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Citations of

William N. Goetzmann

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.

    Mentioned in:

    1. A hedge on the edge: SAC Capital's insider trading scandal
      by Lorenzo Casavecchia, Lecturer in Finance at University of Technology, Sydney in The Conversation on 2013-07-25 20:09:34
  2. William N. Goetzmann & Alok Kumar, 2004. "Equity Portfolio Diversification," Yale School of Management Working Papers ysm17, Yale School of Management.

    Mentioned in:

    1. Investidor Pessoa Física
      by Roberto Ushisima in Empresas e Mercados on 2009-09-22 15:34:00
  3. Ravi Dhar & William Goetzmann & Ning Zhu & EFA Moscow, 2004. "The Impact of Clientele Changes: Evidence from Stock Splits," Yale School of Management Working Papers ysm369, Yale School of Management, revised 01 Sep 2009.

    Mentioned in:

    1. Apple Split
      by Jonas Feit in Conscience Warrior on 2014-04-24 16:00:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Goetzmann, William N, 1993. "Accounting for Taste: Art and the Financial Markets over Three Centuries," American Economic Review, American Economic Association, vol. 83(5), pages 1370-1376, December.

    Mentioned in:

    1. > Industrial Organization > Industry studies > Sports, recreation and tourism
    2. > Industrial Organization > Industry studies > Sports, recreation and tourism > Arts

Working papers

  1. William N. Goetzmann, 2015. "Bubble Investing: Learning from History," NBER Working Papers 21693, National Bureau of Economic Research, Inc.

    Cited by:

    1. Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," NBER Working Papers 23191, National Bureau of Economic Research, Inc.
    2. Quinn, William, 2016. "Technological revolutions and speculative finance: Evidence from the British Bicycle Mania," QUCEH Working Paper Series 2016-06, Queen's University Belfast, Queen's University Centre for Economic History.
    3. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare
      [Some particularities of the financial variables evolution]
      ," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.

  2. David Le Bris & William N. Goetzmann & Sébastien Pouget, 2015. "The Development of Corporate Governance in Toulouse: 1372-1946," NBER Working Papers 21335, National Bureau of Economic Research, Inc.

    Cited by:

    1. Goetzmann, Will & Le Bris, David & Pouget, Sébastien, 2017. "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers 17-794, Toulouse School of Economics (TSE).

  3. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.

    Cited by:

    1. David Le Bris & William N. Goetzmann & Sébastien Pouget, 2015. "The Development of Corporate Governance in Toulouse: 1372-1946," NBER Working Papers 21335, National Bureau of Economic Research, Inc.

  4. William N. Goetzmann & Sharon Oster, 2012. "Competition Among University Endowments," NBER Working Papers 18173, National Bureau of Economic Research, Inc.

    Cited by:

    1. John H. Cochrane, 2013. "Finance: Function Matters, Not Size," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
    2. Harvey S. Rosen & Alexander J. W. Sappington, 2016. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," Education Finance and Policy, MIT Press, vol. 11(4), pages 404-425, Fall.
    3. Yan Lau & Harvey S. Rosen, 2015. "Are Universities Becoming More Unequal?," NBER Working Papers 21432, National Bureau of Economic Research, Inc.
    4. Yan Lau & Harvey S. Rosen, 2015. "Are Universities Becoming More Unequal?," Working Papers 245, Princeton University, Department of Economics, Center for Economic Policy Studies..

  5. William N. Goetzmann & Frank Newman, 2010. "Securitization in the 1920's," NBER Working Papers 15650, National Bureau of Economic Research, Inc.

    Cited by:

    1. Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32 National Bureau of Economic Research, Inc.
    2. Kenneth Snowden, 2014. "A Historiography of Early NBER Housing and Mortgage Research," NBER Chapters, in: Housing and Mortgage Markets in Historical Perspective, pages 15-36 National Bureau of Economic Research, Inc.
    3. Edward L. Glaeser, 2013. "A Nation Of Gamblers: Real Estate Speculation And American History," NBER Working Papers 18825, National Bureau of Economic Research, Inc.
    4. Kenneth Snowden & Eugene N. White & Price Fishback, 2014. "Introduction to "Housing and Mortgage Markets in Historical Perspective"," NBER Chapters, in: Housing and Mortgage Markets in Historical Perspective, pages 1-13 National Bureau of Economic Research, Inc.

  6. Rik G.P. Frehen & William N. Goetzmann & K. Geert Rouwenhorst, 2009. "New Evidence on the First Financial Bubble," NBER Working Papers 15332, National Bureau of Economic Research, Inc.

    Cited by:

    1. Grahame Thompson, 2011. "Financial Globalization? History, Conditions and Prospects," Chapters, in: The Handbook of Globalisation, Second Edition, chapter 2 Edward Elgar Publishing.
    2. Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
    3. Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2013. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," Working Papers CEB 13-031, ULB -- Universite Libre de Bruxelles.
    4. Turner, John D., 2017. "The development of English company law before 1900," QUCEH Working Paper Series 2017-01, Queen's University Belfast, Queen's University Centre for Economic History.
    5. Condorelli, Stefano, 2014. "The 1719-20 stock euphoria: a pan-European perspective," MPRA Paper 68652, University Library of Munich, Germany, revised Dec 2015.
    6. Peter Koudijs, 2013. "The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment," NBER Working Papers 18831, National Bureau of Economic Research, Inc.
    7. William N. Goetzmann, 2015. "Bubble Investing: Learning from History," NBER Working Papers 21693, National Bureau of Economic Research, Inc.
    8. Quinn, William, 2016. "Technological revolutions and speculative finance: Evidence from the British Bicycle Mania," QUCEH Working Paper Series 2016-06, Queen's University Belfast, Queen's University Centre for Economic History.
    9. Madarász, Aladár, 2011. "Buborékok és legendák. Válságok és válságmagyarázatok - II/2. rész. A Déltengeri Társaság
      [Bubbles and myths, crises and explanations II/2: the South Sea bubble]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1001-1028.
    10. Quinn, William, 2016. "Squeezing the bears: Cornering risk and limits on arbitrage during the 'British Bicycle Mania', 1896-1898," QUCEH Working Paper Series 2016-05, Queen's University Belfast, Queen's University Centre for Economic History.

  7. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," NBER Working Papers 15529, National Bureau of Economic Research, Inc.

    Cited by:

    1. Cao, Charles & Liang, Bing & Lo, Andrew W. & Petrasek, Lubomir, 2014. "Hedge fund holdings and stock market efficiency," Finance and Economics Discussion Series 2014-36, Board of Governors of the Federal Reserve System (U.S.).
    2. Patton, Andrew J & Ramadorai, Tarun & Streatfield, Michael, 2012. "Change You Can Believe In? Hedge Fund Data Revisions," CEPR Discussion Papers 8898, C.E.P.R. Discussion Papers.
    3. Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2014. "Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds," CFR Working Papers 14-13, University of Cologne, Centre for Financial Research (CFR).
    4. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.

  8. William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009. "Art and Money," NBER Working Papers 15502, National Bureau of Economic Research, Inc.

    Cited by:

    1. Luc Renneboog, 2015. "Investing in Diamonds," Business and Economic Research, Macrothink Institute, vol. 5(1), pages 166-195, June.
    2. Spaenjers, Christophe & Goetzmann, William N. & Mamonova, Elena, 2015. "The economics of aesthetics and record prices for art since 1701," Explorations in Economic History, Elsevier, vol. 57(C), pages 79-94.
    3. Dimson, Elroy & Spaenjers, Christophe, 2011. "Ex post: The investment performance of collectible stamps," Journal of Financial Economics, Elsevier, vol. 100(2), pages 443-458, May.
    4. Roman Kraussl & Arthur Korteweg & Patrick Verwijmeren, 2013. "Does it Pay to Invest in Art? A Selection-corrected Returns Perspective," LSF Research Working Paper Series 13-7, Luxembourg School of Finance, University of Luxembourg.
    5. Jianping Mei & Michael A. Moses & Zur B. Shapira & Lawrence J. White, 2010. "Loss Aversion? What Loss Aversion? Some Surprising Evidence from the Art Market," Working Papers 10-10, New York University, Leonard N. Stern School of Business, Department of Economics.
    6. Pénasse, Julien & Renneboog, Luc & Spaenjers, Christophe, 2014. "Sentiment and art prices," Economics Letters, Elsevier, vol. 122(3), pages 432-434.
    7. Hellmanzik, Christiane, 2016. "Historic art exhibitions and modern - day auction results," Research in Economics, Elsevier, vol. 70(3), pages 421-430.
    8. Fabian Bocart & Ken Bastiaensen & Peter Cauwels, 2011. "The 1980s Price Bubble on (Post) Impressionism," ACEI Working Paper Series AWP-03-2011, Association for Cultural Economics International, revised Nov 2011.
    9. Kathryn Graddy & Lara Loewenstein & Jianping Mei & Mike Moses & Rachel Pownall, 2014. "Empirical Evidence of Anchoring and Loss Aversion from Art Auctions," Working Papers 73, Brandeis University, Department of Economics and International Businesss School, revised Apr 2015.
    10. Dorota Witkowska, 2014. "An Application of Hedonic Regression to Evaluate Prices of Polish Paintings," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(3), pages 281-293, August.
    11. Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013. "The Price of Wine," Working Papers 164656, American Association of Wine Economists.
    12. Renneboog, L.D.R. & Spaenjers, C., 2011. "Hard Assets : The Returns on Rare Diamonds and Gems," Discussion Paper 2011-056, Tilburg University, Center for Economic Research.
    13. Graddy, Kathryn & Loewenstein, Lara & Mei, Jianping & Moses, Mike & Pownall, Rachel A J, 2014. "Anchoring or Loss Aversion? Empirical Evidence from Art Auctions," CEPR Discussion Papers 10048, C.E.P.R. Discussion Papers.
    14. Renneboog, L.D.R. & Spaenjers, C., 2014. "Investment Returns and Economic Fundamentals in International Art Markets," Discussion Paper 2014-018, Tilburg University, Center for Economic Research.
    15. Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
    16. Coslor, Erica & Spaenjers, Christophe, 2016. "Organizational and epistemic change: The growth of the art investment field," Accounting, Organizations and Society, Elsevier, vol. 55(C), pages 48-62.
    17. Kompa Krzysztof & Witkowska Dorota, 2014. "Construction Of Hedonic Price Index For The “Most Liquid” Polish Painters," Folia Oeconomica Stetinensia, De Gruyter Open, vol. 14(2), pages 76-100, December.

  9. Dion Bongaerts & K.J. Martijn Cremers & William N. Goetzmann, 2009. "Tiebreaker: Certification and Multiple Credit Ratings," NBER Working Papers 15331, National Bureau of Economic Research, Inc.

