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Citations for " Measuring Fund Strategy and Performance in Changing Economic Conditions"

by Ferson, Wayne E & Schadt, Rudi W

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  1. Prather, Larry J. & Middleton, Karen L., 2006. "Timing and selectivity of mutual fund managers: An empirical test of the behavioral decision-making theory," Journal of Empirical Finance, Elsevier, Elsevier, vol. 13(3), pages 249-273, June.
  2. Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2000. "Forecasting stock indices: a comparison of classification and level estimation models," International Journal of Forecasting, Elsevier, Elsevier, vol. 16(2), pages 173-190.
  3. Stephanie E. Curcuru & Tomas Dvorak & Francis E. Warnock, 2007. "The Stability of Large External Imbalances: The Role of Returns Differentials," NBER Working Papers 13074, National Bureau of Economic Research, Inc.
  4. Huij, Joop & Verbeek, Marno, 2007. "Cross-sectional learning and short-run persistence in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 973-997, March.
  5. Boney, Vaneesha & Comer, George & Kelly, Lynne, 2009. "Timing the investment grade securities market: Evidence from high quality bond funds," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(1), pages 55-69, January.
  6. Engström, Stefan, 2000. "Costly Information, Diversification, and International Mutual Fund Performance," Working Paper Series in Economics and Finance 385, Stockholm School of Economics, revised 10 Nov 2001.
  7. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 31(1-3), pages 105-231, September.
  8. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(02), pages 331-353, June.
  9. Hayne E. Leland., 1996. "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies," Research Program in Finance Working Papers, University of California at Berkeley RPF-263-rev, University of California at Berkeley.
  10. Klaas Baks & Andrew Metrick & Jessica Wachter, . "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 18-99, Wharton School Rodney L. White Center for Financial Research.
  11. Jordi Pons-Novell, 2003. "Strategic bias, herding behaviour and economic forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 67-77.
  12. Jiang, Wei, 2003. "A nonparametric test of market timing," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(4), pages 399-425, September.
  13. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers.
  14. Dariusz Filip, 2013. "Returns and Persistence of Investment Fund Performance in the Czech Republic," Prague Economic Papers, University of Economics, Prague, vol. 2013(3), pages 324-342.
  15. Patro, Dilip Kumar, 2001. "Measuring performance of international closed-end funds," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1741-1767, September.
  16. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc.
  17. Prather, Laurie & Bertin, William J., 1998. "The implication of discount rate changes for market timing," Review of Financial Economics, Elsevier, Elsevier, vol. 7(1), pages 21-33.
  18. Gallagher, David R. & Jarnecic, Elvis, 2004. "International equity funds, performance, and investor flows: Australian evidence," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 14(1), pages 81-95, February.
  19. Jing-zhi Huang & Zhaodong Zhong, 2013. "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 152-192, January.
  20. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc.
  21. Raymond Kan & Cesare Robotti & Jay Shanken, 2013. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," Journal of Finance, American Finance Association, American Finance Association, vol. 68(6), pages 2617-2649, December.
  22. Keiichi Kubota & Hitoshi Takehara, 2010. "Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 36(8), pages 655-679, August.
  23. Døskeland, Trond & Hvide, Hans K, 2009. "Do Individual Investors Have Asymmetric Information Based On Work Experience?," CEPR Discussion Papers 7428, C.E.P.R. Discussion Papers.
  24. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012. "Revisiting Mutual Fund Performance Evaluation," MPRA Paper 36644, University Library of Munich, Germany.
  25. Michela Verardo & Andrew Patton, 2009. "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows," FMG Discussion Papers, Financial Markets Group dp630, Financial Markets Group.
  26. De Moor, Lieven & Sercu, Piet, 2011. "The Smallest Firm Effect: an International Study," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management 2011/18, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  27. Sermin Gungor & Jesus Sierra, 2014. "Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy," Working Papers 14-3, Bank of Canada.
  28. Lubos Pastor & Robert F. Stambaugh, . "Evaluating and Investing in Equity Mutual Funds," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 10-00, Wharton School Rodney L. White Center for Financial Research.
