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Cross trading by investment advisers: Implications for mutual fund performance
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Cross trading by investment advisers: Implications for mutual fund performance (2015)Cross trading by investment advisers: Imp…Favoritism in Mutual Fund Families? Evidence on Strategic Cross‐Fund Subsidization (2006)Favoritism in Mutual Fund Fam…Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows* (2005)Out of Sight, Out of Mind: Th…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Does Fund Size Erode Mutual F…The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds (2002)The Determinants of the Flow …Mutual Fund Flows and Performance in Rational Markets (2002)Mutual Fund Flows and Perform…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…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Risk Taking by Mutual Funds as a Response to Incentives (1995)Risk Taking by Mutual Funds a…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Structure and Performance of the Money Management Industry (1992)The Structure and Performance…Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry (1992)Consumer Reaction to Measures…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…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)The Geography of Investment: Informed Trading and Asset Prices (2001)Asset Fire Sales (and Purchases) in Equity Markets (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)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 PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Herding and Feedback Trading by Institutional and Individual Investors (1999)The Nature of the Firm (1937)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Multifactor Explanations of Asset Pricing Anomalies (1996)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Has Financial Development Made the World Riskier? (2005)
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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
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1995Risk Taking by Mutual Funds as a Response to Incentives1,582 cited
  • 2004Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization1,429 cited
  • 2002Mutual Fund Flows and Performance in Rational Markets1,131 cited
  • 1992Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry1,065 cited
  • 2005Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows*800 cited
  • 2002The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds795 cited
  • 2006Favoritism in Mutual Fund Families? Evidence on Strategic Cross‐Fund Subsidization

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576 cited
  • 1992The Structure and Performance of the Money Management Industry572 cited
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