    Cited by:

    1. Patrick Bolton & Xavier Freixas & Joel Shapiro, 2009. "The credit ratings game," Economics Working Papers 1149, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Alexander Karminsky & Richard Hainsworth & Vasily Solodkov, 2013. "Arm’s Length Method for Comparing Rating Scales," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 114-135, December.
    3. Fischer, Thomas, 2015. "Market structure and rating strategies in credit rating markets – A dynamic model with matching of heterogeneous bond issuers and rating agencies," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 39-56.
    4. Morkoetter, Stefan & Stebler, Roman & Westerfeld, Simone, 2015. "Competition in the Credit Rating Industry: Benefits for Investors and Issuers," Working Papers on Finance 1505, University of St. Gallen, School of Finance, revised Feb 2016.
    5. Grothe, Magdalena, 2013. "Market pricing of credit rating signals," Working Paper Series 1623, European Central Bank.
    6. Norden, Lars, 2017. "Information in CDS spreads," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 118-135.
    7. Gabriela Kuvikova, 2015. "Credit Ratings and Their Information Value: Evidence from the Recent Financial Crisis," CERGE-EI Working Papers wp544, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    8. Becker, Bo & Milbourn, Todd, 2011. "How did increased competition affect credit ratings?," Journal of Financial Economics, Elsevier, vol. 101(3), pages 493-514, September.
    9. Bongaerts, Dion, 2014. "Alternatives for issuer-paid credit rating agencies," Working Paper Series 1703, European Central Bank.
    10. Lugo, Stefano, 2014. "Discretionary ratings and the pricing of subprime mortgage-backed securities," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 248-260.
    11. Lawrence J. White, 2013. "Credit Rating Agencies: An Overview," Working Papers 13-10, New York University, Leonard N. Stern School of Business, Department of Economics.
    12. Afik, Zvika & Feinstein, Itai & Galil, Koresh, 2014. "The (un)informative value of credit rating announcements in small markets," Journal of Financial Stability, Elsevier, vol. 14(C), pages 66-80.
    13. Xia, Han, 2014. "Can investor-paid credit rating agencies improve the information quality of issuer-paid rating agencies?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 450-468.
    14. Hirth, Stefan, 2014. "Credit rating dynamics and competition," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 100-112.
    15. Rossen Valkanov & Andra Ghent, 2014. "Complexity in Structured Finance: Financial Wizardry or Smoke and Mirrors," 2014 Meeting Papers 104, Society for Economic Dynamics.
    16. Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2015. "What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 231-253, August.
    17. Gwion Williams & Rasha Alsakka & Owain ap Gwilym, 2013. "The Impact of Sovereign Credit Signals on Bank Share Prices during the European Sovereign Debt Crisis," Working Papers 13007, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    18. Cornaggia, Jess & Cornaggia, Kimberly J. & Xia, Han, 2016. "Revolving doors on Wall Street," Journal of Financial Economics, Elsevier, vol. 120(2), pages 400-419.
    19. Morkoetter, Stefan & Stebler, Roman & Westerfeld, Simone, 2017. "Competition in the credit rating Industry: Benefits for investors and issuers," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 235-257.
    20. Pilar Abad Romero & Maria Dolores Robles Fernández, 2014. "The Risk-Return binomial after rating changes," Documentos de Trabajo del ICAE 2014-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    21. Darren J. Kisgen & Philip E. Strahan, 2009. "Do Regulations Based on Credit Ratings Affect a Firm's Cost of Capital?," NBER Working Papers 14890, National Bureau of Economic Research, Inc.
    22. Darren J. Kisgen & Matthew Osborn & Jonathan Reuter, 2016. "Analyst Promotions within Credit Rating Agencies: Accuracy or Bias?," NBER Working Papers 22477, National Bureau of Economic Research, Inc.
    23. Schröder, Michael & Riedler, Jesper & Jaroszek, Lena & Lang, Gunnar & Hommel, Paul & Voll, Sebastian Simon, 2011. "Assessment of the cumulative impact of various regulatory initiatives on the European banking sector: Study," ZEW Expertises, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research, number 110523.
    24. Tran, Vu & Alsakka, Rasha & ap Gwilym, Owain, 2014. "Sovereign rating actions and the implied volatility of stock index options," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 101-113.
    25. Ozerturk, Saltuk, 2014. "Ratings as regulatory stamps," Journal of Economic Behavior & Organization, Elsevier, vol. 105(C), pages 17-29.
    26. Purda, Lynnette & Sonmez, Fatma & Zhong, Ligang, 2015. "Financial institution credit assessment and implications for portfolio managers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 148-166.
    27. Dong Chen, 2014. "The Non-monotonic Effect of Board Independence on Credit Ratings," Journal of Financial Services Research, Springer;Western Finance Association, vol. 45(2), pages 145-171, April.
    28. Adelino, Manuel & Cunha, Igor & Ferreira, Miguel, 2017. "The Economic Effects of Public Financing: Evidence from Municipal Bond Ratings Recalibration," CEPR Discussion Papers 11811, C.E.P.R. Discussion Papers.
    29. Kedia, Simi & Rajgopal, Shivaram & Zhou, Xing, 2014. "Did going public impair Moody׳s credit ratings?," Journal of Financial Economics, Elsevier, vol. 114(2), pages 293-315.
    30. Bakalyar, Inna & Galil, Koresh, 2014. "Rating shopping and rating inflation in Israel," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 270-280.
    31. Vu, Huong & Alsakka, Rasha & Gwilym, Owain ap, 2015. "The credit signals that matter most for sovereign bond spreads with split rating," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 174-191.

  10. William N. Goetzmann & Liang Peng & Jacqueline Yen, 2009. "The Subprime Crisis and House Price Appreciation," NBER Working Papers 15334, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fernando Ferreira & Joseph Gyourko, 2011. "Anatomy of the Beginning of the Housing Boom: U.S. Neighborhoods and Metropolitan Areas, 1993-2009," NBER Working Papers 17374, National Bureau of Economic Research, Inc.
    2. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
    3. William Goetzmann & Frank Newman, 2010. "Securitizations in the 1920's," Yale School of Management Working Papers amz2668, Yale School of Management.
    4. Paolo Gelain & Kevin J. Lansing & Caterina Mendicino, 2012. "House prices, credit growth, and excess volatility: implications for monetary and macroprudential policy," Working Paper Series 2012-11, Federal Reserve Bank of San Francisco.
    5. Bailey, Michael & Cao, Ruiqing & Kuchler, Theresa & Ströbel, Johannes, 2016. "Social Networks and Housing Markets," CEPR Discussion Papers 11272, C.E.P.R. Discussion Papers.
    6. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
    7. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
    8. Kuchler, Theresa & Zafar, Basit, 2015. "Personal Experiences and Expectations about Aggregate Outcomes," IZA Discussion Papers 9444, Institute for the Study of Labor (IZA).
    9. Andreas Fuster & Benjamin Hebert & David Laibson, 2012. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 1-48.
    10. Nakamura, Leonard I., 2014. "Brewing bubbles: how mortgage practices intensify housing booms," Business Review, Federal Reserve Bank of Philadelphia, issue 1, pages 16-24.
    11. W. Scott Frame & Lawrence J. White, 2009. "Technological change, financial innovation, and diffusion in banking," FRB Atlanta Working Paper 2009-10, Federal Reserve Bank of Atlanta.
    12. Jane Dokko & Brian M. Doyle & Michael T. Kiley & Jinill Kim & Shane Sherlund & Jae Sim & Skander Van Den Heuvel, 2011. "Monetary policy and the global housing bubble," Economic Policy, CEPR;CES;MSH, vol. 26(66), pages 233-283, 04.
    13. Gelain, Paolo & Lansing, Kevin J. & Natvik, Gisele J., 2015. "Explaining the boom-bust cycle in the U.S. housing market: a reverse-engineering approach," Working Paper Series 2015-2, Federal Reserve Bank of San Francisco.
    14. Barth, James R. & Benefield, Justin D. & Hollans, Harris, 2015. "Industry Concentration and Regional Housing Market Performance," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 45(2).
    15. Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Ströbel, 2016. "Social Networks and Housing Markets," CESifo Working Paper Series 5905, CESifo Group Munich.
    16. Ge, Jiaqi, 2013. "Endogenous Rise and Collapse of Housing Prices," Staff General Research Papers Archive 36279, Iowa State University, Department of Economics.
    17. Basit Zafar & Theresa Kuchler, 2015. "Expectation Formation," 2015 Meeting Papers 678, Society for Economic Dynamics.
    18. Michael Brocker & Christopher Hanes, 2014. "The 1920s American Real Estate Boom and the Downturn of the Great Depression: Evidence from City Cross-Sections," NBER Chapters, in: Housing and Mortgage Markets in Historical Perspective, pages 161-201 National Bureau of Economic Research, Inc.
    19. Eugene Amromin & Jennifer Huang & Clemens Sialm & Edward Zhong, 2010. "Complex mortgages," Working Paper Series WP-2010-17, Federal Reserve Bank of Chicago.
    20. Jaison R. Abel & Richard Deitz, 2012. "How severe was the credit cycle in the New York-northern New Jersey region?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 18(Nov).
    21. Andreas Fuster & David Laibson & Brock Mendel, 2010. "Natural Expectations and Macroeconomic Fluctuations," Journal of Economic Perspectives, American Economic Association, vol. 24(4), pages 67-84, Fall.
    22. Jörg Bibow, 2010. "Alternative Strategien der Budgetkonsolidierung in Österreich nach der Rezession," IMK Studies 03-2010, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    23. Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Stroebel, 2016. "Social Networks and Housing Markets," NBER Working Papers 22258, National Bureau of Economic Research, Inc.
    24. Doblas-Madrid, Antonio & Lansing, Kevin J., 2016. "Credit-fuelled bubbles," Working Paper Series 2016-2, Federal Reserve Bank of San Francisco.
    25. Goel, Anand M. & Song, Fenghua & Thakor, Anjan V., 2014. "Correlated leverage and its ramifications," Journal of Financial Intermediation, Elsevier, vol. 23(4), pages 471-503.
    26. Wayne Archer & Brent Smith, 2013. "Residential Mortgage Default: The Roles of House Price Volatility, Euphoria and the Borrower’s Put Option," The Journal of Real Estate Finance and Economics, Springer, vol. 46(2), pages 355-378, February.
    27. Jiaqi Ge, 2013. "Endogenous Formation and Collapse Of Housing Bubbles," Staff General Research Papers Archive 36277, Iowa State University, Department of Economics.
    28. Jane K. Dokko & Brian M. Doyle & Michael T. Kiley & Jinill Kim & Shane M. Sherlund & Jae W. Sim & Skander J. van den Heuvel, 2009. "Monetary policy and the housing bubble," Finance and Economics Discussion Series 2009-49, Board of Governors of the Federal Reserve System (U.S.).
    29. Marcel Arsenault & Jim Clayton & Liang Peng, 2013. "Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 243-265, August.
    30. Carson, Richard T & Dastrup, Samuel R., 2009. "After the Fall: An Ex Post Characterization of Housing Price Declines Across Metropolitan Areas," University of California at San Diego, Economics Working Paper Series qt7ng9d927, Department of Economics, UC San Diego.

  11. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Estimating Operational Risk for Hedge Funds: The ?-Score," Yale School of Management Working Papers amz2559, Yale School of Management, revised 11 Sep 2009.

    Cited by:

    1. Eric Zitzewitz, 2012. "Forensic Economics," Journal of Economic Literature, American Economic Association, vol. 50(3), pages 731-769, September.
    2. Joenväärä, Juha & Kosowski, Robert, 2015. "Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds," CEPR Discussion Papers 10577, C.E.P.R. Discussion Papers.
    3. Geczy, Christopher C., 2010. "Thoughts on the Future of the Hedge Fund Industry," Working Papers 10-15, University of Pennsylvania, Wharton School, Weiss Center.
    4. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," Yale School of Management Working Papers amz2545, Yale School of Management, revised 13 Nov 2009.
    5. Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2014. "Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds," CFR Working Papers 14-13, University of Cologne, Centre for Financial Research (CFR).
    6. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR).
    7. Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
    8. Andrea M. Buffa & Suleyman Basak, 2016. "A Theory of Operational Risk," 2016 Meeting Papers 352, Society for Economic Dynamics.
    9. Wil liam C. Gerken & Stephen G. Dimmock, 2011. "Predicting Fraud by Investment Managers," NFI Working Papers 2011-WP-09, Indiana State University, Scott College of Business, Networks Financial Institute.