  29. Pástor, Luboš & Stambaugh, Robert F. & Taylor, Lucian, 2014. "Scale and Skill in Active Management," CEPR Discussion Papers 9854, C.E.P.R. Discussion Papers.
  30. Fang, Jieyan & Kempf, Alexander & Trapp, Monika, 2012. "Fund manager allocation," CFR Working Papers 10-04 [rev.], University of Cologne, Centre for Financial Research (CFR).
  31. Eckbo, B. Espen & Masulis, Ronald W. & Norli, Oyvind, 2000. "Seasoned public offerings: resolution of the 'new issues puzzle'," Journal of Financial Economics, Elsevier, Elsevier, vol. 56(2), pages 251-291, May.
  32. Rodri­guez, Javier, 2008. "Market timing: A global endeavor," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 18(5), pages 545-556, December.
  33. Gianni Amisano & Roberto Savona, 2007. "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers, University of Brescia, Department of Economics 0706, University of Brescia, Department of Economics.
  34. Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-42.
  35. Gottesman, Aron A. & Morey, Matthew R., 2006. "Manager education and mutual fund performance," Journal of Empirical Finance, Elsevier, Elsevier, vol. 13(2), pages 145-182, March.
  36. Orbe Mandaluniz, Susan & Ferreira García, María Eva & Gil Bazo, Javier, 2010. "Conditional beta pricing models: A nonparametric approach," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) 2010-10, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  37. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris.
  38. Matthew Spiegel & Harry Mamaysky, 2001. "A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization," Yale School of Management Working Papers, Yale School of Management amz2507, Yale School of Management.
  39. Bruce Lehmann & Allan Timmermann, 2007. "Performance measurement and evaluation," LSE Research Online Documents on Economics 24505, London School of Economics and Political Science, LSE Library.
  40. Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "The price of ethics and stakeholder governance: The performance of socially responsible mutual funds," Journal of Corporate Finance, Elsevier, Elsevier, vol. 14(3), pages 302-322, June.
  41. Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers, Yale School of Management ysm353, Yale School of Management, revised 01 Apr 2005.
  42. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
  43. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 98(1), pages 72-89, October.
  44. Abel, Ernest & Fletcher, Jonathan, 2004. "An empirical examination of UK emerging market unit trust performance," Emerging Markets Review, Elsevier, Elsevier, vol. 5(4), pages 389-408, December.
  45. Luis Ferruz & Fernando Muñoz & María Vargas, 2012. "Managerial Abilities: Evidence from Religious Mutual Fund Managers," Journal of Business Ethics, Springer, vol. 105(4), pages 503-517, February.
  46. Abhyankar, Abhay & Ho, Keng-Yu, 2006. "Long-run abnormal performance following convertible preference share and convertible bond issues: New evidence from the United Kingdom," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 97-119.
  47. Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006. "Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis," Journal of Finance, American Finance Association, American Finance Association, vol. 61(6), pages 2551-2595, December.
  48. Edelen, Roger M., 1999. "Investor flows and the assessed performance of open-end mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 53(3), pages 439-466, September.
  49. Simon Stevenson, 2004. "A performance evaluation of portfolio managers: tests of micro and macro forecasting," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 391-411.
  50. Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008. "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers, Brandeis University, Department of Economics and International Businesss School 37, Brandeis University, Department of Economics and International Businesss School.
  51. Frino, Alex & Lepone, Andrew & Wong, Brad, 2009. "Derivative use, fund flows and investment manager performance," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 925-933, May.
  52. Trabelsi, Mohamed Ali, 2008. "Peut-on encore parler des mesures de performance ?
    [One is able again to speak of performance measures?]
    ," MPRA Paper 25443, University Library of Munich, Germany.
  53. Christoffersen, Susan E.K. & Sarkissian, Sergei, 2009. "City size and fund performance," Journal of Financial Economics, Elsevier, Elsevier, vol. 92(2), pages 252-275, May.
  54. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão 341, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  55. Janusz Brzeszczynski & Graham McIntosh, 2012. "Performance of Portfolios Composed of British SRI Stocks," CFI Discussion Papers, Centre for Finance and Investment, Heriot Watt University 1204, Centre for Finance and Investment, Heriot Watt University.
