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Does MAX Matter for Mutual Funds?
16 references·1 citing·27 second hop
Does MAX Matter for Mutual Funds? (2017)Does MAX Matter for Mutual Funds?Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…Who Gambles in the Stock Market? (2009)Who Gambles in the Stock Mark…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…The Geography of Investment: Informed Trading and Asset Prices (2001)The Geography of Investment: …Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…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…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Mutual Fund Performance (1966)Mutual Fund PerformanceSalience theory and mutual fund flows: Empirical evidence from China (2022)Salience theory and mutual fu…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Private Equity Performance: Returns, Persistence, and Capital Flows (2005)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)Digesting Anomalies: An Investment Approach (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Household Finance (2006)
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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
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19645,527 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1966Mutual Fund Performance4,089 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,177 cited
  • 2001The Geography of Investment: Informed Trading and Asset Prices2,004 cited
  • 2009Who Gambles in the Stock Market?1,808 cited
  • 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns1,793 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets

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  • 2022Salience theory and mutual fund flows: Empirical evidence from China15 cited