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Timing Ability in the Focus Market of Hedge Funds
16 references·15 citing·30 second hop
Timing Ability in the Focus Market of Hedge Funds (2005)Timing Ability in the Focus Market of Hed…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Short-Term Persistence in Mutual Fund Performance (2004)Short-Term Persistence in Mut…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Hedge Funds: The Living and the Dead (2000)Hedge Funds: The Living and t…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…The Limits of Arbitrage (1995)The Limits of ArbitrageEfficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios (1993)Efficiency with Costly Inform…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Market Timing and Mutual Fund Performance: An Empirical Investigation (1984)Market Timing and Mutual Fund…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Sentiment Trading and Hedge Fund Returns (2021)Sentiment Trading and Hedge F…Hedge Funds: The Good, the Bad, and the Lucky (2017)Hedge Funds: The Good, the Ba…The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)The Economics and Finance of …Hedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…Do hedge funds dynamically manage systematic risk? (2015)Do hedge funds dynamically ma…Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2014)Tail Risk in Hedge Funds: A U…Environmental Mutual Funds: Financial Performance and Managerial Abilities (2013)Environmental Mutual Funds: F…The market timing skills of hedge funds during the financial crisis (2011)The market timing skills of h…Can Hedge Funds Time Market Liquidity? (2011)Can Hedge Funds Time Market L…Stock picking, market timing and style differences between socially responsible and conventional pension funds: evidence from the United Kingdom (2010)Stock picking, market timing …Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAs (2009)Market timing of CTAs: An exa…Timing the investment grade securities market: Evidence from high quality bond funds (2008)Timing the investment grade s…A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategies (2008)A Bayesian Approach to Detect…The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions (2007)The Performance of Hedge Fund…Hedge fund pricing and model uncertainty (2007)Hedge fund pricing and model …An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Modern Portfolio Theory and Investment Analysis. (1982)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)Hedge Fund Benchmarks: A Risk-Based Approach (2004)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)The Performance of Mutual Funds in the Period 1945-1964 (1968)The Strategic and Tactical Value of Commodity Futures (2006)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)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)On Persistence in Mutual Fund Performance (1997)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Moral Hazard and Observability (1979)Hedge Funds and the Technology Bubble (2004)Just How Much Do Individual Investors Lose by Trading? (2008)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 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
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 1993Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios870 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 2004Short-Term Persistence in Mutual Fund Performance657 cited
  • 1984Market Timing and Mutual Fund Performance: An Empirical Investigation

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634 cited
  • 2000Hedge Funds: The Living and the Dead621 cited
  • Cited by

    • 2013Environmental Mutual Funds: Financial Performance and Managerial Abilities142 cited
    • 2017Hedge Funds: The Good, the Bad, and the Lucky82 cited
    • 2007The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions73 cited
    • 2021Sentiment Trading and Hedge Fund Returns66 cited
    • 2015Hedge Funds: A Dynamic Industry in Transition64 cited
    • 2007Hedge fund pricing and model uncertainty54 cited
    • 2008Timing the investment grade securities market: Evidence from high quality bond funds53 cited
    • 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literature52 cited
    • 2014Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings44 cited
    • 2011Can Hedge Funds Time Market Liquidity?42 cited
    • 2011The market timing skills of hedge funds during the financial crisis39 cited
    • 2008A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategies29 cited
    • 2015Do hedge funds dynamically manage systematic risk?29 cited
    • 2009Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAs26 cited
    • 2010Stock picking, market timing and style differences between socially responsible and conventional pension funds: evidence from the United Kingdom25 cited