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Which Factors Matter to Investors? Evidence from Mutual Fund Flows
16 references·16 citing·35 second hopsampled
Which Factors Matter to Investors? Evidence from Mutual Fund Flows (2016)Which Factors Matter to Investors? Eviden…A five-factor asset pricing model (2014)A five-factor asset pricing m…In Search of Distress Risk (2008)In Search of Distress RiskAsset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…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…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Risk Taking by Mutual Funds as a Response to Incentives (1995)Risk Taking by Mutual Funds a…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Machine-learning the skill of mutual fund managers (2023)Machine-learning the skill of…Analyzing Active Fund Managers’ Commitment to ESG: Evidence from the United Nations Principles for Responsible Investment (2022)Analyzing Active Fund Manager…Why Do Mutual Funds Hold Lottery Stocks? (2021)Why Do Mutual Funds Hold Lott…What Do Mutual Fund Investors Really Care About? (2021)What Do Mutual Fund Investors…How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach (2021)How Much Does Size Erode Mutu…Expected return, volume, and mispricing (2021)Expected return, volume, and …Mutual Fund Performance and Flows during the COVID-19 Crisis (2020)Mutual Fund Performance and F…A Comprehensive Survey on Portfolio Optimization, Stock Price and Trend Prediction Using Particle Swarm Optimization (2020)A Comprehensive Survey on Por…Is There Information Content in Information Acquisition? (2019)Is There Information Content …Models or Stars: The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment (2018)Models or Stars: The Role of …Margin Requirements and the Security Market Line (2018)Margin Requirements and the S…Alpha or beta in the eye of the beholder: What drives hedge fund flows? (2018)Alpha or beta in the eye of t…The Mismatch Between Mutual Fund Scale and Skill (2017)The Mismatch Between Mutual F…Fund Flows and Market States (2017)Fund Flows and Market StatesMutual Fund Competition, Managerial Skill, and Alpha Persistence (2014)Mutual Fund Competition, Mana…Investor Learning and Mutual Fund Flows (2011)Investor Learning and Mutual …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)Illiquidity and stock returns: cross-section and time-series effects (2002)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Herding and Feedback Trading by Institutional and Individual Investors (1999)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Information Uncertainty and Stock Returns (2006)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Who Gambles in the Stock Market? (2009)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Editor's Choice Digesting Anomalies: An Investment ApproachDo Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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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
  • 2014A five-factor asset pricing model7,841 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited

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  • 1995Risk Taking by Mutual Funds as a Response to Incentives1,582 cited
  • Cited by

    • 2022Analyzing Active Fund Managers’ Commitment to ESG: Evidence from the United Nations Principles for Responsible Investment454 cited
    • 2020Mutual Fund Performance and Flows during the COVID-19 Crisis319 cited
    • 2021What Do Mutual Fund Investors Really Care About?310 cited
    • 2014Mutual Fund Competition, Managerial Skill, and Alpha Persistence167 cited
    • 2018Models or Stars: The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment136 cited
    • 2017The Mismatch Between Mutual Fund Scale and Skill128 cited
    • 2018Alpha or beta in the eye of the beholder: What drives hedge fund flows?126 cited
    • 2011Investor Learning and Mutual Fund Flows121 cited
    • 2020A Comprehensive Survey on Portfolio Optimization, Stock Price and Trend Prediction Using Particle Swarm Optimization121 cited
    • 2021Why Do Mutual Funds Hold Lottery Stocks?120 cited
    • 2018Margin Requirements and the Security Market Line113 cited
    • 2017Fund Flows and Market States112 cited
    • 2019Is There Information Content in Information Acquisition?111 cited
    • 2021Expected return, volume, and mispricing108 cited
    • 2023Machine-learning the skill of mutual fund managers108 cited
    • 2021How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach100 cited