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Citations for "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds"

by Wayne Ferson & Kenneth Khang

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  1. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
  2. Randolph B. Cohen & Joshua D. Coval & Lubos Pástor, 2005. "Judging Fund Managers by the Company They Keep," Journal of Finance, American Finance Association, vol. 60(3), pages 1057-1096, 06.
  3. Charles P. Thomas, 2006. "The Performance of International Equity Portfolios," The Institute for International Integration Studies Discussion Paper Series iiisdp162, IIIS.
  4. Raddatz, Claudio & Schmukler, Sergio L., 2011. "Deconstructing herding : evidence from pension fund investment behavior," Policy Research Working Paper Series 5700, The World Bank.
  5. 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.
  6. 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.
  7. 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.
  8. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 86-101.
  9. Li, Haitao & Xu, Yuewu & Zhang, Xiaoyan, 2010. "Evaluating asset pricing models using the second Hansen-Jagannathan distance," Journal of Financial Economics, Elsevier, vol. 97(2), pages 279-301, August.
  10. Gallo, John G. & Lockwood, Larry J. & Bhargava, Rahul, 2010. "Performance of separately managed international equity accounts: How important are country momentum effects?," Global Finance Journal, Elsevier, vol. 21(3), pages 239-252.
  11. Fabrice Herve, 2002. "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Working Papers 2002-3, Laboratoire Orléanais de Gestion - université d'Orléans.
  12. Dariusz Stanko, 2003. "Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland," Finance, EconWPA 0306002, EconWPA.
  13. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004. "The performance of international portfolios," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 817, Board of Governors of the Federal Reserve System (U.S.).
  14. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. international equity investment and past prospective returns," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1016, Board of Governors of the Federal Reserve System (U.S.).
  15. 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.
  16. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 379-392, June.
  17. 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.
  18. Stephanie Curcuru & Tomas Dvorak & Francis E. Warnock, 2009. "Decomposing the U.S. external returns differential," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 977, Board of Governors of the Federal Reserve System (U.S.).
  19. Patton, Andrew J & Ramadorai, Tarun, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
  20. 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.
  21. Shukla, Ravi, 2004. "The value of active portfolio management," Journal of Economics and Business, Elsevier, vol. 56(4), pages 331-346.
  22. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc.
  23. 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.
  24. 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.
  25. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "US International Equity Investment and Past and Prospective Returns," American Economic Review, American Economic Association, vol. 101(7), pages 3440-55, December.
  26. Barras, Laurent, 2007. "International conditional asset allocation under specification uncertainty," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(4), pages 443-464, September.
  27. Claudio Raddatz & Sergio Schmukler, 2010. "Pension Funds And Capital Market Development: How Much Bang For The Buck?," Working Papers 38, Superintendencia de Pensiones, revised Feb 2010.
  28. Curcuru, Stephanie E. & Thomas, Charles P. & Warnock, Francis E. & Wongswan, Jon, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1103, Board of Governors of the Federal Reserve System (U.S.).
  29. Stephanie E. Curcuru & Tomas Dvorak & Francis E. Warnock, 2009. "Decomposing the U.S. External Returns Differential," NBER Working Papers 15077, National Bureau of Economic Research, Inc.
  30. Sergey Iskoz & Jiang Wang, 2003. "How to Tell if a Money Manager Knows More?," NBER Working Papers 9791, National Bureau of Economic Research, Inc.
  31. 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.
  32. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
  33. Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W., 2008. "Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(3), pages 363-386, June.
  34. 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.
  35. 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.
  36. 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.
  37. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 86(3), pages 724-758, December.