  12. William Goetzmann & Akiko Watanabe & Masahiro Watanabe, 2008. "Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk," Yale School of Management Working Papers amz2656, Yale School of Management, revised 01 Jan 2009.

    Cited by:

    1. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.

  13. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2006. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Yale School of Management Working Papers amz2472, Yale School of Management, revised 11 Sep 2009.

    Cited by:

    1. David Solomon & Eugene Soltes, 2015. "What Are We Meeting For? The Consequences of Private Meetings with Investors," Journal of Law and Economics, University of Chicago Press, vol. 58(2), pages 325-355.
    2. Massoud, Nadia & Nandy, Debarshi & Saunders, Anthony & Song, Keke, 2011. "Do hedge funds trade on private information? Evidence from syndicated lending and short-selling," Journal of Financial Economics, Elsevier, vol. 99(3), pages 477-499, March.
    3. Clauss, Pierre & Roncalli, Thierry & Weisang, Guillaume, 2009. "Risk Management Lessons from Madoff Fraud," MPRA Paper 36754, University Library of Munich, Germany.
    4. Yudan Zheng, 2010. "The effect of CEO tenure on CEO compensation," Managerial Finance, Emerald Group Publishing, vol. 36(10), pages 832-859, August.
    5. Huang, Ying Sophie & Chen, Carl R. & Kato, Isamu, 2017. "Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 367-388.
    6. Aiken, Adam L. & Clifford, Christopher P. & Ellis, Jesse A., 2015. "Hedge funds and discretionary liquidity restrictions," Journal of Financial Economics, Elsevier, vol. 116(1), pages 197-218.
    7. Xue, Yi & Gençay, Ramazan, 2012. "Hierarchical information and the rate of information diffusion," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1372-1401.
    8. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Centre de Recherche en Economie et Statistique.
    9. Guillermo Baquero & Marno Verbeek, 2015. "Hedge fund flows and performance streaks: How investors weigh information," ESMT Research Working Papers ESMT-15-01, ESMT European School of Management and Technology.
    10. Yang CAO & Joseph P. OGDEN & Cristian I. TIU, 2011. "Who Benefits From Funds Of Hedge Funds? A Critique Of Alternative Organizational Structures In The Hedge Fund Industry (I)," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 1(1), pages 19-36, December.
    11. Harvey S. Rosen & Alexander J. W. Sappington, 2016. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," Education Finance and Policy, MIT Press, vol. 11(4), pages 404-425, Fall.
    12. Cici, Gjergji & Kempf, Alexander & Pütz, Alexander, 2011. "The valuation of hedge funds' equity positions," CFR Working Papers 10-15 [rev.], University of Cologne, Centre for Financial Research (CFR).
    13. Cumming, Douglas & Dai, Na & Haß, Lars Helge & Schweizer, Denis, 2012. "Regulatory induced performance persistence: Evidence from hedge funds," Journal of Corporate Finance, Elsevier, vol. 18(5), pages 1005-1022.
    14. Patton, Andrew J & Ramadorai, Tarun & Streatfield, Michael, 2012. "Change You Can Believe In? Hedge Fund Data Revisions," CEPR Discussion Papers 8898, C.E.P.R. Discussion Papers.
    15. Joenväärä, Juha & Kosowski, Robert, 2015. "Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds," CEPR Discussion Papers 10577, C.E.P.R. Discussion Papers.
    16. Jiao, Yawen & Ye, Pengfei, 2014. "Mutual fund herding in response to hedge fund herding and the impacts on stock prices," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 131-148.
    17. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," Yale School of Management Working Papers amz2545, Yale School of Management, revised 13 Nov 2009.
    18. Lee, Bong Soo & Li, Ming-Yuan Leon, 2012. "Diversification and risk-adjusted performance: A quantile regression approach," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2157-2173.
    19. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR).
    20. Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
    21. Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2015. "Funding liquidity risk of funds of hedge funds: Evidence from their holdings," CFR Working Papers 15-12, University of Cologne, Centre for Financial Research (CFR).
    22. Harvey S. Rosen & Alexander J. W. Sappington, 2015. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," NBER Working Papers 21271, National Bureau of Economic Research, Inc.
    23. Harvey S. Rosen & Alexander J.W. Sappington, 2015. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," Working Papers 244, Princeton University, Department of Economics, Center for Economic Policy Studies..
    24. Knill, April M. & Lee, Bong Soo & Mauck, Nathan, 2012. "Sovereign wealth fund investment and the return-to-risk performance of target firms," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 315-340.
    25. Andrea M. Buffa & Suleyman Basak, 2016. "A Theory of Operational Risk," 2016 Meeting Papers 352, Society for Economic Dynamics.
    26. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
    27. Cumming, Douglas & Dai, Na & Johan, Sofia, 2015. "Are hedge funds registered in Delaware different?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 232-246.
    28. Wil liam C. Gerken & Stephen G. Dimmock, 2011. "Predicting Fraud by Investment Managers," NFI Working Papers 2011-WP-09, Indiana State University, Scott College of Business, Networks Financial Institute.
    29. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
    30. Chernobai, Anna & Ozdagli, Ali K. & Wang, Jianlin, 2016. "Business complexity and risk management: evidence from operational risk events in U. S. bank holding companies," Working Papers 16-16, Federal Reserve Bank of Boston.

  14. William Goetzmann & Eduardas Valaitis, 2006. "Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging," Yale School of Management Working Papers amz2476, Yale School of Management, revised 01 May 2006.

    Cited by:

    1. Spierdijk, Laura & Umar, Zaghum, 2015. "Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession," Journal of Economics and Business, Elsevier, vol. 79(C), pages 1-37.
    2. William N. Goetzmann & Liang Peng & Jacqueline Yen, 2009. "The Subprime Crisis and House Price Appreciation," NBER Working Papers 15334, National Bureau of Economic Research, Inc.

  15. Ravi Dhar & William Goetzmann, 2005. "Institutional Perspectives on Real Estate Investing: The Role of Risk and Uncertainty," Yale School of Management Working Papers ysm457, Yale School of Management, revised 01 Jul 2005.

    Cited by:

    1. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers 10437, C.E.P.R. Discussion Papers.
    2. Jim Clayton & Greg MacKinnon & Liang Peng, 2008. "Time Variation of Liquidity in the Private Real Estate Market: An Empirical Investigation," Journal of Real Estate Research, American Real Estate Society, vol. 30(2), pages 125-160.

  16. William N. Goetzmann & Alok Kumar, 2005. "Why Do Individual Investors Hold Under-Diversified Portfolios?," Yale School of Management Working Papers ysm454, Yale School of Management.

    Cited by:

    1. Ødegaard, Bernt Arne, 2009. "The diversification cost of large, concentrated equity stakes. How big is it? Is it justified?," UiS Working Papers in Economics and Finance 2009/22, University of Stavanger.
    2. Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2007. "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes," Journal of Political Economy, University of Chicago Press, vol. 115(5), pages 707-747, October.
    3. James Choi & David Laibson & Brigitte Madrian, 2008. "The Flypaper Effect in Individual Investor Asset Allocation," Yale School of Management Working Papers amz2560, Yale School of Management.
    4. Kumar, Alok, 2007. "Do the diversification choices of individual investors influence stock returns?," Journal of Financial Markets, Elsevier, vol. 10(4), pages 362-390, November.
    5. Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany.
    6. Nicholas Barberis & Ming Huang, 2008. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," American Economic Review, American Economic Association, vol. 98(5), pages 2066-2100, December.
    7. Chang, Charles & Fuh, Cheng-Der & Hsu, Ya-Hui, 2008. "ESO compensation: The roles of default risk, employee sentiment, and insider information," Journal of Corporate Finance, Elsevier, vol. 14(5), pages 630-641, December.
    8. Chavas, Jean-Paul & Barham, Bradford, 2007. "On the Microeconomics of Diversification under Uncertainty and Learning," Staff Paper Series 515, University of Wisconsin, Agricultural and Applied Economics.
    9. Jean-Philippe Bouchaud & Damien Challet, 2016. "Why have asset price properties changed so little in 200 years," Papers 1605.00634, arXiv.org.
    10. Matus Medo & Chi Ho Yeung & Yi-Cheng Zhang, 2008. "How to quantify the influence of correlations on investment diversification," Papers 0805.3397, arXiv.org, revised Feb 2009.
    11. Laibson, David I. & Madrian, Brigitte C. & Choi, James J., 2009. "Mental Accounting in Portfolio Choice: Evidence from a Flypaper Effect," Scholarly Articles 4686774, Harvard University Department of Economics.
    12. Ajamu Loving & Michael Finke & John Salter, 2012. "Explaining the 2004 Decrease in Minority Stock Ownership," The Review of Black Political Economy, Springer;National Economic Association, vol. 39(4), pages 403-425, December.
    13. Anderson, Anders, 2005. "Is Online Trading Gambling with Peanuts?," Sonderforschungsbereich 504 Publications 06-02, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    14. Chae, Joon & Yang, Cheol-Won, 2013. "Commonality in individuals' trading: A systematic path between behavioral bias and expected returns," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1008-1023.

  17. Jeffrey Fisher & William Goetzmann, 2005. "The Performance of Real Estate Portfolios: A Simulation Approach," Yale School of Management Working Papers ysm456, Yale School of Management, revised 01 Jun 2005.

    Cited by:

    1. Marco Wölfle, 2015. "Information-Based Trade in German Real Estate and Equity Markets," Risks, MDPI, Open Access Journal, vol. 3(4), pages 1-26, December.
    2. Rafiq Bhuyan & James Kuhle & Talla Mohammed Al-Deehani & Munir Mahmood, 2015. "Portfolio Diversification Benefits Using Real Estate Investment Trusts – An Experiment with US Common Stocks, Equity Real Estate Investment Trusts, and Mortgage Real Estate Investment Trusts," International Journal of Economics and Financial Issues, Econjournals, vol. 5(4), pages 922-928.

  18. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.

    Cited by:

    1. Vivek Singh, 2013. "Did institutions herd during the internet bubble?," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 513-534, October.
    2. John Conlon, 2005. "Should Central Banks Burst Bubbles?," Game Theory and Information 0508007, EconWPA.
    3. John R. Conlon, 2008. "Should Central Banks Burst Bubbles? Some Microeconomic Issues," Levine's Working Paper Archive 122247000000002330, David K. Levine.

  19. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.

