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Performance of Enhanced Index and Quantitative Equity Funds
16 references·3 citing·32 second hop
Performance of Enhanced Index and Quantitative Equity Funds (2005)Performance of Enhanced Index and Quantit…Reflections on the Efficient Market Hypothesis: 30 Years Later (2005)Reflections on the Efficient …Evaluating Mutual Fund Performance (2001)Evaluating Mutual Fund Perfor…Mutual fund styles (1997)Mutual fund stylesAnother Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Loss Aversion in Riskless Cho…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The rise of passive investing: a systematic literature review applying PRISMA framework (2024)The rise of passive investing…Enhanced index tracking with CVaR-based ratio measures (2020)Enhanced index tracking with …Index tracking and enhanced indexing using mixed conditional value-at-risk (2017)Index tracking and enhanced i…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Status quo bias in decision making (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)A Theory of Fairness, Competition, and Cooperation (1999)Time Discounting and Time Preference: A Critical Review (2002)On Persistence in Mutual Fund Performance (1997)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Flows and Performance in Rational Markets (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Size-related anomalies and stock return seasonality (1983)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)
this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1991Loss Aversion in Riskless Choice: A Reference-Dependent Model6,428 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1997Mutual fund styles475 cited
  • 2001Evaluating Mutual Fund Performance339 cited

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2005
Reflections on the Efficient Market Hypothesis: 30 Years Later
284 cited

Cited by

  • 2020Enhanced index tracking with CVaR-based ratio measures37 cited
  • 2017Index tracking and enhanced indexing using mixed conditional value-at-risk36 cited
  • 2024The rise of passive investing: a systematic literature review applying PRISMA framework20 cited