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Another Look at Mutual Fund Performance


  • Arditti, Fred D.


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  • Arditti, Fred D., 1971. "Another Look at Mutual Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(03), pages 909-912, June.
  • Handle: RePEc:cup:jfinqa:v:6:y:1971:i:03:p:909-912_02

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    1. Stefania D’Amico & William English & David López‐Salido & Edward Nelson, 2012. "The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects," Economic Journal, Royal Economic Society, vol. 122(564), pages 415-446, November.
    2. Christoph Trebesch & Jeromin Zettelmeyer, 2014. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," CESifo Working Paper Series 4731, CESifo Group Munich.
    3. Diamond, Peter A, 1982. "Aggregate Demand Management in Search Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 90(5), pages 881-894, October.
    4. Schwaab, Bernd & Eser, Fabian, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
    5. Fontana, Alessandro & Scheicher, Martin, 2016. "An analysis of euro area sovereign CDS and their relation with government bonds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 126-140.
    6. Konstantin Milbradt & Zhiguo He, 2012. "Endogenous liquidity and defaultable bonds," 2012 Meeting Papers 86, Society for Economic Dynamics.
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    Cited by:

    1. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA.
    2. William L. Beedles, 1979. "Return, Dispersion, And Skewness: Synthesis And Investment Strategy," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 71-80, March.
    3. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
    4. Gulder Kemalbay & C. Murat Ozkut & Ceki Franko, 2011. "Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 13(1), pages 41-61, Special I.
    5. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc.
    6. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
    7. Flores-Ortega, Miguel. & Flores-Castillo, Lilia Alejandra. & Paredes-Gómez, Angelica., 2014. "Selección de portafolios de inversión incluyendo el efecto de asimetría: evidencia con activos de la Bolsa Mexicana de Valores," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(19), pages 77-101, segundo s.
    8. Hanene Ben Salah & Ali Gannoun & Christian De Peretti & Mathieu Ribatet & Abdelwahed Trabelsi, 2016. "Towards dynamical Portfolio allocation Selections," Working Papers hal-01299566, HAL.
    9. K. Saranya & P. Prasanna, 2014. "Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 133-149, May.
    10. R. Stephen Sears & Gary L. Trennepohl, 1983. "Diversification And Skewness In Option Portfolios," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 199-212, September.
    11. Richard M. Duvall & Judith L. Quinn, 1981. "Skewness Preference In Stable Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 249-263, September.
    12. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 1999. "Introducing higher moments in the CAPM: some basic ideas," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 362, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    13. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
    14. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
    15. Joro, Tarja & Na, Paul, 2006. "Portfolio performance evaluation in a mean-variance-skewness framework," European Journal of Operational Research, Elsevier, vol. 175(1), pages 446-461, November.
    16. Paweł Wnuk Lipinski, 2013. "Portfolio selection models based on characteristics of return distributions," Working Papers 2013-14, Faculty of Economic Sciences, University of Warsaw.
    17. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.

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