SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Upside potential of hedge funds as a predictor of future performance
16 references·1 citing·30 second hop
Upside potential of hedge funds as a predictor of future performance (2018)Upside potential of hedge funds as a pred…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …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…Hedge Fund Alpha: Cycle or Sunset? (2020)Hedge Fund Alpha: Cycle or Su…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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)The Pricing of Options and Corporate Liabilities (1973)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Hedge Funds and the Technology Bubble (2004)Expected stock returns and volatility (1987)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Expected Stock Returns and Variance Risk Premia (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)Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Does Academic Research Destroy Stock Return Predictability? (2015)Replicating Anomalies (2018)
this work references cited by second hop

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
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2004

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

An econometric model of serial correlation and illiquidity in hedge fund returns
1,000 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • Cited by

    • 2020Hedge Fund Alpha: Cycle or Sunset?24 cited