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Does the Choice of Model or Benchmark Affect Inference in Measuring Mutual Fund Performance?
16 references·1 citing·27 second hopsampled
Does the Choice of Model or Benchmark Affect Inference in Measuring Mutual Fund Performance? (2006)Does the Choice of Model or Benchmark Aff…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Can Mutual Fund “Stars” Reall…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Short-Term Persistence in Mutual Fund Performance (2004)Short-Term Persistence in Mut…Information and the Cost of Capital (2004)Information and the Cost of C…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Career Concerns of Mutual Fund Managers (1999)Career Concerns of Mutual Fun…Career Concerns of Mutual Fund Managers (1998)Career Concerns of Mutual Fun…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities (2013)Short-term persistence in hyb…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Continuous Auctions and Insider Trading (1985)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Multifactor Explanations of Asset Pricing Anomalies (1996)Liquidity and leverage (2008)Information Uncertainty and Stock Returns (2006)Liquidity and Asset Prices (2006)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 2004Information and the Cost of Capital3,057 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 2006Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis1,058 cited
  • 1999Career Concerns of Mutual Fund Managers859 cited
  • 2004Short-Term Persistence in Mutual Fund Performance657 cited

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1998
Career Concerns of Mutual Fund Managers
640 cited

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  • 2013Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities26 cited