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Investor Flows and Fund Restrictions in the Hedge Fund Industry
16 references·4 citing·30 second hop
Investor Flows and Fund Restrictions in the Hedge Fund Industry (2007)Investor Flows and Fund Restrictions in t…Private Equity Performance: Returns, Persistence, and Capital Flows (2005)Private Equity Performance: R…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…Mutual Fund Flows and Performance in Rational Markets (2002)Mutual Fund Flows and Perform…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Multi-Period Performance Persistence Analysis of Hedge Funds (2000)Multi-Period Performance Pers…Hedge Funds: The Living and the Dead (2000)Hedge Funds: The Living and t…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…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…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…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Regulatory Oversight and Return Misreporting by Hedge Funds (2015)Regulatory Oversight and Retu…Investor Inattention: A Hidden Cost of Choice in Pension Plans? (2013)Investor Inattention: A Hidde…Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk (SDSVaR) Approach (2010)Spillover Effects among Finan…Liquidity shocks, size and the relative performance of hedge fund strategies (2008)Liquidity shocks, size and th…An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Modern Portfolio Theory and Investment Analysis. (1982)The Performance of Hedge Funds: Risk, Return, and Incentives (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)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)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Climate Change Concerns and the Performance of Green vs. Brown Stocks (2022)On Persistence in Mutual Fund Performance (1997)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Flows and Performance in Rational Markets (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)The Pricing of Options and Corporate Liabilities (1973)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)Venture Capital and the Professionalization of Start‐Up Firms: Empirical Evidence (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Whom You Know Matters: Venture Capital Networks and Investment Performance (2007)The Financing of R&D and Innovation (2010)Herding and Feedback Trading by Institutional and Individual Investors (1999)Asset Fire Sales (and Purchases) in Equity Markets (2005)Has Financial Development Made the World Riskier? (2005)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Just How Much Do Individual Investors Lose by Trading? (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 2005Private Equity Performance: Returns, Persistence, and Capital Flows1,951 cited
  • 1995Risk Taking by Mutual Funds as a Response to Incentives1,582 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2002Mutual Fund Flows and Performance in Rational Markets1,131 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 1993Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns816 cited
  • 1999Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability816 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2000Hedge Funds: The Living and the Dead621 cited

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  • 2000Multi-Period Performance Persistence Analysis of Hedge Funds600 cited
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    • 2008Liquidity shocks, size and the relative performance of hedge fund strategies56 cited
    • 2015Regulatory Oversight and Return Misreporting by Hedge Funds42 cited
    • 2013Investor Inattention: A Hidden Cost of Choice in Pension Plans?41 cited
    • 2010Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk (SDSVaR) Approach32 cited