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Investors' Response to the Performance of Professional Fund Managers: Evidence from the Australian Wholesale Funds Market
12 references·12 citing·51 second hop
Investors' Response to the Performance of Professional Fund Managers: Evidence from the Australian Wholesale Funds Market (2000)Investors' Response to the Performance of…Risk Taking by Mutual Funds as a Response to Incentives (1997)Risk Taking by Mutual Funds a…Mutual fund styles (1997)Mutual fund stylesThe Dynamics of Portfolio Management Contracts (1994)The Dynamics of Portfolio Man…Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Performance Measurement witho…Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Hot Hands in Mutual Funds: Sh…The Structure and Performance of the Money Management Industry (1992)The Structure and Performance…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry (1992)Consumer Reaction to Measures…Measurement Cost and the Organization of Markets (1982)Measurement Cost and the Orga…Is Fund Growth Related to Fund Performance? (1978)Is Fund Growth Related to Fun…Mutual Fund Performance and Cash Inflows (1970)Mutual Fund Performance and C…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance (2008)Portfolio pumping: An examina…The effect of distribution channels on mutual fund flows (2007)The effect of distribution ch…Size and investment performance: a research note (2005)Size and investment performan…Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection (2005)Pension Plan Investment Manag…Do Past Performance and Past Cash Flows Explain Current Cash Flows into Retail Superannuation Funds in Australia? (2005)Do Past Performance and Past …Australian Retail Superannuation Fund Performance Persistence (2005)Australian Retail Superannuat…International equity funds, performance, and investor flows: Australian evidence (2003)International equity funds, p…The Performance of Active Australian Bond Funds (2002)The Performance of Active Aus…Selecting Australian equity superannuation funds: A retail investor's perspective (2002)Selecting Australian equity s…HOT HANDS AND SUPERANNUATION FUND PERFORMANCE: A SECOND NOTE FOR TRUSTEES (2001)HOT HANDS AND SUPERANNUATION …CHOICES AND RETIREMENT SAVINGS: SOME PRELIMINARY RESULTS ON SUPERANNUATION FUND MEMBER DECISIONS (2001)CHOICES AND RETIREMENT SAVING…ASSET SELECTION AND SUPERANNUATION FUND PERFORMANCE: A NOTE FOR TRUSTEES (2001)ASSET SELECTION AND SUPERANNU…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)The arbitrage theory of capital asset pricing (1976)The Performance of Hedge Funds: Risk, Return, and Incentives (1999)Mutual Fund Flows and Performance in Rational Markets (2002)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)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)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Breadth of ownership and stock returns (2002)The market for borrowing stock (2002)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)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)Mutual Fund Flows and Performance in Rational Markets (2004)Asset Fire Sales (and Purchases) in Equity Markets (2005)Size-related anomalies and stock return seasonality (1983)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Persistence of Mutual Fund Performance (1992)Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability (1999)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Measuring skill in the mutual fund industry (2015)Rank-Order Tournaments as Optimum Labor Contracts (1979)Rank-Order Tournaments as Optimum Labor Contracts (1981)Moral Hazard in Teams (1982)Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare (2002)The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)DELEGATED PORTFOLIO MANAGEMENT: A SURVEY OF THE THEORETICAL LITERATURE (2006)Why Is There Mandatory Retirement? (1979)Are small investors naive about incentives? (2007)The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2009)Money Doctors (2014)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)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Economic Forces and the Stock Market (1986)The Cross-Section of Expected Stock Returns (1992)Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry (2001)On Mutual Fund Investment Styles (2002)Mutual Fund's R 2 as Predictor of Performance (2012)Chapter 3 Transaction cost economics (1989)Socially Embedded Consumer Transactions: For What Kinds of Purchases Do People Most Often use Networks? (1998)The Institutions of Governance (1998)
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References

  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 1993Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-19881,219 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1992Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry1,065 cited
  • 1982Measurement Cost and the Organization of Markets986 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1993Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns816 cited
  • 1992The Structure and Performance of the Money Management Industry572 cited
  • 1997Mutual fund styles475 cited
  • 1994The Dynamics of Portfolio Management Contracts160 cited
  • 1978Is Fund Growth Related to Fund Performance?70 cited
  • 1970Mutual Fund Performance and Cash Inflows57 cited

Cited by

  • 2008Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance48 cited
  • 2005Size and investment performance: a research note45 cited
  • 2001ASSET SELECTION AND SUPERANNUATION FUND PERFORMANCE: A NOTE FOR TRUSTEES

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32 cited
  • 2002Selecting Australian equity superannuation funds: A retail investor's perspective32 cited
  • 2005Australian Retail Superannuation Fund Performance Persistence29 cited
  • 2007The effect of distribution channels on mutual fund flows28 cited
  • 2003International equity funds, performance, and investor flows: Australian evidence25 cited
  • 2002The Performance of Active Australian Bond Funds24 cited
  • 2005Do Past Performance and Past Cash Flows Explain Current Cash Flows into Retail Superannuation Funds in Australia?22 cited
  • 2001CHOICES AND RETIREMENT SAVINGS: SOME PRELIMINARY RESULTS ON SUPERANNUATION FUND MEMBER DECISIONS17 cited
  • 2005Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection17 cited
  • 2001HOT HANDS AND SUPERANNUATION FUND PERFORMANCE: A SECOND NOTE FOR TRUSTEES15 cited