants of the Flow …Mutual Fund Flows and Performance in Rational Markets (2002)Mutual Fund Flows and Perform…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Herding and Feedback Trading by Institutional and Individual Investors (1999)The Nature of the Firm (1937)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring skill in the mutual fund industry (2015)International tests of a five-factor asset pricing model (2016)Choosing factors (2018)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns1,781 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2004Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization1,429 cited
  • 2002Mutual Fund Flows and Performance in Rational Markets1,131 cited
  • 2011Fire Sales in Finance and Macroeconomics836 cited
  • 2002The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds795 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 2003How Investors Interpret Past Fund Returns449 cited

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2008
Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance
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