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Conditional performance, portfolio rebalancing, and momentum of small-cap mutual funds

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  • Gorman, Larry

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  • Gorman, Larry, 2003. "Conditional performance, portfolio rebalancing, and momentum of small-cap mutual funds," Review of Financial Economics, Elsevier, vol. 12(3), pages 287-300.
  • Handle: RePEc:eee:revfin:v:12:y:2003:i:3:p:287-300
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    1. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, August.
    2. Harrison Hong & Terence Lim & Jeremy C. Stein, 2000. "Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies," Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
    3. Kenneth A. Kavajecz, 1999. "A Specialist's Quoted Depth and the Limit Order Book," Journal of Finance, American Finance Association, vol. 54(2), pages 747-771, April.
    4. Loughran, Tim, 1997. "Book-to-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(03), pages 249-268, September.
    5. Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998. "Investor Psychology and Security Market Under- and Overreactions," Journal of Finance, American Finance Association, vol. 53(6), pages 1839-1885, December.
    6. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    7. Sung-Hun Kim & Joseph P. Ogden, 1996. "Determinants of the components of bid-ask spreads on stocks," European Financial Management, European Financial Management Association, vol. 2(1), pages 127-145.
    8. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    9. Paul Schultz, 2000. "Stock Splits, Tick Size, and Sponsorship," Journal of Finance, American Finance Association, vol. 55(1), pages 429-450, February.
    10. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    11. Isberg, Steven C & Thies, Clifford F, 1992. "Small Firm Mutual Funds: Additional Evidence on the Small Firm Effect," Small Business Economics, Springer, vol. 4(3), pages 211-219, September.
    12. L. Franklin Fant & David R. Peterson, 1995. "The Effect Of Size, Book-To-Market Equity, Prior Returns, And Beta On Stock Returns: January Versus The Remainder Of The Year," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 129-142, June.
    13. Porter, David C. & Powell, Gary E. & Weaver, Daniel G., 1996. "Portfolio rebalancing, institutional ownership, and the small firm-January effect," Review of Financial Economics, Elsevier, vol. 5(1), pages 19-29.
    14. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-461, June.
    15. Fant, L Franklin & Peterson, David R, 1995. "The Effect of Size, Book-to-Market Equity, Prior Returns, and Beta on Stock Returns: January versus the Remainder of the Year," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 129-142, Summer.
    16. repec:hrv:faseco:30747159 is not listed on IDEAS
    17. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    18. Sawicki, Julia & Ong, Fred, 2000. "Evaluating managed fund performance using conditional measures: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 505-528, July.
    19. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    20. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    21. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
    22. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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