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Side-by-Side Management of Hedge Funds and Mutual Funds
16 references·1 citing·35 second hop
Side-by-Side Management of Hedge Funds and Mutual Funds (2009)Side-by-Side Management of Hedge Funds an…How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)How Active Is Your Fund Manag…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Managerial Incentive Problems: A Dynamic Perspective (1999)Managerial Incentive Problems…Risk Taking by Mutual Funds as a Response to Incentives (1997)Risk Taking by Mutual Funds a…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Another 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…Aggregation and Linearity in the Provision of Intertemporal Incentives (1987)Aggregation and Linearity in …Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of the firm: Manageria…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 effect of management team characteristics on risk‐taking and style extremity of mutual fund portfolios (2012)The effect of management team…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 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)Moral Hazard and Observability (1979)Good News and Bad News: Representation Theorems and Applications (1981)Agency costs and innovation (1989)The Theory of Incentives: The Principal-Agent Model (2001)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Agency Problems and the Theory of the Firm (1980)The Digitization of Word of Mouth: Promise and Challenges of Online Feedback Mechanisms (2003)Competition and Innovation: An Inverted U Relationship (2008)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Common Errors: How to (and Not to) Control for Unobserved Heterogeneity (2012)Corporate Immunity to the COVID-19 Pandemic (2020)The Nature of the Firm (1937)The Pricing of Options and Corporate Liabilities (1973)Separation of Ownership and Control (1983)Corporate financing and investment decisions when firms have information that investors do not have (1984)Law and Finance (1998)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)Multifactor Explanations of Asset Pricing Anomalies (1996)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1976Theory of the firm: Managerial behavior, agency costs and ownership structure71,441 cited
  • 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
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1999Managerial Incentive Problems: A Dynamic Perspective3,169 cited
  • 1987Aggregation and Linearity in the Provision of Intertemporal Incentives2,870 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches2,559 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 1991

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  • 2009How Active Is Your Fund Manager? A New Measure That Predicts Performance1,660 cited
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    • 2012The effect of management team characteristics on risk‐taking and style extremity of mutual fund portfolios26 cited