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Decomposing Performance
16 references·3 citing·33 second hop
Decomposing Performance (2007)Decomposing PerformanceRobust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Standard Errors for Pa…Retail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment and…Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Boys will be Boys: Gender, Ov…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Managerial Decisions and Long‐Term Stock Price Performance (2000)Managerial Decisions and Long…Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Improved Methods for Tests of…Do Investors Trade Too Much? (1999)Do Investors Trade Too Much?Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies (1997)Myth or Reality? The Long-Run…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…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…International evidence on Islamic equity fund characteristics and performance persistence (2016)International evidence on Isl…Dissecting Short-Sale Performance: Evidence from Large Position Disclosures (2015)Dissecting Short-Sale Perform…Fund Manager Overconfidence and Investment Performance: Evidence from Mutual Funds (2012)Fund Manager Overconfidence a…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)The theory and practice of econometrics (1986)A panel project on purchasing power parity: Mean reversion within and between countries (1996)The overvaluation of purchasing power parity (1998)Testing for Cross-Sectional Dependence in Panel-Data Models (2006)Effect of foreign direct investments, economic development and energy consumption on greenhouse gas emissions in developing countries (2018)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)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Impacts of urbanization and industrialization on energy consumption/CO2 emissions: Does the level of development matter? (2015)Dynamic relationship among environmental regulation, innovation, CO2 emissions, population, and economic growth in OECD countries: A panel investigation (2019)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)Efficient Capital Markets: II (1991)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Who Gambles in the Stock Market? (2009)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Judgment under Uncertainty: Heuristics and Biases (1975)Gender Differences in Preferences (2009)Women in the boardroom and their impact on governance and performance☆ (2009)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)Multifactor Explanations of Asset Pricing Anomalies (1996)
this work references cited by second hop

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
  • 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data6,815 cited
  • 2001Boys will be Boys: Gender, Overconfidence, and Common Stock Investment5,215 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 2007Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence3,354 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1999Do Investors Trade Too Much?2,245 cited
  • 1999Improved Methods for Tests of Long‐Run Abnormal Stock Returns1,826 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 2000Managerial Decisions and Long‐Term Stock Price Performance1,573 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited

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  • 1997Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies1,456 cited
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    • 2015Dissecting Short-Sale Performance: Evidence from Large Position Disclosures26 cited
    • 2012Fund Manager Overconfidence and Investment Performance: Evidence from Mutual Funds21 cited
    • 2016International evidence on Islamic equity fund characteristics and performance persistence17 cited