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The Performance of Italian Equity Funds
16 references·2 citing·22 second hop
The Performance of Italian Equity Funds (2001)The Performance of Italian Equity FundsOn Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Hot Hands in Mutual Funds: Sh…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Mutual Fund Performance (1966)Mutual Fund PerformanceThe Efficiency of Performance‐Based Fee Funds (2012)The Efficiency of Performance…Bank capital and lending behaviour: empirical evidence for Italy (2003)Bank capital and lending beha…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Financial Intermediation and Delegated Monitoring (1984)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)The relationship between return and market value of common stocks (1981)Multifactor Explanations of Asset Pricing Anomalies (1996)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
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  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
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  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
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  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1993Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-19881,219 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

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1,206 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • Cited by

    • 2003Bank capital and lending behaviour: empirical evidence for Italy37 cited
    • 2012The Efficiency of Performance‐Based Fee Funds33 cited