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The Efficiency Gains of Long–Short Investing
5 references·9 citing·40 second hop
The Efficiency Gains of Long–Short Investing (2000)The Efficiency Gains of Long–Short Invest…Active Portfolio Management (2017)Active Portfolio ManagementAnalyst Forecasting Errors: Additional Evidence (1997)Analyst Forecasting Errors: A…Alpha is Volatility Times IC Times Score (1994)Alpha is Volatility Times IC …The fundamental law of active management (1989)The fundamental law of active…The financial analysts journal (1960)The financial analysts journalAsset-liability management under time-varying investment opportunities (2011)Asset-liability management un…130/30 (2008)130/30Aspects of Constrained Long-Short Equity Portfolios (2007)Aspects of Constrained Long-S…The Generalized Treynor Ratio (2005)The Generalized Treynor RatioACTIVE RISK AND INFORMATION RATIO (2005)ACTIVE RISK AND INFORMATION R…Toward More Information-Efficient Portfolios (2004)Toward More Information-Effic…Battle for Alphas: Hedge Funds versus Long-Only Portfolios (2002)Battle for Alphas: Hedge Fund…Small Is Beautiful (2001)Small Is BeautifulPortfolio Constraints and the Fundamental Law of Active Management (2001)Portfolio Constraints and the…Survivorship Bias in Performance Studies (1992)Common risk factors in the returns on stocks and bonds (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns (2003)The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance (2012)Hedge Funds: A Dynamic Industry in Transition (2015)Using Value Line and IBES Analyst Forecasts in Accounting Research (1991)Analyst Forecasting Errors and Their Implications for Security Analysis (1995)Whisper forecasts of quarterly earnings per share (1999)Corporate Disclosure Quality and Properties of Analysts' Information Environment (2003)Loss function assumptions in rational expectations tests on financial analysts’ earnings forecasts (2004)How to Use Security Analysis to Improve Portfolio Selection (1973)The Information Ratio (1998)Modern Investment Management: An Equilibrium Approach (2003)Portfolio Constraints and the Fundamental Law of Active Management (2002)Enhanced Active Equity Strategies (2006)20 Myths about Enhanced Active 120–20 Strategies (2007)The relationship between return and market value of common stocks (1981)Size-related anomalies and stock return seasonality (1983)The Cross-Section of Expected Stock Returns (1992)The Delegated Lucas Tree (2012)Don’t Fight the Fed! (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimization of conditional value-at-risk (2000)The Econometrics of Financial Markets (2012)A robust optimization approach to asset-liability management under time-varying investment opportunities (2013)International Value and Growth Stock Returns (1993)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)International Momentum Strategies (1998)Size and investment performance: a research note (2005)Fund Size, Transaction Costs and Performance: Size Matters! (2009)Effect of fund size on the performance of Australian superannuation funds (2015)Active Portfolio Management: A Quantitative Approach to Providing Superior Returns and Controlling Risk (2000)Evaluating mutual funds in an emerging market: factors that matter to financial advisors (2003)Mutual Fund Industry Selection and Persistence (2012)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)No-dynamic-arbitrage and market impact (2010)Modelling the persistence of conditional variances (1986)First Impressions Matter: A Model of Confirmatory Bias (1999)Institutional Investors and Equity Prices (2001)
this work references cited by second hop

References

  • 1960The financial analysts journal1,043 cited
  • 2017Active Portfolio Management463 cited
  • 1989The fundamental law of active management323 cited
  • 1997Analyst Forecasting Errors: Additional Evidence250 cited
  • 1994Alpha is Volatility Times IC Times Score97 cited

Cited by

  • 2002Battle for Alphas: Hedge Funds versus Long-Only Portfolios88 cited
  • 2008130/3067 cited
  • 2011Asset-liability management under time-varying investment opportunities56 cited
  • 2001Small Is Beautiful51 cited
  • 2004Toward More Information-Efficient Portfolios50 cited
  • 2001Portfolio Constraints and the Fundamental Law of Active Management50 cited
  • 2005The Generalized Treynor Ratio45 cited
  • 2005ACTIVE RISK AND INFORMATION RATIO43 cited
  • 2007Aspects of Constrained Long-Short Equity Portfolios42 cited

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