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Hedge Fund Performance Persistence: A New Approach
16 references·15 citing·33 second hop
Hedge Fund Performance Persistence: A New Approach (2008)Hedge Fund Performance Persistence: A New…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Mutual Fund Flows and Performance in Rational Markets (2002)Mutual Fund Flows and Perform…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Persistence of Risk-Adjusted Mutual Fund Performance (1996)The Persistence of Risk-Adjus…Performance Persistence (1995)Performance PersistenceReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Hot Hands in Mutual Funds: Sh…Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios (1993)Efficiency with Costly Inform…The Persistence of Mutual Fund Performance (1992)The Persistence of Mutual Fun…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Wolf Pack Activism (2021)Wolf Pack ActivismFactor Momentum and the Momentum Factor (2019)Factor Momentum and the Momen…The Effect of Investment Constraints on Hedge Fund Investor Returns (2018)The Effect of Investment Cons…Strategic Delays and Clustering in Hedge Fund Reported Returns (2017)Strategic Delays and Clusteri…The Cross-Section of Expected Returns in the Secondary Corporate Loan Market (2016)The Cross-Section of Expected…The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)The Economics and Finance of …Hedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…Wolf Pack Activism (2014)Wolf Pack ActivismHedge Fund Characteristics and Performance Persistence (2013)Hedge Fund Characteristics an…The Value of Funds of Hedge Funds: Evidence from Their Holdings (2012)The Value of Funds of Hedge F…Hedge Fund Characteristics and Performance Persistence (2010)Hedge Fund Characteristics an…Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter? (2009)Measuring Funds of Hedge Fund…The Performance of Emerging Hedge Fund Managers (2008)The Performance of Emerging H…A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money (2008)A Portrait of Hedge Fund Inve…A Survey of the Literature on Hedge Fund Performance (2004)A Survey of the Literature on…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)Risk, Return, and Equilibrium: Empirical Tests (1973)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Career Concerns of Mutual Fund Managers (1999)Efficient Capital Markets: II (1991)Breadth of ownership and stock returns (2002)The market for borrowing stock (2002)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Costly Search and Mutual Fund Flows (1998)Asset Fire Sales (and Purchases) in Equity Markets (2005)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Just How Much Do Individual Investors Lose by Trading? (2008)Efficient Capital Markets: II (1991)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 1993Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-19881,219 cited
  • 2002Mutual Fund Flows and Performance in Rational Markets1,131 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1992The Persistence of Mutual Fund Performance1,040 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 1995Performance Persistence946 cited
  • 1993Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios870 cited
  • 1996The Persistence of Risk-Adjusted Mutual Fund Performance

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838 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • Cited by

    • 2008A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money91 cited
    • 2021Wolf Pack Activism80 cited
    • 2017Strategic Delays and Clustering in Hedge Fund Reported Returns69 cited
    • 2015Hedge Funds: A Dynamic Industry in Transition64 cited
    • 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literature52 cited
    • 2008The Performance of Emerging Hedge Fund Managers50 cited
    • 2019Factor Momentum and the Momentum Factor43 cited
    • 2010Hedge Fund Characteristics and Performance Persistence34 cited
    • 2016The Cross-Section of Expected Returns in the Secondary Corporate Loan Market32 cited
    • 2018The Effect of Investment Constraints on Hedge Fund Investor Returns31 cited
    • 2012The Value of Funds of Hedge Funds: Evidence from Their Holdings27 cited
    • 2014Wolf Pack Activism26 cited
    • 2009Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter?25 cited
    • 2013Hedge Fund Characteristics and Performance Persistence23 cited
    • 2004A Survey of the Literature on Hedge Fund Performance23 cited