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Mutual Fund Liquidity Costs
16 references·0 citing·29 second hopsampled
Mutual Fund Liquidity Costs (2016)Mutual Fund Liquidity CostsInvestor flows and fragility in corporate bond funds (2017)Investor flows and fragility …Payoff complementarities and financial fragility: Evidence from mutual fund outflows (2010)Payoff complementarities and …Mutual Fund Incubation (2010)Mutual Fund IncubationLuck 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 Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Does Fund Size Erode Mutual F…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Investor flows and the assessed performance of open-end mutual funds (1999)Investor flows and the assess…A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…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)A five-factor asset pricing model (2014)Limited-dependent and qualitative variables in econometrics (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Corporate Yield Spreads and Bond Liquidity (2007)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)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 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)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Trading and Arbitrage in Cryptocurrency Markets (2018)Mutual Fund Flows and Performance in Rational Markets (2002)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 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 Returns1,781 cited
  • 2004Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization1,429 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 1999A New Estimate of Transaction Costs1,340 cited
  • 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
  • 2010False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas825 cited
  • 1999Investor flows and the assessed performance of open-end mutual funds731 cited
  • 2010Mutual Fund Incubation709 cited
  • 2010Payoff complementarities and financial fragility: Evidence from mutual fund outflows

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702 cited
  • 2017Investor flows and fragility in corporate bond funds632 cited
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