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Asset pricing and extreme event risk: Common factors in ILS fund returns
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Asset pricing and extreme event risk: Common factors in ILS fund returns (2019)Asset pricing and extreme event risk: Com…Scale and skill in active management (2014)Scale and skill in active man…Time‐Varying Fund Manager Skill (2013)Time‐Varying Fund Manager Ski…The Illiquidity of Corporate Bonds (2011)The Illiquidity of Corporate …False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)False Discoveries in Mutual F…What Determines Chinese Stock Returns? (2004)What Determines Chinese Stock…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Does Fund Size Erode Mutual F…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …The Performance of Bond Mutual Funds (1993)The Performance of Bond Mutua…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…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…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)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Climate Change Concerns and the Performance of Green vs. Brown Stocks (2022)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Hedge Funds and the Technology Bubble (2004)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity Risk and Expected Stock Returns (2003)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Rollover Risk and Credit Risk (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Nature of the Firm (1937)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Survey of Systemic Risk Analytics (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2004Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization1,429 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2011The Illiquidity of Corporate Bonds989 cited
  • 2010False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas825 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2014Scale and skill in active management547 cited
  • 2013Time‐Varying Fund Manager Skill539 cited
  • 1993The Performance of Bond Mutual Funds464 cited

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  • 2004What Determines Chinese Stock Returns?446 cited
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