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False discoveries in style timing of Chinese mutual funds
16 references·0 citing·33 second hop
False discoveries in style timing of Chinese mutual funds (2016)False discoveries in style timing of Chin…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)False Discoveries in Mutual F…Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors (2007)Trading Performance, Disposit…Herding behavior in Chinese stock markets: An examination of A and B shares (2007)Herding behavior in Chinese s…Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Can Mutual Fund “Stars” Reall…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…Mutual Fund Flows and Performance in Rational Markets (2002)Mutual Fund Flows and Perform…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios (1993)Efficiency with Costly Inform…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Behavior of Stock-Market Prices (1965)Measuring skill in the mutual fund industry (2015)International tests of a five-factor asset pricing model (2016)Choosing factors (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Costly Search and Mutual Fund Flows (1998)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)The Nature of the Firm (1937)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)Multifactor Explanations of Asset Pricing Anomalies (1996)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns1,781 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 2004Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization1,429 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 2002Mutual Fund Flows and Performance in Rational Markets1,131 cited
  • 2006Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis1,058 cited
  • 1993Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios870 cited
  • 2010False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas825 cited

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  • 2007Herding behavior in Chinese stock markets: An examination of A and B shares646 cited
  • 2007Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors627 cited
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