    Cited by:

    1. Abdelbari El Khamlichi & Kamel Laaradh & Mohamed Arouri & Frédéric Teulon, 2014. "Performance Persistence of Islamic Equity Mutual Funds," Working Papers 2014-115, Department of Research, Ipag Business School.
    2. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
    3. Huddart, Steven, 1999. "Reputation and performance fee effects on portfolio choice by investment advisers1," Journal of Financial Markets, Elsevier, vol. 2(3), pages 227-271, August.
    4. Whitehouse, Edward, 2000. "Pension reform, financial literacy and public information : a case study of the United Kingdom," Social Protection and Labor Policy and Technical Notes 21312, The World Bank.
    5. Allan Timmermann & Asger Lunde, 1998. "The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis," FMG Discussion Papers dp302, Financial Markets Group.
    6. Michael E. Drew & Jon D. Stanford & Madhu Veeraraghavan, 2001. "Testing The Incomplete Arbitrate Hypothesis: Evidence From Australian Wholesale Superannuation Funds," School of Economics and Finance Discussion Papers and Working Papers Series 099, School of Economics and Finance, Queensland University of Technology.
    7. DeYoung, Robert & Glennon, Dennis & Nigro, Peter, 2008. "Borrower-lender distance, credit scoring, and loan performance: Evidence from informational-opaque small business borrowers," Journal of Financial Intermediation, Elsevier, vol. 17(1), pages 113-143, January.
    8. Nicolaj Siggelkow, 1998. "Why Focus? A Study of Intra-Industry Focus Effects," Center for Financial Institutions Working Papers 99-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012. "Revisiting Mutual Fund Performance Evaluation," MPRA Paper 36644, University Library of Munich, Germany.
    10. Ying-Fen Fu, 2014. "Individual Fund Manager Sentiment, Fund Performance and Performance Persistence," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 870-885.
    11. Athanasios Orphanides, "undated". "Compensation Incentives and Risk Taking Behavior: Evidence from Mutual Funds," Finance and Economics Discussion Series 1996-21, Board of Governors of the Federal Reserve System (U.S.).
    12. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2007. "Improved Forecasting of Mutual Fund Alphas and Betas," Review of Finance, European Finance Association, vol. 11(3), pages 359-400.
    13. Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan, 2008. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Working Papers 2008/60, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    14. Pendaraki, K. & Zopounidis, C. & Doumpos, M., 2005. "On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds," European Journal of Operational Research, Elsevier, vol. 163(2), pages 462-481, June.
    15. Manakyan, Herman & Liano, Kartono, 1997. "Performance of mutual funds before and after closing to new investors," Financial Services Review, Elsevier, vol. 6(4), pages 257-269.
    16. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
    17. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
    18. Jonathan B. Berk & Richard C. Green, 2004. "Mutual Fund Flows and Performance in Rational Markets," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1269-1295, December.
    19. Jank, Stephan & Wedow, Michael, 2015. "Sturm und Drang in money market funds: When money market funds cease to be narrow," Journal of Financial Stability, Elsevier, vol. 16(C), pages 59-70.
    20. Zarutskie, Rebecca, 2010. "The role of top management team human capital in venture capital markets: Evidence from first-time funds," Journal of Business Venturing, Elsevier, vol. 25(1), pages 155-172, January.
    21. Henrik Cronqvist, 2005. "Advertising and Portfolio Choice," CeRP Working Papers 44, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    22. Stefan Ruenzi, 2004. "Mutual Fund Growth in Standard and Specialist Market Segments," Finance 0406005, EconWPA, revised 27 Jun 2004.
    23. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, University of Finance and Management in Warsaw, vol. 5(1), March.
    24. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
    25. 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.
    26. Collinet, Lance & Firer, Colin, 2003. "Characterising persistence of performance amongst South African general equity unit trusts," Omega, Elsevier, vol. 31(6), pages 523-538, December.
    27. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
    28. Fletcher, Jonathan, 1999. "The evaluation of the performance of UK American unit trusts," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 455-466, November.
    29. Lubos Pastor & Robert F. Stambaugh, "undated". "Evaluating and Investing in Equity Mutual Funds," CRSP working papers 516, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    30. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, Elsevier.
    31. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
    32. Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2010. "Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences," Review of Finance, European Finance Association, vol. 15(2), pages 441-474.
    33. 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.
    34. Martí Ballester, Carmen Pilar, 2013. "Determinants of equity pension plan flows," Economics Discussion Papers 2013-15, Kiel Institute for the World Economy (IfW).
    35. Graham, John R. & Harvey, Campbell R., 1996. "Market timing ability and volatility implied in investment newsletters' asset allocation recommendations," Journal of Financial Economics, Elsevier, vol. 42(3), pages 397-421, November.
    36. Terrence Hallahan & Robert Faff, 2001. "Induced persistence or reversals in fund performance?: the effect of survivorship bias," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 119-126.
    37. Andrew Metrick & Richard Zeckhauser, 1996. "Price versus Quantity: Market Clearing Mechanisms When Sellers Differ in Quality," NBER Working Papers 5728, National Bureau of Economic Research, Inc.
    38. Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2008. "The Small World of Investing: Board Connections and Mutual Fund Returns," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 951-979, October.
    39. 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.
    40. Judith Chevalier & Glenn Ellison, 1996. "Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance," NBER Working Papers 5852, National Bureau of Economic Research, Inc.
    41. Alexander, Gordon J. & Jones, Jonathan D. & Nigro, Peter J., 1998. "Mutual fund shareholders: characteristics, investor knowledge, and sources of information," Financial Services Review, Elsevier, vol. 7(4), pages 301-316.
    42. Ribeiro, Mafalda & Santos, C. Machado, 2009. "Hedge funds strategies -are they consistent?," Working Papers 10/2009, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
    43. Ian Tonks, 2002. "Performance persistence of pension fund managers," LSE Research Online Documents on Economics 24942, London School of Economics and Political Science, LSE Library.
    44. Prather, Larry J. & Middleton, Karen L., 2006. "Timing and selectivity of mutual fund managers: An empirical test of the behavioral decision-making theory," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 249-273, June.
    45. Berger, Allen N. & Bonime, Seth D. & Covitz, Daniel M. & Hancock, Diana, 2000. "Why are bank profits so persistent? The roles of product market competition, informational opacity, and regional/macroeconomic shocks," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1203-1235, July.
    46. Krzysztof Jackowicz & Oskar Kowalewski & Łukasz Kozłowski, 2011. "The Short and Long Term Performance Persistence in the Central European Banking Industry," Contemporary Economics, University of Finance and Management in Warsaw, vol. 5(4), December.
    47. Benson, Karen L. & Faff, Robert W., 2003. "A performance analysis of Australian international equity trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 69-84, February.
    48. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    49. Jern, Benny, 2005. "Swedish Premium Pension Funds: Attributes and Performance," Working Papers 509, Hanken School of Economics.
    50. Qiang Bu & Nelson Lacey, 2009. "On understanding mutual fund terminations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(1), pages 80-99, January.
    51. Bruce Costa & Gary Porter, 2003. "Mutual fund managers: Does longevity imply expertise?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 224-235, June.
    52. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2009. "Risk Shifting and Mutual Fund Performance," NBER Working Papers 14903, National Bureau of Economic Research, Inc.
    53. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2014. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence of Islamic and Socially Responsible Funds," Working Papers 2014/19, Economics Department, Universitat Jaume I, Castellón (Spain).
    54. Ruiz-Verdú, Pablo & Gil-Bazo, Javier, 2006. "Yet another puzzle? the relation between price and performance in the mutual fund industry," DEE - Working Papers. Business Economics. WB wb066519, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    55. Huij, Joop & Derwall, Jeroen, 2008. ""Hot Hands" in bond funds," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 559-572, April.
    56. Allen, D. E. & Cleary, F., 1998. "Determinants of the cross-section of stock returns in the Malaysian stock market," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 253-275.
    57. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2013. "Window dressing in mutual funds," CFR Working Papers 11-07 [rev.2], University of Cologne, Centre for Financial Research (CFR).
    58. Nanda, Vikram K. & Wang, Z. Jay & Zheng, Lu, 2009. "The ABCs of mutual funds: On the introduction of multiple share classes," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 329-361, July.
    59. Nicolaj Siggelkow, 1999. "Expense Shifting: An Empirical Study of Agency Costs in the Mutual Fund Industry," Center for Financial Institutions Working Papers 99-09, Wharton School Center for Financial Institutions, University of Pennsylvania.
    60. Indro, D. C. & Jiang, C. X. & Patuwo, B. E. & Zhang, G. P., 1999. "Predicting mutual fund performance using artificial neural networks," Omega, Elsevier, vol. 27(3), pages 373-380, June.
    61. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
    62. Singh, Sandeep & Dresnack, William H., 1997. "Market knowledge in managed municipal bond portfolios," Financial Services Review, Elsevier, vol. 6(3), pages 185-196.
    63. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
    64. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
    65. Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2002. "The Dynamics of the Impact of Past Performance on Mutual Fund Flows," Discussion Paper 2002-2, Tilburg University, Center for Economic Research.
    66. Vidal-García, Javier & Vidal, Marta & Boubaker, Sabri & Uddin, Gazi Salah, 2016. "The short-term persistence of international mutual fund performance," Economic Modelling, Elsevier, vol. 52(PB), pages 926-938.
    67. William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.
    68. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc.
    69. Boo, Yee Ling & Ee, Mong Shan & Li, Bob & Rashid, Mamunur, 2017. "Islamic or conventional mutual funds: Who has the upper hand? Evidence from Malaysia," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 183-192.
    70. Carlos F. Alves & Victor Mendes, 2006. "Mutual fund flows’ performance reaction: does convexity apply to small markets?," FEP Working Papers 204, Universidade do Porto, Faculdade de Economia do Porto.
    71. Carmen Pilar Martí Ballester, 2014. "Determinants of equity pension plan flows," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 125-148, June.
    72. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1998. "Offshore Hedge Funds: Survival & Performance 1989-1995," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-011, New York University, Leonard N. Stern School of Business-.
    73. James Choi & David Laibson & Brigitte Madrain & Andrew Metrick, 2007. "Reinforcement Learning in Investment Behavior," Levine's Bibliography 122247000000001737, UCLA Department of Economics.
    74. 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.
    75. Dariusz Filip, 2013. "Returns and Persistence of Investment Fund Performance in the Czech Republic," Prague Economic Papers, University of Economics, Prague, vol. 2013(3), pages 324-342.
    76. Clemens Sialm & Hanjiang Zhang, 2015. "Tax-Efficient Asset Management: Evidence from Equity Mutual Funds," NBER Working Papers 21060, National Bureau of Economic Research, Inc.
    77. Moreno, David & Marco, Paulina & Olmeda, Ignacio, 2006. "Self-organizing maps could improve the classification of Spanish mutual funds," European Journal of Operational Research, Elsevier, vol. 174(2), pages 1039-1054, October.
    78. Fabrice Hervé, 2003. "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Post-Print hal-00488374, HAL.
    79. 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.
    80. Watson, John & Wickramanayake, J., 2012. "The relationship between aggregate managed fund flows and share market returns in Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 451-472.
    81. Bers, Martina K., 1998. "Causal relations among stock returns, inflation: Persistence of international mutual fund performance," Global Finance Journal, Elsevier, vol. 9(2), pages 225-240.
    82. Jonathan J. Koehler & Molly Mercer, 2009. "Selection Neglect in Mutual Fund Advertisements," Management Science, INFORMS, vol. 55(7), pages 1107-1121, July.
    83. Luis Ferruz Agudo & María Vargas Magallón, 2005. "Empirical evidence of performance persistence in a relatively unexplored market: the case of Spanish investment funds," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 85-88, March.
    84. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
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  20. William N. Goetzmann & Massimo Massa & Andrei Simonov, 2005. "Portfolio Diversification, Proximity Investment and City Agglomeration," Yale School of Management Working Papers ysm452, Yale School of Management.

    Cited by:

    1. Leung, Charles Ka Yui & Teo, Wing Leong, 2010. "Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements," MPRA Paper 28216, University Library of Munich, Germany.
    2. Morse, Adair & Shive, Sophie, 2011. "Patriotism in your portfolio," Journal of Financial Markets, Elsevier, vol. 14(2), pages 411-440, May.
    3. Abreu, Margarida & Mendes, Victor & Santos, João A.C., 2011. "Home country bias: Does domestic experience help investors enter foreign markets?," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2330-2340, September.
    4. Charlotte Christiansen & Juanna Shröter Joensen & Jesper Rangvid, 2005. "Do More Economists Hold Stocks?," Economics Working Papers 2005-06, Department of Economics and Business Economics, Aarhus University.
    5. Bodnaruk, Andriy & Ostberg, Per, 2009. "Does investor recognition predict returns?," Journal of Financial Economics, Elsevier, vol. 91(2), pages 208-226, February.
    6. Fu, Shihe & Shan, Liwei, 2011. "Agglomeration Economies and Local Comovement of Stock Returns," MPRA Paper 31887, University Library of Munich, Germany.
    7. Daniel Hoechle & Heinz Zimmermann, 2007. "A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors," Working papers 2007/14, Faculty of Business and Economics - University of Basel.

