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Mutual fund volatility timing and management fees
16 references·3 citing·40 second hop
Mutual fund volatility timing and management fees (2008)Mutual fund volatility timing and managem…Merton, Robert C. (2010)Merton, Robert C.The economic value of volatility timing using “realized” volatility (2003)The economic value of volatil…Incentive Fees and Mutual Funds (2003)Incentive Fees and Mutual Fun…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…The distribution of realized stock return volatility (2001)The distribution of realized …Investor flows and the assessed performance of open-end mutual funds (1999)Investor flows and the assess…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…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 Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Risk Taking by Mutual Funds as a Response to Incentives (1995)Risk Taking by Mutual Funds a…Aggregate mutual fund flows and security returns (1995)Aggregate mutual fund flows a…ARCH modeling in finance (1992)ARCH modeling in financeMarket Timing and Mutual Fund Performance: An Empirical Investigation (1984)Market Timing and Mutual Fund…On estimating the expected return on the market (1980)On estimating the expected re…Network herding of energy funds in the post-Carbon-Peak Policy era: Does it benefit profitability and stability? (2022)Network herding of energy fun…Do Chinese mutual funds time the market? (2017)Do Chinese mutual funds time …Portfolio selection with mental accounts and delegation (2011)Portfolio selection with ment…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)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 Geography of Investment: Informed Trading and Asset Prices (2001)Mutual Fund Flows and Performance in Rational Markets (2004)Asset Fire Sales (and Purchases) in Equity Markets (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Herding and Feedback Trading by Institutional and Individual Investors (1999)A Theory of the Term Structure of Interest Rates (1985)Industry costs of equity (1997)Has Financial Development Made the World Riskier? (2005)Modeling and Forecasting Realized Volatility (2001)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)
this work references cited by second hop

References

  • 1992ARCH modeling in finance4,288 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1995Risk Taking by Mutual Funds as a Response to Incentives1,582 cited
  • 1996Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry1,491 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2010Merton, Robert C.812 cited
  • 1995Aggregate mutual fund flows and security returns734 cited
  • 1999Investor flows and the assessed performance of open-end mutual funds731 cited
  • 2003The economic value of volatility timing using “realized” volatility668 cited
  • 1984Market Timing and Mutual Fund Performance: An Empirical Investigation634 cited
  • 2003

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Incentive Fees and Mutual Funds
477 cited

Cited by

  • 2011Portfolio selection with mental accounts and delegation39 cited
  • 2017Do Chinese mutual funds time the market?29 cited
  • 2022Network herding of energy funds in the post-Carbon-Peak Policy era: Does it benefit profitability and stability?22 cited