Advanced Search
MyIDEAS: Login

Citations for "Investing in mutual funds when returns are predictable"

by Avramov, Doron & Wermers, Russ

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. 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.
  2. Lubos Pastor & Robert F. Stambaugh, 2010. "On the Size of the Active Management Industry," Working Papers, Becker Friedman Institute for Research In Economics 2010-001, Becker Friedman Institute for Research In Economics.
  3. Kadan, Ohad & Madureira, Leonardo & Wang, Rong & Zach, Tzachi, 2012. "Analysts' industry expertise," Journal of Accounting and Economics, Elsevier, vol. 54(2), pages 95-120.
  4. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 546-559, March.
  5. Caporin, Massimiliano & Lisi, Francesco, 2013. "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 236-249.
  6. Travis Sapp, 2011. "The 52-week high, momentum, and predicting mutual fund returns," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 149-179, August.
  7. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," NBER Working Papers 14646, National Bureau of Economic Research, Inc.
  8. Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013. "Forecasting Stock Returns under Economic Constraints," Working Papers, Brandeis University, Department of Economics and International Businesss School 57, Brandeis University, Department of Economics and International Businesss School.
  9. Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Rational Attention Allocation Over the Business Cycle," NBER Working Papers 15450, National Bureau of Economic Research, Inc.
  10. Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 22(C), pages 69-87.
  11. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(2), pages 387-415, November.
  12. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(3), pages 724-758, December.
  13. Kim, Sangbae & In, Francis & Ji, Philip Inyeob & Park, Raphael Jonghyeon, 2014. "False discoveries in the performance of Australian managed funds," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 26(C), pages 244-256.
  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. Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(4), pages 552-565, September.
  16. Swaminathan G. Badrinath & Stefano Gubellini, 2012. "Does conditional mutual fund outperformance exist?," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 38(12), pages 1160-1183.
  17. Hunter, David & Kandel, Eugene & Kandel, Shmuel & Wermers, Russ, 2014. "Mutual fund performance evaluation with active peer benchmarks," Journal of Financial Economics, Elsevier, Elsevier, vol. 112(1), pages 1-29.
  18. Ekholm, Anders G., 2012. "Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(3), pages 349-358.
  19. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
  20. 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.
  21. 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.
  22. Avramov, Doron & Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2011. "Hedge funds, managerial skill, and macroeconomic variables," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 672-692, March.
  23. 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.
  24. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(1), pages 131-152.
  25. Brown, Keith C. & Garlappi, Lorenzo & Tiu, Cristian, 2010. "Asset allocation and portfolio performance: Evidence from university endowment funds," Journal of Financial Markets, Elsevier, vol. 13(2), pages 268-294, May.
  26. 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.
  27. 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.
  28. 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.
  29. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.