  21. William N. Goetzmann & Massimo Massa, 2005. "Dispersion of Opinion and Stock Returns," Yale School of Management Working Papers ysm444, Yale School of Management.

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    1. Wang, Huijun & Yan, Jinghua & Yu, Jianfeng, 2017. "Reference-dependent preferences and the risk–return trade-off," Journal of Financial Economics, Elsevier, vol. 123(2), pages 395-414.
    2. Dan Li & Geng Li, 2011. "Belief dispersion among household investors and stock trading volume," Finance and Economics Discussion Series 2011-39, Board of Governors of the Federal Reserve System (U.S.).
    3. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2016. "Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers 201668, University of Pretoria, Department of Economics.
    4. Bailey, Michael & Cao, Ruiqing & Kuchler, Theresa & Ströbel, Johannes, 2016. "Social Networks and Housing Markets," CEPR Discussion Papers 11272, C.E.P.R. Discussion Papers.
    5. Wongchoti, Udomsak & Wu, Fei & Young, Martin, 2009. "Buy and sell dynamics following high market returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 12-20, March.
    6. Li, Dan & Li, Geng, 2014. "Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume," Finance and Economics Discussion Series 2014-35, Board of Governors of the Federal Reserve System (U.S.).
    7. Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Ströbel, 2016. "Social Networks and Housing Markets," CESifo Working Paper Series 5905, CESifo Group Munich.
    8. Jeffrey Hobbs & Hei Wai Lee & Vivek Singh, 2017. "New evidence on the effect of belief heterogeneity on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 289-309, February.
    9. Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Stroebel, 2016. "Social Networks and Housing Markets," NBER Working Papers 22258, National Bureau of Economic Research, Inc.
    10. Jiang, Hao & Sun, Zheng, 2014. "Dispersion in beliefs among active mutual funds and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 114(2), pages 341-365.
    11. Qian, Xiaolin, 2014. "Small investor sentiment, differences of opinion and stock overvaluation," Journal of Financial Markets, Elsevier, vol. 19(C), pages 219-246.
    12. Xiaoquan Jiang, 2010. "Return dispersion and expected returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(2), pages 107-135, June.

  22. William Goetzmann, 2005. "More Social Security, Not Less," Yale School of Management Working Papers ysm449, Yale School of Management.

    Cited by:

    1. John Geanokoplos & Stephen P. Zeldes, 2010. "Market Valuation of Accrued Social Security Benefits," NBER Chapters, in: Measuring and Managing Federal Financial Risk, pages 213-233 National Bureau of Economic Research, Inc.

  23. William Goetzmann & Roger Ibbotson, 2005. "History and the Equity Risk Premium," Yale School of Management Working Papers ysm448, Yale School of Management.

    Cited by:

    1. Harin, Alexander, 2006. "Scientific Revolution? A Farewell to EconWPA. MPRA is welcome," MPRA Paper 71, University Library of Munich, Germany.
    2. Alexander Harin, 2005. "Gains and losses. The same or different choices?," International Finance 0508004, EconWPA.
    3. Alexander Harin, 2005. "Gains and losses: the same or different choices? A “non-ideal” economics approach," International Finance 0509002, EconWPA.
    4. Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
    5. Alexander Harin, 2005. "Scientific Revolution. A Farewell to EconWPA," Method and Hist of Econ Thought 0512003, EconWPA.
    6. Alexander Harin, 2005. "A Rational Irrational Man," Public Economics 0511005, EconWPA.

  24. William Goetzmann & Andrey Ukhov, 2005. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Yale School of Management Working Papers ysm445, Yale School of Management.

    Cited by:

    1. Bernal, Oscar & Oosterlinck, Kim & Szafarz, Ariane, 2010. "Observing bailout expectations during a total eclipse of the sun," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1193-1205, November.
    2. Brian Mitchell & David Chambers & Nick Crafts, 2011. "How good was the profitability of British railways, 1870–1912?," Economic History Review, Economic History Society, vol. 64(3), pages 798-831, 08.
    3. Benjamin Chabot & Christopher J. Kurz, 2009. "That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Working Papers 972, Economic Growth Center, Yale University.
    4. Chambers, David & Esteves, Rui, 2014. "The first global emerging markets investor: Foreign & Colonial Investment Trust 1880–1913," Explorations in Economic History, Elsevier, vol. 52(C), pages 1-21.
    5. Campbell, Gareth, 2012. "Myopic rationality in a Mania," Explorations in Economic History, Elsevier, vol. 49(1), pages 75-91.
    6. Kevin H. O’Rourke, 2012. "From Empire to Europe: Britain in the World Economy," Oxford University Economic and Social History Series _106, Economics Group, Nuffield College, University of Oxford.
    7. Acheson, Graeme G. & Campbell, Gareth & Turner, John D., 2016. "Common law and the origin of shareholder protection," QUCEH Working Paper Series 2016-04, Queen's University Belfast, Queen's University Centre for Economic History.
    8. Turner, John D., 2014. "Financial history and financial economics," QUCEH Working Paper Series 14-03, Queen's University Belfast, Queen's University Centre for Economic History.
    9. Guillaume Daudin & Matthias Morys & Kevin H. O’Rourke, 2008. "Europe and Globalization, 1870-1914," Documents de Travail de l'OFCE 2008-17, Observatoire Francais des Conjonctures Economiques (OFCE).
    10. Nicholas Crafts & Tim Leunig & Abay Mulatu, 2010. "Were British railway companies well-managed in the early twentieth century?," Economic History Working Papers 27889, London School of Economics and Political Science, Department of Economic History.
    11. Crafts, Nicholas, 2012. "British relative economic decline revisited: The role of competition," Explorations in Economic History, Elsevier, vol. 49(1), pages 17-29.
    12. Crafts, Nicholas, 2011. "British Relative Economic Decline Revisited," CEPR Discussion Papers 8384, C.E.P.R. Discussion Papers.
    13. William Goetzmann & Simon Huang, 2015. "Momentum in Imperial Russia," NBER Working Papers 21700, National Bureau of Economic Research, Inc.
    14. Braggion, Fabio & Moore, Lyndon, 2013. "The Economic Benefits of Political Connections in Late Victorian Britain," The Journal of Economic History, Cambridge University Press, vol. 73(01), pages 142-176, March.
    15. Acheson, Graeme G. & Campbell, Gareth & Turner, John D., 2015. "Who financed the expansion of the equity market? Shareholder clienteles in Victorian Britain," QUCEH Working Paper Series 15-07, Queen's University Belfast, Queen's University Centre for Economic History.
    16. Nicholas Crafts, 2010. "Cliometrics and technological change: a survey," The European Journal of the History of Economic Thought, Taylor & Francis Journals, vol. 17(5), pages 1127-1147.
    17. Hugh Goldsmith, 2014. "The Long-Run Evolution of Infrastructure Services," CESifo Working Paper Series 5073, CESifo Group Munich.
    18. Rui Esteves, 2011. "The Political Economy of Global Financial Liberalisation in Historical Perspective," Economics Series Working Papers Number 89, University of Oxford, Department of Economics.
    19. Burhop, Carsten & Chambers, David & Cheffins, Brian, 2014. "Regulating IPOs: Evidence from going public in London, 1900–1913," Explorations in Economic History, Elsevier, vol. 51(C), pages 60-76.
    20. Campbell, Gareth & Rogers, Meeghan & Turner, John D., 2016. "The rise and decline of the UK's provincial stock markets, 1869-1929," QUCEH Working Paper Series 2016-03, Queen's University Belfast, Queen's University Centre for Economic History.

  25. William N. Goetzmann & Andrey Ukhov & Ning Zhu, 2004. "China and the World Financial Markets 1870-1930:," Yale School of Management Working Papers ysm9, Yale School of Management.

    Cited by:

    1. William Goetzmann & Elisabeth Köll, 2004. "The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control," Yale School of Management Working Papers ysm450, Yale School of Management.
    2. Schularick, Moritz & Steger, Thomas M., 2008. "The Lucas Paradox and the quality of institutions: then and now," Discussion Papers 2008/3, Free University Berlin, School of Business & Economics.

  26. William Goetzmann & Elisabeth Köll, 2004. "The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control," Yale School of Management Working Papers ysm450, Yale School of Management.

    Cited by:

    1. Yoser Gadhoum, 2006. "Power of Ultimate Controlling Owners: A Survey of Canadian Landscape," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 10(2), pages 179-204, 05.
    2. Mario García Molina, 2010. "Crisis y diversificación de los grupos empresariales colombianos a finales de los noventa," DOCUMENTOS DE TRABAJO - ESCUELA DE ECONOMÍA 007571, UN - RCE - CID.

  27. William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG, 2004. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm5, Yale School of Management.

    Cited by:

    1. Gary Gorton & Guillermo Ordo?ez, 2014. "Collateral Crises," American Economic Review, American Economic Association, vol. 104(2), pages 343-378, February.
    2. William Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009. "Art and Money," Yale School of Management Working Papers amz2426, Yale School of Management, revised 01 Jan 2010.
    3. David Le Bris, 2012. "Stock Returns, Governments and Market Foresight in France, 1871-2008," Working Papers CEB 12-007, ULB -- Universite Libre de Bruxelles.
    4. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2008. "Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed," NBER Working Papers 14422, National Bureau of Economic Research, Inc.
    5. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc.
    6. Chambers, David & Esteves, Rui, 2014. "The first global emerging markets investor: Foreign & Colonial Investment Trust 1880–1913," Explorations in Economic History, Elsevier, vol. 52(C), pages 1-21.
    7. Cora Barnhart & Gerald P. Dwyer, 2012. "Returns To Investors In Stocks In New Industries," Economic Inquiry, Western Economic Association International, vol. 50(4), pages 1031-1049, October.
    8. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
    9. Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
    10. Turner, John D., 2014. "Financial history and financial economics," QUCEH Working Paper Series 14-03, Queen's University Belfast, Queen's University Centre for Economic History.
    11. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, vol. 85(1), pages 123-150, July.
    12. David Le Bris & Pierre-Cyrille Hautcoeur, 2009. "A Challenge to Triumphant Optimists? A New Index for the Paris Stock-Exchange (1854-2007)," Working Papers 09-02, Association Française de Cliométrie (AFC).
    13. Arouri, Mohamed & Estay, Christophe & Rault, Christophe & Roubaud, David, 2016. "Economic policy uncertainty and stock markets: Long-run evidence from the US," Finance Research Letters, Elsevier, vol. 18(C), pages 136-141.
    14. Davies, Richard & Haldane, Andrew G. & Nielsen, Mette & Pezzini, Silvia, 2014. "Measuring the costs of short-termism," Journal of Financial Stability, Elsevier, vol. 12(C), pages 16-25.
    15. Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," CEPR Discussion Papers 10234, C.E.P.R. Discussion Papers.
    16. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris West - Nanterre la Défense, EconomiX.
    17. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.
    18. Bernstein, Asaf & Hughson, Eric & Weidenmier, Marc D., 2010. "Identifying the effects of a lender of last resort on financial markets: Lessons from the founding of the fed," Journal of Financial Economics, Elsevier, vol. 98(1), pages 40-53, October.
    19. William Goetzmann & Simon Huang, 2015. "Momentum in Imperial Russia," NBER Working Papers 21700, National Bureau of Economic Research, Inc.
    20. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
    21. Annaert, Jan & Buelens, Frans & De Ceuster, Marc J.K., 2012. "New Belgian Stock Market Returns: 1832–1914," Explorations in Economic History, Elsevier, vol. 49(2), pages 189-204.
    22. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper 49921, University Library of Munich, Germany.
    23. Cooper, Michael J. & McConnell, John J. & Ovtchinnikov, Alexei V., 2006. "The other January effect," Journal of Financial Economics, Elsevier, vol. 82(2), pages 315-341, November.
    24. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
    25. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
    26. Pierre-Cyrille Hautcoeur, 2006. "Why and how to measure stock market fluctuations? The early history of stock market indices, with special reference to the French case," PSE Working Papers halshs-00590522, HAL.
    27. Goetzmann, Will & Le Bris, David & Pouget, Sébastien, 2017. "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers 17-794, Toulouse School of Economics (TSE).
    28. Victor Court & Florian Fizaine, 2015. "Estimations of very long-term time series of global energy return-on-investment (EROI) of coal, oil and gas productions," Working Papers 1510, Chaire Economie du climat.
    29. Annaert, Jan & Mensah, Lord, 2014. "Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)," Explorations in Economic History, Elsevier, vol. 52(C), pages 22-43.

