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Risk Shifting and Mutual Fund Performance
16 references·2 citing·24 second hopsampled
Risk Shifting and Mutual Fund Performance (2008)Risk Shifting and Mutual Fund PerformanceHow Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)How Active Is Your Fund Manag…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Does Fund Size Erode Mutual F…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…The Geography of Investment: Informed Trading and Asset Prices (2001)The Geography of Investment: …Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…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…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…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Time-Varying Fund Manager Skill (2011)Time-Varying Fund Manager Ski…Fund Flows, Performance, Managerial Career Concerns, and Risk-Taking (2008)Fund Flows, Performance, Mana…The Cross-Section of Expected Stock Returns (1992)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)The determinants of cross-border equity flows (2004)Does function follow organizational form? Evidence from the lending practices of large and small banks (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)The effect of bonus schemes on accounting decisions (1985)Aggregation and Linearity in the Provision of Intertemporal Incentives (1987)Managerial Incentive Problems: A Dynamic Perspective (1999)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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Herding and Feedback Trading by Institutional and Individual Investors (1999)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Multifactor Explanations of Asset Pricing Anomalies (1996)Capital markets research in accounting (2001)In Search of Attention (2011)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)
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
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 2001The Geography of Investment: Informed Trading and Asset Prices2,004 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2009How Active Is Your Fund Manager? A New Measure That Predicts Performance1,660 cited
  • 1996Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry

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1,491 cited
  • 2004Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization1,429 cited
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    • 2011Time-Varying Fund Manager Skill53 cited
    • 2008Fund Flows, Performance, Managerial Career Concerns, and Risk-Taking43 cited