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Active vs. Passive Management: New Evidence from Exchange Traded Funds
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Active vs. Passive Management: New Evidence from Exchange Traded Funds (2009)Active vs. Passive Management: New Eviden…Short-Term Persistence in Mutual Fund Performance (2004)Short-Term Persistence in Mut…Tracking S&P 500 Index Funds (2001)Tracking S&P 500 Index FundsOn the Timing Ability of Mutual Fund Managers (2001)On the Timing Ability of Mutu…Mutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…Investor flows and the assessed performance of open-end mutual funds (1999)Investor flows and the assess…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Market timing ability and volatility implied in investment newsletters' asset allocation recommendations (1996)Market timing ability and vol…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…Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior (1995)Momentum Investment Strategie…The Performance of Bond Mutual Funds (1993)The Performance of Bond Mutua…Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios (1993)Efficiency with Costly Inform…Efficiency With Costly Information: A Study of Mutual Fund Performance, 1965-1984 (1989)Efficiency With Costly Inform…Market Timing and Mutual Fund Performance: An Empirical Investigation (1984)Market Timing and Mutual Fund…Market Timing and Mutual Fund Investment Performance (1984)Market Timing and Mutual Fund…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …Optimization Methods for Financial Index Tracking: From Theory to Practice (2018)Optimization Methods for Fina…The Performance of Actively Managed Exchange-Traded Funds (2011)The Performance of Actively M…Mutual Fund Performance (1966)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)On the Impossibility of Informationally Efficient Markets (1980)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)The capital asset pricing model: Some empirical tests (1972)Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Survivor Bias and Mutual Fund Performance (1996)On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)Payoff complementarities and financial fragility: Evidence from mutual fund outflows (2010)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Flows and Performance in Rational Markets (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence (2003)The Interim Trading Skills of Institutional Investors (2011)Mutual Fund's R 2 as Predictor of Performance (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)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)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Herd Behavior and Investment (1988)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Institutional Investors and Equity Prices (2001)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Rational herding in financial economics (1996)What Makes Investors Trade? (2001)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices1,730 cited
  • 1995Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior1,177 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1993Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios870 cited
  • 1999Investor flows and the assessed performance of open-end mutual funds731 cited
  • 2004Short-Term Persistence in Mutual Fund Performance657 cited
  • 1984Market Timing and Mutual Fund Performance: An Empirical Investigation634 cited
  • 1989Efficiency With Costly Information: A Study of Mutual Fund Performance, 1965-1984633 cited
  • 2001On the Timing Ability of Mutual Fund Managers580 cited
  • 1993The Performance of Bond Mutual Funds464 cited
  • 1984Market Timing and Mutual Fund Investment Performance434 cited
  • 1996Market timing ability and volatility implied in investment newsletters' asset allocation recommendations

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249 cited
  • 2001Tracking S&P 500 Index Funds201 cited
  • Cited by

    • 2018Optimization Methods for Financial Index Tracking: From Theory to Practice42 cited
    • 2011The Performance of Actively Managed Exchange-Traded Funds24 cited