  28. William N. Goetzmann & Massimo Massa & Andrei Simonov, 2004. "Portfolio Diversification and City Agglomeration," NBER Working Papers 10343, National Bureau of Economic Research, Inc.

    Cited by:

    1. Leung, Charles Ka Yui & Teo, Wing Leong, 2010. "Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements," MPRA Paper 28216, University Library of Munich, Germany.
    2. Morse, Adair & Shive, Sophie, 2011. "Patriotism in your portfolio," Journal of Financial Markets, Elsevier, vol. 14(2), pages 411-440, May.
    3. Marion Kohler & Kylie Smith, 2005. "Housing and the Household Wealth Portfolio: The Role of Location," RBA Research Discussion Papers rdp2005-10, Reserve Bank of Australia.
    4. Bodnaruk, Andriy & Ostberg, Per, 2009. "Does investor recognition predict returns?," Journal of Financial Economics, Elsevier, vol. 91(2), pages 208-226, February.
    5. Fu, Shihe & Shan, Liwei, 2011. "Agglomeration Economies and Local Comovement of Stock Returns," MPRA Paper 31887, University Library of Munich, Germany.

  29. William N. Goetzmann & Roger G. Ibbotson, 2004. "An Emerging Market: The NYSE From 1815 to 1871," Yale School of Management Working Papers ysm7, Yale School of Management.

    Cited by:

    1. Lubos Pastor & Robert F. Stambaugh, "undated". "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers 11-00, Wharton School Rodney L. White Center for Financial Research.

  30. William N. Goetzmann & Stephen J. Brown & James M. Park, 2004. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm10, Yale School of Management.

    Cited by:

    1. Francisca Richter & B. Wade Brorsen, 2000. "Estimating fees for managed futures: a continuous-time model with a knockout feature," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 115-125.
    2. A. Harri & B. W. Brorsen, 2004. "Performance persistence and the source of returns for hedge funds," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 131-141.
    3. Nicole Boyson & Robert Mooradian, 2011. "Corporate governance and hedge fund activism," Review of Derivatives Research, Springer, vol. 14(2), pages 169-204, July.
    4. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
    5. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    6. Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
    7. Thomas Gimbel & Francis Gupta & Dan Pines, 2004. "Entry & Exit: The Lifecyle of a Hedge Fund," Industrial Organization 0407002, EconWPA.
    8. Gaurav S. Amin & Harry M. Kat, 2001. "Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001," ICMA Centre Discussion Papers in Finance icma-dp2002-02, Henley Business School, Reading University, revised Jan 2002.
    9. Franklin R. Edward, 1999. "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 189-210, Spring.

  31. William N. Goetzmann, 2004. "Fibonacci and the Financial Revolution," Yale School of Management Working Papers ysm19, Yale School of Management.

    Cited by:

    1. Stelios Michalopoulos & Luc Laeven & Ross Levine, 2011. "Financial Innovation and Endogenous Growth," Economics Working Papers 0097, Institute for Advanced Study, School of Social Science.
    2. Mark Koyama, 2008. "Evading the 'Taint of Usury' Complex Contracts and Segmented Capital Markets," Economics Series Working Papers 412, University of Oxford, Department of Economics.
    3. Timothy Johnson, 2015. "Reciprocity as a Foundation of Financial Economics," Journal of Business Ethics, Springer, vol. 131(1), pages 43-67, September.
    4. Timothy C. Johnson, 2012. "Ethics and Finance: the role of mathematics," Papers 1210.5390, arXiv.org.
    5. Diana Filip & Cyrille Piatecki, 2014. "In defense of a non-newtonian economic analysis," Working Papers hal-00945782, HAL.
    6. Balbir S. Sihag, 2017. "Kautilya, Fibonacci and Samuelson on Discounting," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 7(2), pages 1-3.
    7. Timothy C. Johnson, 2013. "Reciprocity as the foundation of Financial Economics," Papers 1310.2798, arXiv.org.

  32. Arturo Bris & William Goetzmann & Ning Zhu, 2004. "Short-Sales in Global Perspective," Yale School of Management Working Papers ysm453, Yale School of Management, revised 01 Sep 2009.

    Cited by:

    1. James Angel & Douglas McCabe, 2009. "The Business Ethics of Short Selling and Naked Short Selling," Journal of Business Ethics, Springer, vol. 85(1), pages 239-249, February.
    2. Swati Ghosh & Ernesto Revilla, 2008. "Enhancing the efficiency of securities markets in East Asia," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(2), pages 249-268.

  33. William N. Goetzmann & Matthew I. Spiegel & Andrey Ukhov, 2004. "Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares (English version)," Yale School of Management Working Papers ysm25, Yale School of Management.

    Cited by:

    1. Mihir A. Desai & Alexander Dyck & Luigi Zingales, 2004. "Theft and Taxes," NBER Working Papers 10978, National Bureau of Economic Research, Inc.
    2. Black, Bernard S. & Love, Inessa & Rachinsky, Andrei, 2006. "Corporate governance indices and firms' market values: Time series evidence from Russia," Emerging Markets Review, Elsevier, vol. 7(4), pages 361-379, December.
    3. Caprio, Lorenzo & Croci, Ettore, 2008. "The determinants of the voting premium in Italy: The evidence from 1974 to 2003," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2433-2443, November.

  34. Goetzmann, William & Massa, Massimo, 2004. "Disposition Matters: Volume, Volatility and Price Impact of Behavioural Bias," CEPR Discussion Papers 4814, C.E.P.R. Discussion Papers.

    Cited by:

    1. Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 75-89, January.
    2. Andrey Kudryavtsev & Gil Cohen & Shlomit Hon-Snir, 2013. "“Rational” or “Intuitive”: Are Behavioral Biases Correlated Across Stock Market Investors?," Contemporary Economics, University of Finance and Management in Warsaw, vol. 7(2), June.
    3. Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.
    4. Grinblatt, Mark & Han, Bing, 2001. "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management qt6qg5d62p, Anderson Graduate School of Management, UCLA.
    5. Weber, Martin & Welfens, Frank, 2007. "How do markets react to fundamental shocks? : An experimental analysis on underreaction and momentum," Papers 07-42, Sonderforschungsbreich 504.
    6. Hirshleifer, David & Jiang, Danling, 2007. "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper 16134, University Library of Munich, Germany, revised 08 Jul 2009.

  35. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jördis Hengelbrock & Erik Theissen & Christian Westheide, 2013. "Market Response to Investor Sentiment," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 901-917, 09.
    2. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2006. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Yale School of Management Working Papers amz2472, Yale School of Management, revised 11 Sep 2009.
    3. Jim Clayton & David Ling & Andy Naranjo, 2009. "Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 5-37, January.
    4. Hirshleifer, David & Jiang, Danling, 2007. "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper 20636, University Library of Munich, Germany, revised 10 Feb 2010.
    5. William N. Goetzmann & Ning Zhu, 2003. "Rain or Shine: Where is the Weather Effect?," NBER Working Papers 9465, National Bureau of Economic Research, Inc.
    6. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    7. Ahmed Salhin & Mo Sherif & Edward Jones, 2016. "Investor Sentiment and Sector Returns," CFI Discussion Papers 1602, Centre for Finance and Investment, Heriot Watt University.
    8. Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2017. "Divergence of sentiment and stock market trading," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 130-141.
    9. Mohamed Ayadi & Hatem Ben-Ameur & Skander Lazrak & Yue Wang, 2013. "Canadian Investors and the Discount on Closed-End Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 69-98, February.
    10. Arthur Charpentier & Emilios C. Galariotis & Christophe Villa, 2009. "Category-based Tail Comovement," Working Papers hal-00550330, HAL.
    11. Kim, Sei-Wan & Lee, Bong-Soo & Kim, Young-Min, 2014. "Who mimics whom in the equity fund market? Evidence from the Korean equity fund market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 199-218.
    12. Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2016. "Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis," Discussion Papers of DIW Berlin 1583, DIW Berlin, German Institute for Economic Research.
    13. William N. Goetzmann & Massimo Massa, 2005. "Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias," Yale School of Management Working Papers ysm447, Yale School of Management.
    14. Anthony Richards, 2004. "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers rdp2004-05, Reserve Bank of Australia.
    15. Eric Zitzewitz, 2003. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Journal of Law, Economics and Organization, Oxford University Press, vol. 19(2), pages 245-280, October.
    16. Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006. "Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?," Sonderforschungsbereich 504 Publications 06-12, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    17. Brown, Stephen J. & Hiraki, Takato & Arakawa, Kiyoshi & Ohno, Saburo, 2009. "Risk premia in international equity markets revisited," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 295-318, June.
    18. William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2004. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm6, Yale School of Management.
    19. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
    20. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.
    21. Frazzini, Andrea & Lamont, Owen A., 2008. "Dumb money: Mutual fund flows and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 88(2), pages 299-322, May.
    22. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    23. William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias," Yale School of Management Working Papers ysm14, Yale School of Management.
    24. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
    25. Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2013. "Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 572-591.
    26. Serpil Canbaş & Serkan Yılmaz Kandır, 2009. "Investor Sentiment and Stock Returns: Evidence from Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 45(4), pages 36-52, July.
    27. Cha, Heung-Joo & Kim, Jaebeom, 2010. "Stock returns and investment trust flows in the Japanese financial market: A system approach," Journal of Asian Economics, Elsevier, vol. 21(4), pages 327-332, August.
    28. Venezia, Itzhak & Shapira, Zur, 2007. "On the behavioral differences between professional and amateur investors after the weekend," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1417-1426, May.
    29. Hirshleifer, David & Jiang, Danling, 2007. "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper 16134, University Library of Munich, Germany, revised 08 Jul 2009.
    30. Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2014. "Facebook's daily sentiment and international stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 730-743.
    31. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
    32. Yang, Yan & Copeland, Laurence, 2014. "The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility," Cardiff Economics Working Papers E2014/12, Cardiff University, Cardiff Business School, Economics Section.
    33. Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series 13-1, Luxembourg School of Finance, University of Luxembourg.
    34. Kai Li, 2004. "The Growth of Global Equity Markets: A Closer Look," Econometric Society 2004 North American Winter Meetings 54, Econometric Society.
    35. Barber, Brad M. & Odean, Terrance & Zhu, Ning, 2009. "Systematic noise," Journal of Financial Markets, Elsevier, vol. 12(4), pages 547-569, November.
    36. Edwin Maberly & Raylene Pierce, 2003. "The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(4), pages 319-334, December.
    37. Th. Fiotakis & N. Philippas, 2004. "Chasing trend and losing money: open end mutual fund investors' trading behaviour in Greece," Applied Economics Letters, Taylor & Francis Journals, vol. 11(2), pages 117-121.

