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Conditional Market Timing with Benchmark Investors
16 references·16 citing·44 second hopsampled
Conditional Market Timing with Benchmark Investors (1998)Conditional Market Timing with Benchmark …Active Portfolio Management (2017)Active Portfolio ManagementOn Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…Portfolio Performance Measurement: Theory and Applications (1996)Portfolio Performance Measure…Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)Of Tournaments and Temptation…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Evaluating the Performance of International Mutual Funds (1990)Evaluating the Performance of…Economic Significance of Predictable Variations in Stock Index Returns (1989)Economic Significance of Pred…Performance Incentive Fees: An Agency Theoretic Approach (1987)Performance Incentive Fees: A…On Timing and Selectivity (1986)On Timing and SelectivityAssessing the Market Training Performance of Managed Portfolios (1986)Assessing the Market Training…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…Cash Holdings and Mutual Fund Performance (2013)Cash Holdings and Mutual Fund…Time-Varying Fund Manager Skill (2011)Time-Varying Fund Manager Ski…The Cross-section of Managerial Ability, Incentives, and Risk Preferences (2011)The Cross-section of Manageri…An Examination of Mutual Fund Timing Ability Using Monthly Holdings Data (2011)An Examination of Mutual Fund…Mutual Fund Performance: Measurement and Evidence1 (2010)Mutual Fund Performance: Meas…Measuring the timing ability and performance of bond mutual funds☆ (2010)Measuring the timing ability …Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence (2009)Does Prior Performance Affect…Do individual investors learn from their trading experience? (2008)Do individual investors learn…Evaluating Government Bond Fund Performance with Stochastic Discount Factors (2006)Evaluating Government Bond Fu…Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions (2006)Do Mutual Funds Perform When …Timing Ability in the Focus Market of Hedge Funds (2005)Timing Ability in the Focus M…A nonparametric test of market timing (2003)A nonparametric test of marke…Performance Evaluation with Stochastic Discount Factors (2002)Performance Evaluation with S…Performance Evaluation with Stochastic Discount Factors (2002)Performance Evaluation with S…Global Hedge Funds: Risk, Return, and Market Timing (2002)Global Hedge Funds: Risk, Ret…Conditional performance measurement using portfolio weights: evidence for pension funds (2002)Conditional performance measu…Does the Stock Market Overreact? (1985)The Long‐Run Performance of initial Public Offerings (1991)The Cross-Section of Expected Stock Returns (1992)Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)What Drives Firm‐Level Stock Returns? (2002)Replicating Anomalies (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)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)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)Asset returns and inflation (1977)Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns and the Term Structure (1985)Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? (1999)Spurious Regressions in Financial Economics? (2003)New evidence on oil price and firm returns (2011)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)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Rank-Order Tournaments as Optimum Labor Contracts (1979)Rank-Order Tournaments as Optimum Labor Contracts (1981)Prizes and Incentives in Elimination Tournaments (1985)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Is the Risk of Bankruptcy a Systematic Risk? (1998)Predicting returns with financial ratios (2004)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)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1996Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry1,491 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1997The Delisting Bias in CRSP Data1,057 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1989Economic Significance of Predictable Variations in Stock Index Returns597 cited
  • 2017Active Portfolio Management463 cited
  • 1990Evaluating the Performance of International Mutual Funds399 cited
  • 1986Assessing the Market Training Performance of Managed Portfolios356 cited
  • 1996Portfolio Performance Measurement: Theory and Applications310 cited
  • 1987Performance Incentive Fees: An Agency Theoretic Approach

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287 cited
  • 1986On Timing and Selectivity273 cited
  • Cited by

    • 2008Do individual investors learn from their trading experience?253 cited
    • 2002Conditional performance measurement using portfolio weights: evidence for pension funds247 cited
    • 2006Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions242 cited
    • 2011Time-Varying Fund Manager Skill220 cited
    • 2010Measuring the timing ability and performance of bond mutual funds☆202 cited
    • 2009Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence188 cited
    • 2003A nonparametric test of market timing159 cited
    • 2006Evaluating Government Bond Fund Performance with Stochastic Discount Factors153 cited
    • 2002Global Hedge Funds: Risk, Return, and Market Timing132 cited
    • 2011The Cross-section of Managerial Ability, Incentives, and Risk Preferences125 cited
    • 2002Performance Evaluation with Stochastic Discount Factors124 cited
    • 2013Cash Holdings and Mutual Fund Performance119 cited
    • 2011An Examination of Mutual Fund Timing Ability Using Monthly Holdings Data118 cited
    • 2005Timing Ability in the Focus Market of Hedge Funds111 cited
    • 2002Performance Evaluation with Stochastic Discount Factors96 cited
    • 2010Mutual Fund Performance: Measurement and Evidence194 cited