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Evaluating Mutual Fund Performance

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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
1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
1981The relationship between return and market value of common stocks5,928 cited
1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
1989Business conditions and expected returns on stocks and bonds3,934 cited
1980Measuring security price performance3,330 cited
1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
1985Persuasive evidence of market inefficiency1,951 cited
1999Improved Methods for Tests of Long‐Run Abnormal Stock Returns1,826 cited
1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited

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1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited

Cited by

2010Why mutual funds “underperform”☆338 cited
2004On the Industry Concentration of Actively Managed Equity Mutual Funds327 cited
2005Judging Fund Managers by the Company They Keep312 cited
2006Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds311 cited
1999Survivorship bias and attrition effects in measures of performance persistence310 cited
2010Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements298 cited
2007UK mutual fund performance: Skill or luck?251 cited
2006Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions242 cited
2011All experience is not created equal: learning, adapting, and focusing in product portfolio management239 cited
2003A nonparametric test of market timing159 cited
2016Mutual Fund Transparency and Corporate Myopia158 cited
2016A Better Model? An Empirical Investigation of the Fama–French Five‐factor Model in Australia149 cited
2003On the Industry Concentration of Actively Managed Equity Mutual Funds135 cited
2007Building a Corporate Governance Index from the Perspectives of Ownership and Leadership for Firms in Taiwan132 cited
2008Ownership structure and target returns113 cited
2012Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings107 cited