  36. Alok Kumar & William N. Goetzmann, 2003. "Diversification Decisions of Individual Investors and Asset Prices," Yale School of Management Working Papers ysm441, Yale School of Management.

    Cited by:

    1. Gina Nicolosi & Liang Peng & Ning Zhu, 2003. "Do Individual Investors Learn from Their Trading Experience?," Yale School of Management Working Papers ysm439, Yale School of Management, revised 01 Sep 2009.
    2. Bruce Mizrach & Susan Weerts, 2004. "Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room," Departmental Working Papers 200412, Rutgers University, Department of Economics.
    3. Stijn Van Nieuwerburgh & Laura Veldkamp, 2008. "Information Acquisition and Under-Diversification," NBER Working Papers 13904, National Bureau of Economic Research, Inc.
    4. Udichibarna Bose & Ronald MacDonald & Serafeim Tsoukas, 2015. "Education and the local equity bias around the world," Working Papers 2015_13, Business School - Economics, University of Glasgow.

  37. William Goetzmann & Liang Peng, 2003. "Estimating Indices in the Presence of Seller Reservation Prices," Yale School of Management Working Papers ysm352, Yale School of Management, revised 01 May 2003.

    Cited by:

    1. Victor Ginsburgh & Jianping Mei & Michael Moses, 2006. "On the computation of art indices in art," ULB Institutional Repository 2013/7290, ULB -- Universite Libre de Bruxelles.

  38. William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," NBER Working Papers 9499, National Bureau of Economic Research, Inc.

    Cited by:

    1. Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 75-89, January.
    2. Andrey Kudryavtsev & Gil Cohen & Shlomit Hon-Snir, 2013. "“Rational” or “Intuitive”: Are Behavioral Biases Correlated Across Stock Market Investors?," Contemporary Economics, University of Finance and Management in Warsaw, vol. 7(2), June.
    3. Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.
    4. Grinblatt, Mark & Han, Bing, 2001. "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management qt6qg5d62p, Anderson Graduate School of Management, UCLA.
    5. Weber, Martin & Welfens, Frank, 2007. "How do markets react to fundamental shocks? : An experimental analysis on underreaction and momentum," Papers 07-42, Sonderforschungsbreich 504.
    6. Hirshleifer, David & Jiang, Danling, 2007. "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper 16134, University Library of Munich, Germany, revised 08 Jul 2009.

  39. Stephen J. Brown & William N. Goetzmann & Bing Liang, 2003. "Fees on Fees in Funds of Funds," NBER Working Papers 9464, National Bureau of Economic Research, Inc.

    Cited by:

    1. Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 166-178.
    2. Daniel P. J. Capocci, 2009. "The persistence in hedge fund performance: extended analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 233-255.
    3. Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 883-891, May.
    4. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
    5. Agarwal, Vikas & Kale, Jayant R., 2007. "On the relative performance of multi-strategy and funds of hedge funds," CFR Working Papers 07-11, University of Cologne, Centre for Financial Research (CFR).
    6. Andonov, Aleksandar & Eichholtz, Piet & Kok, Nils, 2015. "Intermediated investment management in private markets: Evidence from pension fund investments in real estate," Journal of Financial Markets, Elsevier, vol. 22(C), pages 73-103.
    7. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
    8. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    9. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Centre de Recherche en Economie et Statistique.
    10. Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
    11. Clemens Sialm & Zheng Sun & Lu Zheng, 2013. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," NBER Working Papers 19570, National Bureau of Economic Research, Inc.
    12. Agarwal, Vikas & Nada, Vikram & Ray, Sugata, 2013. "Institutional investment and intermediation in the hedge fund industry," CFR Working Papers 13-03, University of Cologne, Centre for Financial Research (CFR).
    13. Zhe Chen & F. Douglas Foster & David R. Gallagher & Adrian D. Lee & Steven Cahan, 2015. "A model of emulation funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(3), pages 717-748, 09.
    14. Marko Rikato & Ales Berk, 2015. "Costliness of Placement Agents," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(3), pages 263-287, December.
    15. Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2014. "Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds," CFR Working Papers 14-13, University of Cologne, Centre for Financial Research (CFR).
    16. Heidorn, Thomas & Kaiser, Dieter G. & Roder, Christoph, 2009. "Empirische Analyse der Drawdowns von Dach-Hedgefonds," Frankfurt School - Working Paper Series 109, Frankfurt School of Finance and Management.
    17. Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
    18. Yang CAO & Joseph P. OGDEN & Cristian I. TIU, 2012. "Who Benefits From Funds Of Hedge Funds? A Critique Of Alternative Organizational Structures In The Hedge Fund Industry (Ii)," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 2(1), pages 5-20, March.
    19. Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2015. "Funding liquidity risk of funds of hedge funds: Evidence from their holdings," CFR Working Papers 15-12, University of Cologne, Centre for Financial Research (CFR).
    20. Bertin, William J. & Prather, Laurie, 2009. "Management structure and the performance of funds of mutual funds," Journal of Business Research, Elsevier, vol. 62(12), pages 1364-1369, December.

  40. William N.Goetzmann & Lingfeng Li & K.Geert Rouwenhorst, 2003. "Long-Term Global Market Correlations," DNB Staff Reports (discontinued) 98, Netherlands Central Bank.

    Cited by:

