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On understanding mutual fund terminations

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  • Qiang Bu

    ()

  • Nelson Lacey

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s12197-007-9022-2
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economics and Finance.

    Volume (Year): 33 (2009)
    Issue (Month): 1 (January)
    Pages: 80-99

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    Handle: RePEc:spr:jecfin:v:33:y:2009:i:1:p:80-99

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    Web page: http://link.springer.de/link/service/journals/120857/index.htm

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    Related research

    Keywords: Mutual fund termination; Market condition; Proportionality; Cox model; Hazard function; G11;

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    References

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    1. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-57, April.
    2. Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-87, October.
    3. A. Colin Cameron & Anthony D. Hall, 2003. "A Survival Analysis of Australian Equity Mutual Funds," Research Paper Series 94, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno, 2001. "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 345-373, September.
    5. Lunde, Asger & Timmermann, Allan & Blake, David, 1998. "The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis," University of California at San Diego, Economics Working Paper Series qt1pd3z1hm, Department of Economics, UC San Diego.
    6. Darryll Hendricks & Jayendu Patel & Richard Zeckhauser, 1997. "The J-Shape Of Performance Persistence Given Survivorship Bias," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 161-166, May.
    7. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    8. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.
    9. Guercio, Diane Del & Tkac, Paula A., 2008. "Star Power: The Effect of Monrningstar Ratings on Mutual Fund Flow," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(04), pages 907-936, December.
    10. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
    11. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
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