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Fund managers' herding and the sensitivity of fund flows to past performance
16 references·1 citing·34 second hopsampled
Fund managers' herding and the sensitivity of fund flows to past performance (2016)Fund managers' herding and the sensitivit…Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…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 Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Mutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …Risk Taking by Mutual Funds as a Response to Incentives (1997)Risk Taking by Mutual Funds a…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…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…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Herd Behavior and Investment (1988)Herd Behavior and InvestmentRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…AN ANALYSIS OF HERDING BEHAVIOR IN THE STOCK MARKET: A CASE STUDY OF THE ASEAN-5 AND THE UNITED STATES (2020)AN ANALYSIS OF HERDING BEHAVI…The General Theory of Employment (1937)Network Externalities, Competition, and Compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)A Simple Model of Herd Behavior (1992)The Limits of Arbitrage (1995)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The theory and practice of econometrics (1986)The Relation between Price and Marginal Cost in U.S. Industry (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Testing for Cross-Sectional Dependence in Panel-Data Models (2006)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)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)Private Equity Performance: Returns, Persistence, and Capital Flows (2005)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Measuring Mutual Fund Performance with Characteristic-Based Benchmarks (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Household Finance (2006)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Illiquidity and stock returns: cross-section and time-series effects (2002)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches11,238 cited
  • 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data7,191 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1988Herd Behavior and Investment2,815 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,177 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,143 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns1,793 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices1,730 cited
  • 1995Risk Taking by Mutual Funds as a Response to Incentives

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1,614 cited
  • 2004Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization1,429 cited
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    • 2020AN ANALYSIS OF HERDING BEHAVIOR IN THE STOCK MARKET: A CASE STUDY OF THE ASEAN-5 AND THE UNITED STATES17 cited