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Evaluating style analysis
16 references·7 citing·43 second hop
Evaluating style analysis (2003)Evaluating style analysisValue Versus Growth (2003)Value Versus GrowthTesting for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets (2001)Testing for Mean‐Variance Spa…Testing for mean-variance spanning: a survey (2001)Testing for mean-variance spa…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Generalised style analysis of hedge funds (2000)Generalised style analysis of…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Mutual fund styles (1997)Mutual fund stylesEmpirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …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…Evaluating the Performance of International Mutual Funds (1990)Evaluating the Performance of…Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning, and Mean-Variance Efficiency (1989)A Performance Interpretation …The Determinants of Capital Structure Choice (1988)The Determinants of Capital S…Mimicking Portfolios and Exact Arbitrage Pricing (1987)Mimicking Portfolios and Exac…How to Use Security Analysis to Improve Portfolio Selection (1973)How to Use Security Analysis …A pairs trading strategy based on linear state space models and the Kalman filter (2016)A pairs trading strategy base…Editor's Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors (2014)Editor's Choice Fooling Some …Regular(ized) hedge funds (2010)Regular(ized) hedge fundsThe econometrics of mean‐variance efficiency tests: a survey (2009)The econometrics of mean‐vari…Style Analysis in Real Estate Markets: Beyond the Sector and Region Dichotomy (2009)Style Analysis in Real Estate…Time Variation in Mutual Fund Style Exposures (2007)Time Variation in Mutual Fund…Socially Responsible Investments: Methodology, Risk Exposure and Performance (2007)Socially Responsible Investme…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Mutual Fund Flows and Performance in Rational Markets (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Significance tests and goodness of fit in the analysis of covariance structures. (1980)Corporate financing and investment decisions when firms have information that investors do not have (1984)Firms, Contracts, and Financial Structure (1995)A Survey of Corporate Governance (1997)The theory and practice of corporate finance: evidence from the field (2001)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Funds and the Technology Bubble (2004)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The relationship between return and market value of common stocks (1981)Sources of risk and expected returns in global equity markets (1994)Diversification, Integration and Emerging Market Closed‐End Funds (1996)Do mutual funds time the market? Evidence from portfolio holdings (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)DOWNSIDE RISK IMPLICATIONS OF MULTINATIONALITY AND INTERNATIONAL JOINT VENTURES. (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)ESG shareholder engagement and downside risk (2023)Economic Forces and the Stock Market (1986)Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry (2001)On Mutual Fund Investment Styles (2002)Mutual Fund's R 2 as Predictor of Performance (2012)On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)Performance measurement with the arbitrage pricing theory (1986)The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds (2002)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)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Value and Momentum Everywhere (2013)Volatility Timing in Mutual Funds: Evidence from Daily Returns (1999)No Place Like Home: Familiarity in Mutual Fund Manager Portfolio Choice (2012)
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References

  • 1988The Determinants of Capital Structure Choice6,108 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 1973How to Use Security Analysis to Improve Portfolio Selection822 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1997Mutual fund styles475 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds414 cited
  • 1990Evaluating the Performance of International Mutual Funds399 cited
  • 2001Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets293 cited
  • 1987Mimicking Portfolios and Exact Arbitrage Pricing215 cited
  • 2003Value Versus Growth174 cited
  • 2001Testing for mean-variance spanning: a survey167 cited
  • 1989A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning, and Mean-Variance Efficiency

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140 cited
  • 2000Generalised style analysis of hedge funds137 cited
  • Cited by

    • 2014Editor's Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors73 cited
    • 2007Socially Responsible Investments: Methodology, Risk Exposure and Performance48 cited
    • 2009The econometrics of mean‐variance efficiency tests: a survey41 cited
    • 2007Time Variation in Mutual Fund Style Exposures37 cited
    • 2010Regular(ized) hedge funds34 cited
    • 2016A pairs trading strategy based on linear state space models and the Kalman filter31 cited
    • 2009Style Analysis in Real Estate Markets: Beyond the Sector and Region Dichotomy23 cited