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Cross-Asset Information Synergy in Mutual Fund Families
16 references·0 citing·45 second hop
Cross-Asset Information Synergy in Mutual Fund Families (2018)Cross-Asset Information Synergy in Mutual…Investor flows and fragility in corporate bond funds (2017)Investor flows and fragility …A Flow-Based Explanation for Return Predictability (2012)A Flow-Based Explanation for …Payoff complementarities and financial fragility: Evidence from mutual fund outflows (2010)Payoff complementarities and …Mutual Fund Incubation (2010)Mutual Fund IncubationFavoritism in Mutual Fund Families? Evidence on Strategic Cross‐Fund Subsidization (2006)Favoritism in Mutual Fund Fam…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers (2000)The Value of Active Mutual Fu…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Risk Taking by Mutual Funds as a Response to Incentives (1997)Risk Taking by Mutual Funds a…Measuring Mutual Fund Performance with Characteristic-Based Benchmarks (1997)Measuring Mutual Fund Perform…Theory of the firm; managerial Behavior, Agency Costs, and Ownership Structure (1996)Theory of the firm; manageria…Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)Of Tournaments and Temptation…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Determinants of corporate borrowing (1977)Determinants of corporate bor…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)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)Mutual Fund Flows and Performance in Rational Markets (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Rank-Order Tournaments as Optimum Labor Contracts (1979)Rank-Order Tournaments as Optimum Labor Contracts (1981)Prizes and Incentives in Elimination Tournaments (1985)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Limits of Arbitrage (2010)Do ETFs Increase Volatility? (2014)Scale and skill in active management (2014)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Fire Sales in Finance and Macroeconomics (2011)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)Reputation Acquisition in Debt Markets (1989)Finance and Growth: Theory and Evidence (2004)
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References

  • 1977Determinants of corporate borrowing13,160 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1996Theory of the firm; managerial Behavior, Agency Costs, and Ownership Structure4,245 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 1996Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry1,491 cited
  • 2012A Flow-Based Explanation for Return Predictability769 cited
  • 2000The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers731 cited
  • 2010Mutual Fund Incubation709 cited
  • 2010Payoff complementarities and financial fragility: Evidence from mutual fund outflows702 cited
  • 2017Investor flows and fragility in corporate bond funds632 cited
  • 1997Measuring Mutual Fund Performance with Characteristic-Based Benchmarks

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  • 2006Favoritism in Mutual Fund Families? Evidence on Strategic Cross‐Fund Subsidization576 cited
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