  56. Patton, Andrew J & Ramadorai, Tarun, 2011. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 8479, C.E.P.R. Discussion Papers.
  57. repec:wyi:journl:002108 is not listed on IDEAS
  58. Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
  59. Keith Hooper & Howard Davey & Roger Su & Dani A.C. Foo, 2006. "Persistence in Mutual Fund Returns: New Zealand Evidence," Accounting Research Journal, Emerald Group Publishing, vol. 19(2), pages 105-121, September.
  60. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information Flows in Dark Markets: Dissecting Customer Currency Trades," BIS Working Papers 405, Bank for International Settlements.
  61. Aragon, George O. & Spencer Martin, J., 2012. "A unique view of hedge fund derivatives usage: Safeguard or speculation?," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(2), pages 436-456.
  62. Manuel Ammann & Michael Steiner, 2008. "Risk Factors for the Swiss Stock Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 144(I), pages 1-35, March.
  63. Huij, Joop & Derwall, Jeroen, 2008. ""Hot Hands" in bond funds," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 559-572, April.
  64. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 55, Money Macro and Finance Research Group.
  65. Clemens Sialm & Laura Starks, 2012. "Mutual Fund Tax Clienteles," Journal of Finance, American Finance Association, American Finance Association, vol. 67(4), pages 1397-1422, 08.
  66. Eckbo, B. Espen & Norli, Øyvind, 2004. "The choice of seasoned-equity selling mechanism: Theory and evidence," Discussion Papers 2004/17, Department of Business and Management Science, Norwegian School of Economics.
  67. Becker, Connie & Ferson, Wayne & Myers, David H. & Schill, Michael J., 1999. "Conditional market timing with benchmark investors," Journal of Financial Economics, Elsevier, Elsevier, vol. 52(1), pages 119-148, April.
  68. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(5), pages 1149-1175.
  69. Francis, Bill B & Hasan, Iftekhar & Hunter, Delroy M, 2008. "Does hedging tell the full story? Reconciling differences in US aggregate and industry-level exchange rate risk premia," Research Discussion Papers 14/2008, Bank of Finland.
  70. Roland Gillet & Hubert de La Bruslerie, 2010. "The consequences of issuing convertible bonds: dilution and/or financial restructuring?," ULB Institutional Repository 2013/14178, ULB -- Universite Libre de Bruxelles.
  71. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.
  72. Badrinath, S.G. & Gubellini, S., 2011. "On the characteristics and performance of long-short, market-neutral and bear mutual funds," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1762-1776, July.
  73. Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(1), pages 132-156.
  74. Laurent Barras & Olivier Scaillet & Russ Wermers, 2010. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Journal of Finance, American Finance Association, American Finance Association, vol. 65(1), pages 179-216, 02.
  75. Sawicki, Julia & Ong, Fred, 2000. "Evaluating managed fund performance using conditional measures: Australian evidence," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 8(3-4), pages 505-528, July.
  76. J. C. Matallin-Saez, 2003. "Asymmetric relation in omitted benchmarks and market timing in mutual funds," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 775-778.
  77. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  78. Brown, Stephen J. & Goetzmann, William N. & Hiraki, Takato & Shiraishi, Noriyoshi, 2003. "An analysis of the relative performance of Japanese and foreign money management," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(4), pages 393-412, September.
  79. Yang-pin Shen & Chiuling Lu & Zong-Han Lin, 2012. "International Real Estate Mutual Fund Performance: Diversification or Costly Information?," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 394-413, April.
  80. Holmes, Kathryn A. & Faff, Robert, 2008. "Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 998-1011, December.
  81. Paulo Armada Leite & Maria Ceu Cortez, 2009. "Conditioning information in mutual fund performance evaluation: Portuguese evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 585-605.
  82. Whitehouse, Edward, 2000. "Paying for pensions: An international comparison of administrative charges in funded retirement-income systems," MPRA Paper 14171, University Library of Munich, Germany.
