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The Performance of US Bond Mutual Funds
16 references·0 citing·36 second hopsampled
The Performance of US Bond Mutual Funds (2018)The Performance of US Bond Mutual FundsReaching for Yield in Corporate Bond Mutual Funds (2017)Reaching for Yield in Corpora…Investor flows and fragility in corporate bond funds (2017)Investor flows and fragility …Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation (2013)Should Benchmark Indices Have…Measuring the timing ability and performance of bond mutual funds☆ (2010)Measuring the timing ability …Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation (2008)Should Benchmark Indices Have…“Hot Hands” in bond funds (2007)“Hot Hands” in bond fundsPortfolio Constraints and the Fundamental Law of Active Management (2002)Portfolio Constraints and the…Evaluating Mutual Fund Performance (2001)Evaluating Mutual Fund Perfor…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Fundamental Economic Variables, Expected Returns, and Bond Fund Performance (1995)Fundamental Economic Variable…The Performance of Bond Mutual Funds (1993)The Performance of Bond Mutua…Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Hot Hands in Mutual Funds: Sh…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Modern Portfolio Theory and Investment Analysis. (1982)A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases (2001)Do Female Mutual Fund Managers Manage Differently? (2003)Efficient Capital Markets: II (1991)Breadth of ownership and stock returns (2002)The market for borrowing stock (2002)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Common risk factors in the returns on stocks and bonds (1993)A five-factor asset pricing model (2014)The Cross-Section of Expected Stock Returns (1992)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)The arbitrage theory of capital asset pricing (1976)Governance Mechanisms and Bond Prices (2007)Performance and Persistence in Institutional Investment Management (2010)RETRACTED: Common risk factors in the cross-section of corporate bond returns (2018)Bank Runs, Deposit Insurance, and Liquidity (1983)Illiquidity and stock returns: cross-section and time-series effects (2002)The Rise of Shadow Banking: Evidence from Capital Regulation (2018)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets (2021)Multifactor Explanations of Asset Pricing Anomalies (1996)On the Industry Concentration of Actively Managed Equity Mutual Funds (2004)Judging Fund Managers by the Company They Keep (2005)Why mutual funds “underperform”☆ (2010)Measuring skill in the mutual fund industry (2015)International tests of a five-factor asset pricing model (2016)Choosing factors (2018)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 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
  • 1993Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-19881,219 cited
  • 2017Investor flows and fragility in corporate bond funds632 cited
  • 1993The Performance of Bond Mutual Funds464 cited
  • 1995Fundamental Economic Variables, Expected Returns, and Bond Fund Performance403 cited
  • 2001Evaluating Mutual Fund Performance339 cited
  • 2017Reaching for Yield in Corporate Bond Mutual Funds285 cited
  • 2013Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation253 cited
  • 2002Portfolio Constraints and the Fundamental Law of Active Management250 cited
  • 2010Measuring the timing ability and performance of bond mutual funds☆202 cited
  • 2008Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation

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127 cited
  • 2007“Hot Hands” in bond funds100 cited
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