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Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
16 references·6 citing·35 second hop
Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors (2008)Fooling Some of the People All of the Tim…Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…The Massachusetts Institute of Technology (1999)The Massachusetts Institute o…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)The Market for "Lemons": Qual…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Utility of Wealth (1952)The Utility of WealthDiverse Hedge Funds (2021)Diverse Hedge FundsA Bias-Free Assessment of the Hedge Fund Industry: A New Evaluation of Total Assets, Alphas, and the Flow-Performance Relation (2020)A Bias-Free Assessment of the…The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)The Economics and Finance of …Do Hedge Funds Exploit Rare Disaster Concerns? (2013)Do Hedge Funds Exploit Rare D…Determinants of Agricultural and Mineral Commodity Prices (2010)Determinants of Agricultural …Performance and persistence of Commodity Trading Advisors: Further evidence (2009)Performance and persistence o…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)On Persistence in Mutual Fund Performance (1997)Herding and Feedback Trading by Institutional and Individual Investors (1999)Mutual Fund Flows and Performance in Rational Markets (2004)Asset Fire Sales (and Purchases) in Equity Markets (2005)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Expected Idiosyncratic Skewness (2009)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)The language bioprogram hypothesis (1984)The Knowledge-creating Theory Revisited: Knowledge Creation as a Synthesizing Process (2015)Technologies and policies to decarbonize global industry: Review and assessment of mitigation drivers through 2070 (2020)Handbook of Emotions (1993)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Asset Pricing (2001)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)The Evolution of Cooperation (1981)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Resource-Based Theory of Competitive Advantage: Implications for Strategy Formulation (1991)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1970The Market for "Lemons": Quality Uncertainty and the Market Mechanism22,977 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1999The Massachusetts Institute of Technology3,135 cited
  • 1952The Utility of Wealth1,845 cited
  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2004

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Hedge Fund Benchmarks: A Risk-Based Approach
1,029 cited

Cited by

  • 2010Determinants of Agricultural and Mineral Commodity Prices97 cited
  • 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literature52 cited
  • 2013Do Hedge Funds Exploit Rare Disaster Concerns?38 cited
  • 2021Diverse Hedge Funds28 cited
  • 2009Performance and persistence of Commodity Trading Advisors: Further evidence20 cited
  • 2020A Bias-Free Assessment of the Hedge Fund Industry: A New Evaluation of Total Assets, Alphas, and the Flow-Performance Relation20 cited