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Citations for "Investing in equity mutual funds"

by Pastor, Lubos & Stambaugh, Robert F.

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  1. Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2011. "Time-Varying Fund Manager Skill," NBER Working Papers 17615, National Bureau of Economic Research, Inc.
  2. Lynch, Anthony W. & Wachter, Jessica A., 2013. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(01), pages 277-307, February.
  3. ĽuboÅ¡ Pástor & Robert F. Stambaugh, 2012. "On the Size of the Active Management Industry," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 120(4), pages 740 - 781.
  4. Avery, Christopher N. & Chevalier, Judith & Zeckhauser, Richard Jay, 2011. "The "CAPS" Prediction System and Stock Market Returns," Scholarly Articles 5098427, Harvard Kennedy School of Government.
  5. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," NBER Working Papers 14646, National Bureau of Economic Research, Inc.
  6. Blitz, David & Huij, Joop & Martens, Martin, 2011. "Residual momentum," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 506-521, June.
  7. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2008. "Unobserved Actions of Mutual Funds," Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2379-2416, November.
  8. Lubos Pastor & Robert F. Stambaugh, 2008. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 13804, National Bureau of Economic Research, Inc.
  9. Huij, Joop & Post, Thierry, 2011. "On the performance of emerging market equity mutual funds," Emerging Markets Review, Elsevier, vol. 12(3), pages 238-249, September.
  10. Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp163, International Center for Financial Asset Management and Engineering.
  11. Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
  12. 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.
  13. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
  14. Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2012. "The cross-section of conditional mutual fund performance in European stock markets," CFR Working Papers 09-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
  15. Olivier, Jacques & Tay, Anthony, 2008. "Time-Varying Incentives in the Mutual Fund Industry," CEPR Discussion Papers 6893, C.E.P.R. Discussion Papers.
  16. Avramov, Doron & Wermers, Russ, 2005. "Investing in mutual funds when returns are predictable," CFR Working Papers 05-13, University of Cologne, Centre for Financial Research (CFR).
  17. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
  18. Luboš Pástor & Robert F. Stambaugh, . "Mutual Fund Performance and Seemingly Unrelated Assets.”," CRSP working papers 527, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  19. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2014. "On the robustness of persistence in mutual fund performance," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) 2014/01, Economics Department, Universitat Jaume I, Castellón (Spain).
  20. 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.
  21. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(2), pages 387-415, November.
  22. 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.
  23. Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010. "Liquidity Risk of Corporate Bond Returns: A Conditional Approach," NBER Working Papers 16394, National Bureau of Economic Research, Inc.
  24. Anthony Tay, 2008. "Time-Varying Incentives in the Mutual Fund Industry," Finance Working Papers 22484, East Asian Bureau of Economic Research.
  25. Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2007. "Do hedge funds deliver alpha? A Bayesian and bootstrap analysis," Journal of Financial Economics, Elsevier, Elsevier, vol. 84(1), pages 229-264, April.
  26. Huij, Joop & Derwall, Jeroen, 2008. ""Hot Hands" in bond funds," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 559-572, April.
  27. Ravi Jagannathan & Alexey Malakhov & Dmitry Novikov, 2010. "Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation," Journal of Finance, American Finance Association, vol. 65(1), pages 217-255, 02.
  28. 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.
  29. Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Improved Forecasting of Mutual Fund Alphas and Betas," Yale School of Management Working Papers, Yale School of Management amz2361, Yale School of Management, revised 01 Mar 2006.
  30. 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.
  31. André de Souza & Anthony W. Lynch, 2012. "Does Mutual Fund Performance Vary over the Business Cycle?," NBER Working Papers 18137, National Bureau of Economic Research, Inc.
  32. Goriaev, A.P., 2002. "On the Behavior of Mutual Fund Investors and Managers," Open Access publications from Tilburg University urn:nbn:nl:ui:12-90437, Tilburg University.
  33. Christopher S. Jones & Jay Shanken, 2002. "Mutual Fund Performance with Learning Across Funds," NBER Working Papers 9392, National Bureau of Economic Research, Inc.
  34. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  35. Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2013. "The cross section of conditional mutual fund performance in European stock markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(3), pages 699-726.
  36. Avramov, Doron & Wermers, Russ, 2006. "Investing in mutual funds when returns are predictable," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(2), pages 339-377, August.
  37. 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.