  83. Wu, Xueping, 2002. "A conditional multifactor analysis of return momentum," Journal of Banking & Finance, Elsevier, vol. 26(8), pages 1675-1696, August.
  84. Janusz Brzeszczyński & Graham McIntosh, 2014. "Performance of Portfolios Composed of British SRI Stocks," Journal of Business Ethics, Springer, vol. 120(3), pages 335-362, March.
  85. Harry. M Kat & Joelle Miffre, 2002. "Performance Evaluation and Conditioning Information: The case of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-10, Henley Business School, Reading University.
  86. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds’ structure, performance and investments: cross-country evidence," MPRA Paper 14753, University Library of Munich, Germany.
  87. Ferson, Wayne & Khang, Kenneth, 2002. "Conditional performance measurement using portfolio weights: evidence for pension funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 65(2), pages 249-282, August.
  88. Gharghori, Philip & Mudumba, Shifali & Veeraraghavan, Madhu, 2007. "How smart is money? An investigation into investor behaviour in the Australian managed fund industry," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 15(5), pages 494-513, November.
  89. Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, Elsevier, vol. 33(C), pages 407-425.
  90. Curcuru, Stephanie E. & Dvorak, Tomas & Warnock, Francis E., 2010. "Decomposing the U.S. external returns differential," Journal of International Economics, Elsevier, vol. 80(1), pages 22-32, January.
  91. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "On the Industry Concentration of Actively Managed Equity Mutual Funds," Journal of Finance, American Finance Association, American Finance Association, vol. 60(4), pages 1983-2011, 08.
  92. Babalos, Vassilios & Philippas, Nikolaos & Doumpos, Michael & Zompounidis, Constantin, 2011. "Mutual funds performance appraisal using stochastic multicriteria acceptability analysis," MPRA Paper 37953, University Library of Munich, Germany.
  93. José M. Marín & Thomas A. Rangel, 2007. "The use of derivatives in the spanish mutual fund industry," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales 2007-22, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  94. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(3), pages 373-399, March.
  95. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
  96. Schröder, Michael, 2003. "Socially Responsible Investments in Germany, Switzerland and the United States: An Analysis of Investment Funds and Indices," ZEW Discussion Papers 03-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  97. Ferruz Agudo, Luis & Vargas Magallón, María & Nievas López, J., 2008. "¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión?," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 26, pages 257-278, Septiembr.
  98. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(4), pages 613-634, September.
  99. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, Elsevier, vol. 13(4), pages 581-597.
  100. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, Elsevier, vol. 13(3), pages 274-315, June.
  101. Wang, Kevin Q., 2002. "Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(2), pages 133-169, March.
  102. Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem, 2013. "Mutual fund performance in Tunisia: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, Elsevier, vol. 29(C), pages 35-51.
  103. Fletcher, Jonathan & Hillier, Joe, 2005. "An examination of linear factor models in country equity asset allocation strategies," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 45(4-5), pages 808-823, September.
  104. Mercedes Alda & Luis Ferruz, 2012. "The Role of Fees in Pension Fund Performance. Evidence from Spain," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 518-535, December.
  105. Horst, J.R. ter & Nijman, T.E. & Verbeek, M.J.C.M., 2001. "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Open Access publications from Tilburg University urn:nbn:nl:ui:12-87532, Tilburg University.
  106. Javid, Attiya Yasmin & Ahmad, Eatzaz, 2008. "Testing multifactor capital asset pricing model in case of Pakistani market," MPRA Paper 37341, University Library of Munich, Germany.
  107. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
  108. Chance, Don M. & Hemler, Michael L., 2001. "The performance of professional market timers: daily evidence from executed strategies," Journal of Financial Economics, Elsevier, Elsevier, vol. 62(2), pages 377-411, November.
  109. Caporin, Massimiliano & Lisi, Francesco, 2011. "Comparing and selecting performance measures using rank correlations," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 5(10), pages 1-34.
  110. Wermers, Russ, 2006. "Performance evaluation with portfolio holdings information," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 207-230, August.
