Additional information is available for the following registered author(s):

• Philip H. Dybvig

Download Info

To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info

Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 40 (1985)
Issue (Month): 2 (June)
Pages: 383-99
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:40:y:1985:i:2:p:383-99

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research

Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
2. Mark Grinblatt, 1989. "A Comparison of Measures of Abnormal Performance on a Sample of Monthly Mutual Fund Returns, formerly titled; The Evaluation of Mutual Fund Performance: An Analysis of Monthly Returns," University of California at Los Angeles, Anderson Graduate School of Management 1189, Anderson Graduate School of Management, UCLA. [Downloadable!]
3. Marquering, W. & Verbeek, M., 2000. "The economic value of predicting stock index returns and volatility," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
4. Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research Department. [Downloadable!]
5. Lewellen, Jonathan & Nagel, Stefan, 2003. "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers 4427-03, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
   Other versions:
   • Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Lewellen, Jonathan & Nagel, Stefan, 2006. "The conditional CAPM does not explain asset-pricing anomalies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 289-314, November. [Downloadable!] (restricted)
6. J. C. Matallín & A. Fernández-Izquierdo, 2003. "Passive timing effect in portfolio management," Applied Economics, Taylor and Francis Journals, vol. 35(17), pages 1829-1837, November. [Downloadable!] (restricted)
7. Jorge H. del Castillo-Spíndola, 2006. "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(2), pages 275-297. [Downloadable!]
8. Mark Grinblatt & Sheridan Titman, 1991. "Do Benchmarks Matter? Do Measures Matter? A Study of Monthly Mutual Fund Returns," University of California at Los Angeles, Anderson Graduate School of Management 1169, Anderson Graduate School of Management, UCLA. [Downloadable!]
9. Marquering, W.A. & Verbeek, M.J.C.M, 2001. "The Economic Value of Predicting Stock Index Returns and Volatility," Research Paper ERS-2001-75-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
10. Peter Temin & Joachim Voth, 2004. "Riding the South Sea Bubble," Economics Working Papers 861, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    Other versions:
    • Temin, Peter & Voth, Hans-Joachim, 2004. "Riding the South Sea Bubble," CEPR Discussion Papers 4221, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    • Peter Temin & Hans-Joachim Voth, 2004. "Riding the South Sea Bubble," American Economic Review, American Economic Association, vol. 94(5), pages 1654-1668, December. [Downloadable!]
11. Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
12. Lawrence R. Glosten & Ravi Jagannathan, 1993. "A contingent claim approach to performance evaluation," Staff Report 159, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
    • Glosten, L. R. & Jagannathan, R., 1994. "A contingent claim approach to performance evaluation," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 133-160, January. [Downloadable!] (restricted)
13. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January. [Downloadable!]
14. Hayne E. Leland., 1996. "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies," Research Program in Finance Working Papers RPF-263-rev, University of California at Berkeley. [Downloadable!]
15. J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002. "The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/160, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
16. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York. [Downloadable!]
17. Christensen, Michael, 2003. "Evaluating Danish Mutual Fund Performance," Finance Working Papers 03-4, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
18. Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005. "Mimicking Portfolios with Conditioning Information," NBER Working Papers 11020, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
19. Arik Ben Dor & Ravi Jagannathan, 2002. "Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis," NBER Working Papers 9111, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
20. Ross M. Miller, 2005. "Measuring the True Cost of Active Management by Mutual Funds," Finance 0506010, EconWPA, revised 08 Jul 2005. [Downloadable!]

Did you know? LogEc provides statistical analysis about downloads from this service (and others).

This page was last updated on 2008-11-26.