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Performance Persistence of Dutch Pension Funds
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Performance Persistence of Dutch Pension Funds (2011)Performance Persistence of Dutch Pension …Performance and Persistence in Institutional Investment Management (2010)Performance and Persistence i…The Selection and Termination of Investment Management Firms by Plan Sponsors (2008)The Selection and Termination…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Short-Term Persistence in Mutual Fund Performance (2004)Short-Term Persistence in Mut…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Mutual Fund Flows and Performance in Rational Markets (2002)Mutual Fund Flows and Perform…On the Timing Ability of Mutual Fund Managers (2001)On the Timing Ability of Mutu…Asset Allocation Dynamics and Pension Fund Performance (1999)Asset Allocation Dynamics and…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation (1993)The Investment Performance of…The Structure and Performance of the Money Management Industry (1992)The Structure and Performance…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Determinants of Portfolio Performance (1986)Determinants of Portfolio Per…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Common risk factors in the returns on stocks and bonds (1993)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence (2003)The Interim Trading Skills of Institutional Investors (2011)Mutual Fund's R 2 as Predictor of Performance (2012)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)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 PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Costly Search and Mutual Fund Flows (1998)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Behavior of Stock Prices Around Institutional Trades (1995)Beyond Greed and Fear (2002)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Just How Much Do Individual Investors Lose by Trading? (2008)Risk Shifting and Mutual Fund Performance (2011)Time‐Varying Fund Manager Skill (2013)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 2002Mutual Fund Flows and Performance in Rational Markets1,131 cited
  • 1986Determinants of Portfolio Performance1,031 cited
  • 2004Short-Term Persistence in Mutual Fund Performance657 cited
  • 2001On the Timing Ability of Mutual Fund Managers580 cited
  • 1992The Structure and Performance of the Money Management Industry572 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds414 cited
  • 1999Asset Allocation Dynamics and Pension Fund Performance351 cited
  • 2010Performance and Persistence in Institutional Investment Management319 cited
  • 1993The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation259 cited

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2008
The Selection and Termination of Investment Management Firms by Plan Sponsors
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