  111. David R. Gallagher & Adrian Looi & Matt Pinnuck, 2010. "Are active fund managers collectors of private information or fast interpreters of public information?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(3), pages 635-662.
  112. Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C., 2007. "Socially Responsible Investments: Methodology, Risk Exposure and Performance," Discussion Paper, Tilburg University, Tilburg Law and Economic Center 2007-013, Tilburg University, Tilburg Law and Economic Center.
  113. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006. "The Performance of International Equity Portfolios," NBER Working Papers 12346, National Bureau of Economic Research, Inc.
  114. Baker, Malcolm & Litov, Lubomir & Wachter, Jessica A. & Wurgler, Jeffrey, 2010. "Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(05), pages 1111-1131, October.
  115. Pei-I Chou & Chia-Hao Lee, 2012. "Is Concentration a Good Idea? Evidence from Active Fund Management," Asia-Pacific Financial Markets, Springer, vol. 19(1), pages 23-41, March.
  116. Georges Hübner, 2005. "The Generalized Treynor Ratio," Review of Finance, Springer, Springer, vol. 9(3), pages 415-435, 09.
  117. Berger, Dave & Turtle, H.J., 2012. "Cross-sectional performance and investor sentiment in a multiple risk factor model," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1107-1121.
  118. Gupta-Mukherjee, Swasti, 2013. "When active fund managers deviate from their peers: Implications for fund performance," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1286-1305.
  119. Godfrey Charles-Cadogan, 2012. "Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets," Papers 1206.2662, arXiv.org.
  120. Sean Campbell & Canlin Li, 2003. "Per Capita Consumption, Luxury Consumption and the Presidential Puzzle: A Partial Resolution," Working Papers 2003-18, Brown University, Department of Economics.
  121. Safi Ullah Khan & Zaheer Abbas, 2013. "Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(1), pages 63-80, Jan-June.
  122. Galvani, Valentina & Gubellini, Stefano, 2013. "Mean–variance dominant trading strategies," Finance Research Letters, Elsevier, Elsevier, vol. 10(3), pages 142-150.
  123. Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C., 2007. "Socially Responsible Investments: Methodology, Risk and Performance," Discussion Paper, Tilburg University, Center for Economic Research 2007-31, Tilburg University, Center for Economic Research.
  124. Bauer, Rob & Koedijk, Kees & Otten, Roger, 2005. "International evidence on ethical mutual fund performance and investment style," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1751-1767, July.
  125. Jonathan Fletcher & Patricia Ntozi-Obwale, 2009. "Exploring the Conditional Performance of U.K. Unit Trusts," Journal of Financial Services Research, Springer, vol. 36(1), pages 21-44, August.
  126. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc.
  127. M. Kabir Hassan & Eric Girard, 2011. "Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes," NFI Working Papers 2011-WP-05, Indiana State University, Scott College of Business, Networks Financial Institute.
  128. Eva Ferreira & Javier Gil-Bazo & Susan Orbe, 2008. "Nonparametric estimation of conditional beta pricing models," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb082403, Universidad Carlos III, Departamento de Economía de la Empresa.
  129. Fletcher, Jonathan & Hillier, Joe, 2002. "An examination of the economic significance of stock return predictability in UK stock returns," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 373-392.
  130. Th. Fiotakis & N. Philippas, 2004. "Chasing trend and losing money: open end mutual fund investors' trading behaviour in Greece," Applied Economics Letters, Taylor & Francis Journals, vol. 11(2), pages 117-121.
  131. Greene, Jason T. & Hodges, Charles W., 2002. "The dilution impact of daily fund flows on open-end mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 65(1), pages 131-158, July.
  132. François-Éric Racicot & Raymond Théoret, 2009. "On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns," International Advances in Economic Research, International Atlantic Economic Society, vol. 15(1), pages 30-43, February.
  133. Fletcher, Jonathan & Hillier, Joe, 2002. "On the usefulness of linear factor models in predicting expected returns in mean-variance analysis," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 449-466.
  134. Devraj Basu & Chi-Hsiou Hung & Alexander Stremme, 2007. "Exploiting Predictability in International Anomalies," Working Papers 2007_03, Durham University Business School.
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