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Where are the smart investors? New evidence of the smart money effect
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Where are the smart investors? New evidence of the smart money effect (2011)Where are the smart investors? New eviden…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Dumb money: Mutual fund flows…Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Can Mutual Fund “Stars” Reall…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…On the Timing Ability of Mutual Fund Managers (2001)On the Timing Ability of Mutu…Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability (1999)Is Money Smart? A Study of Mu…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…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…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Performance Measurement witho…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…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)Mutual Fund Flows and Performance in Rational Markets (2004)Private Equity Performance: Returns, Persistence, and Capital Flows (2005)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Household Finance (2006)Herd Behavior and Investment (1988)The impact of institutional trading on stock prices (1992)The Limits of Arbitrage (1995)Measuring Mutual Fund Performance with Characteristic-Based Benchmarks (1997)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Fire Sales in Finance and Macroeconomics (2011)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Socially responsible investments: Institutional aspects, performance, and investor behavior (2008)
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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
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 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 Funds2,143 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 1995Risk Taking by Mutual Funds as a Response to Incentives1,614 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 2006Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis1,058 cited
  • 2008Dumb money: Mutual fund flows and the cross-section of stock returns881 cited
  • 1993Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns816 cited
  • 1999Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability

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816 cited
  • 2001On the Timing Ability of Mutual Fund Managers590 cited
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