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Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
16 references·16 citing·24 second hopsampled
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2012)Uncovering Hedge Fund Skill from the Port…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsIlliquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…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…Industry costs of equity (1997)Industry costs of equityCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure, Liquidity, and th…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Sophisticated investors and market efficiency: Evidence from a natural experiment (2020)Sophisticated investors and m…Anomalies and the Expected Market Return (2020)Anomalies and the Expected Ma…Is There Information Content in Information Acquisition? (2019)Is There Information Content …Sentiment Metrics and Investor Demand (2018)Sentiment Metrics and Investo…Tail risk in hedge funds: A unique view from portfolio holdings (2017)Tail risk in hedge funds: A u…Redacting proprietary information at the initial public offering (2016)Redacting proprietary informa…Capitalizing on Capitol Hill: Informed trading by hedge fund managers (2016)Capitalizing on Capitol Hill:…Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance (2015)Mandatory Portfolio Disclosur…Hedge Fund Holdings and Stock Market Efficiency (2015)Hedge Fund Holdings and Stock…Hedge Fund Crowds and Mispricing (2015)Hedge Fund Crowds and Mispric…Arbitrage Trading: The Long and the Short of It (2015)Arbitrage Trading: The Long a…Window Dressing in Mutual Funds (2014)Window Dressing in Mutual Fun…Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings (2013)Why Do Hedge Funds Avoid Disc…Speculation and Hedging in Segmented Markets (2013)Speculation and Hedging in Se…Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings (2013)Inferring Reporting-Related B…Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases (2012)Out of the Dark: Hedge Fund R…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)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)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Multifactor Explanations of Asset Pricing Anomalies (1996)Conditional Skewness in Asset Pricing Tests (2000)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)The economic implications of corporate financial reporting (2005)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1997Industry costs of equity5,793 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1991Disclosure, Liquidity, and the Cost of Capital3,828 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2004Default Risk in Equity Returns1,997 cited

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2000
Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses
1,854 cited

Cited by

  • 2014Window Dressing in Mutual Funds229 cited
  • 2020Anomalies and the Expected Market Return203 cited
  • 2013Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings196 cited
  • 2016Redacting proprietary information at the initial public offering171 cited
  • 2015Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance168 cited
  • 2018Sentiment Metrics and Investor Demand162 cited
  • 2017Tail risk in hedge funds: A unique view from portfolio holdings158 cited
  • 2013Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings154 cited
  • 2020Sophisticated investors and market efficiency: Evidence from a natural experiment143 cited
  • 2015Hedge Fund Crowds and Mispricing124 cited
  • 2013Speculation and Hedging in Segmented Markets124 cited
  • 2015Hedge Fund Holdings and Stock Market Efficiency122 cited
  • 2016Capitalizing on Capitol Hill: Informed trading by hedge fund managers122 cited
  • 2012Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases120 cited
  • 2015Arbitrage Trading: The Long and the Short of It114 cited
  • 2019Is There Information Content in Information Acquisition?111 cited