    1. Nataliya Barasinska & Dorothea Schäfer & Andreas Stephan, 2008. "Financial Risk Aversion and Household Asset Diversification," SOEPpapers on Multidisciplinary Panel Data Research 117, DIW Berlin, The German Socio-Economic Panel (SOEP).
    2. Boyle, Glenn, 2009. "Capital Market Integration: A Review of the Issues and an Assessment of New Zealand's Position," Working Paper Series 4034, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    3. Küçük, Ugur N., 2009. "Emerging Market Local Currency Bond Market, Too Risky to Invest?," MPRA Paper 21878, University Library of Munich, Germany.
    4. Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy & Vo, Tuan Kiet, 2015. "The transmission of market shocks and bilateral linkages: Evidence from emerging economies," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 349-357.
    5. Kane, Edward J., 2003. "What kind of multinational deposit-insurance arrangements might best enhance world welfare?," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 413-428, September.
    6. Phylaktis, Kate & Xia, Lichuan, 2006. "Sources of firms' industry and country effects in emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 459-475, April.
    7. Vadym Volosovych, 2005. "Financial Market Integration Over the Long Run: Is there a U-shape?," Working Papers 05001, Department of Economics, College of Business, Florida Atlantic University, revised Feb 2007.
    8. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
    9. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2012. "Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data," Economics of Security Working Paper Series 66, DIW Berlin, German Institute for Economic Research.
    10. Dalkir, Mehmet, 2009. "Revisiting stock market index correlations," Finance Research Letters, Elsevier, vol. 6(1), pages 23-33, March.
    11. Antonio Cosma & antonio.cosma@uni.lu & Michel Beine & Robert Vermeulen, 2009. "The Dark Side of Global Integration: Increasing Tail Dependence," LSF Research Working Paper Series 09-05, Luxembourg School of Finance, University of Luxembourg.
    12. Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, University of Economics, Prague, vol. 2011(1), pages 3-22.
    13. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
    14. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA.
    15. Helmut Wagner & Wolfram Berger, 2004. "Globalization, Financial Volatility and Monetary Policy," Economic Change and Restructuring, Springer, vol. 31(2), pages 163-184, June.
    16. L’Her, Jean-François & Le Moigne, Cécile & Savaria, Patrick, 2007. "Importance relative des effets pays et secteurs dans les marchés développés," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(2), pages 201-226, juin.
    17. M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 863-877.
    18. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
    19. Mihir A. Desai & C. Fritz Foley, 2004. "The Comovement of Returns and Investment Within the Multinational Firm," NBER Working Papers 10785, National Bureau of Economic Research, Inc.
    20. Rezvanian, Rasoul & Turk, Rima A. & Mehdian, Seyed M., 2011. "Investors' reactions to sharp price changes: Evidence from equity markets of the People's Republic of China," Global Finance Journal, Elsevier, vol. 22(1), pages 1-18.
    21. T. Berger & L. Pozzi, 2011. "A new model-based approach to measuring time-varying financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/714, Ghent University, Faculty of Economics and Business Administration.
    22. Redouane Elkamhia & Denitsa Stefanova, 2011. "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers 11-028/2/DSF10, Tinbergen Institute.
    23. Silveira, José Luz & Braga, Lúcia Bollini & de Souza, Antonio Carlos Caetano & Antunes, Julio Santana & Zanzi, Rolando, 2009. "The benefits of ethanol use for hydrogen production in urban transportation," Renewable and Sustainable Energy Reviews, Elsevier, vol. 13(9), pages 2525-2534, December.
    24. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
    25. Zhou, Wei-Xing & Sornette, Didier, 2003. "Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 330(3), pages 543-583.
    26. Tang, Hongfei & Xu, Xiaoqing Eleanor & Yang, Zihui, 2014. "Can international LETFs deliver their promised exposure to foreign markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 30-74.
    27. Nicholas Apergis & Christina Christou & Stephen M. Miller, 2011. "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working Papers 1105, University of Nevada, Las Vegas , Department of Economics.
    28. Edward Kane, 2006. "Can the European Community Afford to Neglect the Need for More Accountable Safety-Net Management?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 34(2), pages 127-144, June.
    29. Morgado, Pedro & Tavares, José, 2007. "Economic Integration and the Co-movement of Stock Returns," CEPR Discussion Papers 6519, C.E.P.R. Discussion Papers.
    30. Meric, Ilhan & Ratner, Mitchell & Meric, Gulser, 2008. "Co-movements of sector index returns in the world's major stock markets in bull and bear markets: Portfolio diversification implications," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 156-177.
    31. Vermeulen, Robert, 2013. "International diversification during the financial crisis: A blessing for equity investors?," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 104-123.
    32. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department.
    33. Christos Savva & Nektarios Aslanidis, 2010. "Stock market integration between new EU member states and the Euro-zone," Empirical Economics, Springer, vol. 39(2), pages 337-351, October.
    34. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
    35. Kumar, Alok, 2007. "Do the diversification choices of individual investors influence stock returns?," Journal of Financial Markets, Elsevier, vol. 10(4), pages 362-390, November.
    36. de Groot, W. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management ERS-2012-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    37. Petzev, Ivan & Schrimpf, Andreas & Wagner, Alexander F, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
    38. Smimou, K. & Khallouli, W., 2015. "Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?," Emerging Markets Review, Elsevier, vol. 25(C), pages 125-153.
    39. Campbell, John Y & Viceira, Luis M & White, Josh S., 2002. "Foreign Currency for Long-Term Investors," CEPR Discussion Papers 3463, C.E.P.R. Discussion Papers.
    40. El Ghini, Ahmed & Saidi, Youssef, 2014. "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper 53439, University Library of Munich, Germany.
    41. Addae-Dapaah, Kwame & Tan Yong Hwee, Wilfred, 2009. "The unsung impact of currency risk on the performance of international real property investment," Review of Financial Economics, Elsevier, vol. 18(1), pages 56-65, January.
    42. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
    43. Chen, Mei-Ping & Chen, Pei-Fen & Lee, Chien-Chiang, 2014. "Frontier stock market integration and the global financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 84-103.
    44. W. Jos Jansen & Ad C.J. Stokman, 2004. "Foreign Direct Investment and International Business Cycle Comovement," Macroeconomics 0402029, EconWPA.
    45. Hideaki Hirata & Tokiko Shimizu, "undated". "Purchase of SME-related ABS by the Bank of Japan: Monetary Policy and SME Financing in Japan," Working Paper 164521, Harvard University OpenScholar.
    46. Gregory Connor & Anita Suurlaht, 2012. "Dynamic Stock Market Covariances in the Eurozone," Economics, Finance and Accounting Department Working Paper Series n222-12.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
    47. Claessens, Stijn & Kose, Ayhan & Terrones, Marco E, 2011. "Financial Cycles: What? How? When?," CEPR Discussion Papers 8379, C.E.P.R. Discussion Papers.
    48. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".
    49. Nahil Boussiga & Ezzeddine Abaoub, 2013. "International Financial Integration And Equity Risk Premium In Emerging Countries," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 2(1), pages 4-14.
    50. Thomas Flavin, 2004. "The effect of the Euro on country versus industry portfolio diversification," Economics, Finance and Accounting Department Working Paper Series n1411004, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
    51. Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, 06.
    52. Michael D. Bordo & David C. Wheelock, 2006. "When do stock market booms occur? the macroeconomic and policy environments of 20th century booms," Working Papers 2006-051, Federal Reserve Bank of St. Louis.
    53. Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd, 2016. "Do oil producing countries offer international diversification benefits? Evidence from GCC countries," Economic Modelling, Elsevier, vol. 57(C), pages 263-280.
    54. Dennis P. Quinn & Hans-Joachim Voth, 2008. "A Century of Global Equity Market Correlations," American Economic Review, American Economic Association, vol. 98(2), pages 535-540, May.
    55. Swinkels, L.A.P. & Vejina, D. & Vilans, R., 2005. "Why don’t Latvian pension funds diversify more internationally?," ERIM Report Series Research in Management ERS-2005-078-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    56. Hideaki Hirata & Tokiko Shimizu, 2004. "Purchase of SME-related ABS by the Bank of Japan (Updated): Monetary Policy and SME financing in Japan," Bank of Japan Working Paper Series 04-E-1, Bank of Japan.
    57. Elyas Elyasiani & Elena Kalotychou & Sotiris Staikouras & Gang Zhao, 2015. "Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(1), pages 21-52, August.
    58. Matthias Fischer, 2007. "Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes," SFB 649 Discussion Papers SFB649DP2007-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    59. Vyrost, Tomas, 2015. "Country and industry effects in CEE stock market networks: Preliminary results," MPRA Paper 65775, University Library of Munich, Germany.
    60. Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009. "Testing for Convergence in Stock Markets: A Non-Linear Factor Approach," CESifo Working Paper Series 2845, CESifo Group Munich.
    61. Lingfeng Li, 2003. "An Economic Measure of Diversification Benefits," Yale School of Management Working Papers ysm371, Yale School of Management, revised 01 Jul 2003.
    62. Beltratti, Andrea, 2005. "Capital market equilibrium with externalities, production and heterogeneous agents," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3061-3073, December.
    63. Chong, Terence Tai-Leung & Wong, Ying-Chiu & Yan, Isabel Kit-Ming, 2008. "International linkages of the Japanese stock market," Japan and the World Economy, Elsevier, vol. 20(4), pages 601-621, December.
    64. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    65. Aityan, Sergey K. & Ivanov-Schitz, Alexey K. & Izotov, Sergey S., 2010. "Time-shift asymmetric correlation analysis of global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 590-605, December.
    66. Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2013. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," Working Papers CEB 13-031, ULB -- Universite Libre de Bruxelles.
    67. Bartram, Söhnke M. & Wang, Yaw-Huei, 2015. "European financial market dependence: An industry analysis," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 146-163.
    68. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    69. Giorgio Valente & Lucio Sarno, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376.
    70. Twm Evans & David G. McMillan, 2009. "Financial co-movement and correlation: evidence from 33 international stock market indices," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 215-241.
    71. Ding, Liang & Huang, Yirong & Pu, Xiaoling, 2014. "Volatility linkage across global equity markets," Global Finance Journal, Elsevier, vol. 25(2), pages 71-89.
    72. Ramona Dumitriu & Razvan Stefanescu, 2016. "Impact of the NYSE Shocks on the European Developed Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 327-334.
    73. Brown, Stephen J. & Hiraki, Takato & Arakawa, Kiyoshi & Ohno, Saburo, 2009. "Risk premia in international equity markets revisited," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 295-318, June.
    74. Flavin, Thomas J. & Panopoulou, Ekaterini, 2009. "On the robustness of international portfolio diversification benefits to regime-switching volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 140-156, February.
    75. Geert Bekaert & Arnaud Mehl, 2017. "On the Global Financial Market Integration “Swoosh” and the Trilemma," NBER Working Papers 23124, National Bureau of Economic Research, Inc.
    76. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance 0502018, EconWPA.
    77. Spierdijk, Laura & Umar, Zaghum, 2015. "Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession," Journal of Economics and Business, Elsevier, vol. 79(C), pages 1-37.
    78. Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
    79. Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.
    80. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
    81. Fischer, Matthias J., 2006. "Testing for constant correlation by means of trigonometric functions," Discussion Papers 74/2006, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    82. Sebnem Kalemli-Ozcan & Bent E. Sorensen & Oved Yosha, 2004. "Asymmetric Shocks and Risk Sharing in a Monetary Union: Updated Evidence and Policy Implications for Europe," Working Papers 2004-05, Department of Economics, University of Houston.
    83. Fung, Michael K., 2009. "Financial development and economic growth: Convergence or divergence?," Journal of International Money and Finance, Elsevier, vol. 28(1), pages 56-67, February.
    84. Thomas Flavin & Ekaterini Panopoulou, 2007. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," Money Macro and Finance (MMF) Research Group Conference 2006 150, Money Macro and Finance Research Group.
    85. W.J. Jansen & A.C.J. Stokman, 2002. "The Importance of Multinational Companies for Global Economic Linkages," WO Research Memoranda (discontinued) 720, Netherlands Central Bank, Research Department.
    86. Volosovych, Vadym, 2011. "Measuring financial market integration over the long run: Is there a U-shape?," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1535-1561.
    87. Lahrech, Abdelmounaim & Sylwester, Kevin, 2013. "The impact of NAFTA on North American stock market linkages," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 94-108.
    88. Li, Leon, 2017. "Dynamic correlations and domestic-global diversification," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 280-290.
    89. Marie-Paule Laurent, 2003. "Indices as diversification instruments in Europe," Working Papers CEB 03-004.RS, ULB -- Universite Libre de Bruxelles.
    90. Didier, Tatiana & Rigobon, Roberto & Schmukler, Sergio L., 2011. "Unexploited gains from international diversification : patterns of portfolio holdings around the world," Policy Research Working Paper Series 5524, The World Bank.
    91. Xindan Li & Bing Zhang, 2013. "Spillover and Cojumps Between the U.S. and Chinese Stock Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 49(S2), pages 23-42, March.
    92. Li, Hong, 2012. "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 358-368.
    93. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
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  41. William Goetzmann & Matthew Spiegel & Andrey Ukhov, 2003. "Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares (Russian Version)," Yale School of Management Working Papers ysm402, Yale School of Management.

    Cited by:

    1. Muravyev, Alexander & Berezinets, Irina & Ilina, Yulia, 2014. "The structure of corporate boards and private benefits of control: Evidence from the Russian stock exchange," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 247-261.
    2. Muravyev, Alexander & Berezinets, Irina & Ilina, Yulia, 2012. "Корпоративные Конфликты И Политика Фирм В Области Занятости И Заработной Платы
      [Corporate Governance Conflicts and Employment and Wage Policies of Companies]
      ," MPRA Paper 40215, University Library of Munich, Germany.

  42. William N. Goetzmann & Ning Zhu & Arturo Bris, 2003. "Efficiency and the Bear: Short Sales and Markets around the World," NBER Working Papers 9466, National Bureau of Economic Research, Inc.

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    1. Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003. "Firm-Specific Variation and Openness in Emerging Markets," William Davidson Institute Working Papers Series 2003-623, William Davidson Institute at the University of Michigan.
    2. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
    3. Allen, Franklin & Qian, Jun & Qian, Meijun, 2005. "Law, finance, and economic growth in China," Journal of Financial Economics, Elsevier, vol. 77(1), pages 57-116, July.
    4. Çankaya, Serkan & Eken, Hasan/M. & Ulusoy, Veysel, 2011. "The Impact of Short Selling on Intraday Volatility: Evidence from the Istanbul Stock Exchange," MPRA Paper 43658, University Library of Munich, Germany.
    5. Marsh, Ian W. & Payne, Richard, 2012. "Banning short sales and market quality: The UK’s experience," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1975-1986.
    6. Broussard, John Paul & Vaihekoski, Mika, 2012. "Profitability of pairs trading strategy in an illiquid market with multiple share classes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1188-1201.
    7. Caginalp, Gunduz & DeSantis, Mark, 2017. "Does price efficiency increase with trading volume? Evidence of nonlinearity and power laws in ETFs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 436-452.
    8. Boulton, Thomas J. & Braga-Alves, Marcus V., 2010. "The skinny on the 2008 naked short-sale restrictions," Journal of Financial Markets, Elsevier, vol. 13(4), pages 397-421, November.
    9. Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 947-960, June.
    10. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
    11. Hirshleifer, David & Teoh, Siew Hong & Yu, Jeff Jiewei, 2009. "Short Arbitrage, Return Asymmetry And The Accrual Anomaly," MPRA Paper 16487, University Library of Munich, Germany.
    12. Auguste, Sebastian & Dominguez, Kathryn M.E. & Kamil, Herman & Tesar, Linda L., 2006. "Cross-border trading as a mechanism for implicit capital flight: ADRs and the Argentine crisis," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1259-1295, October.
    13. Martin T. Bohl & Badye Essid & Pierre L. Siklos, 2011. "Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan," Working Papers 112011, Hong Kong Institute for Monetary Research.
    14. Sanning, Lee W. & Skiba, Alexandre & Skiba, Hilla, 2013. "Short sale restrictions, differences of opinion, and single-country, closed-end fund discount," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 44-50.
    15. Rocco Huang, 2005. "Tolerance For Uncertainty and the Growth of Informationally Opaque Industries," Macroeconomics 0507020, EconWPA.
    16. Fotak, Veljko & Raman, Vikas & Yadav, Pradeep K., 2014. "Fails-to-deliver, short selling, and market quality," Journal of Financial Economics, Elsevier, vol. 114(3), pages 493-516.
    17. Devaney, Michael, 2012. "Financial crisis, REIT short-sell restrictions and event induced volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 219-226.
    18. Samuel Mongrut Montalván & Didac Ramírez Sarrió, 2005. "Discount Rates in Emerging Capital Markets," Finance 0501013, EconWPA.
    19. Chen, Hung-Ling & Chow, Edward H. & Shiu, Cheng-Yi, 2015. "The informational role of individual investors in stock pricing: Evidence from large individual and small retail investors," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 36-56.
    20. Zhao, Zhongkuang & Li, Shuqi & Xiong, Heping, 2014. "Short sale constraints, disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 42(C), pages 333-342.
    21. Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015. "In short supply: Short-sellers and stock returns," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 33-57.
    22. Benjamin Blau, 2012. "Concentrated short-selling activity: bear raids or contrarian trading?," International Journal of Managerial Finance, Emerald Group Publishing, vol. 8(3), pages 187-203, June.
    23. Au, Andrea S. & Doukas, John A. & Onayev, Zhan, 2009. "Daily short interest, idiosyncratic risk, and stock returns," Journal of Financial Markets, Elsevier, vol. 12(2), pages 290-316, May.
    24. Fernando Lefort & Fernando Diaz, 2013. "Macroeconomic Stability, Financial Risks and Market Eciency: Evidence for a Small and Open Economy," Working Papers 45, Facultad de Economía y Empresa, Universidad Diego Portales.
    25. Baur, Dirk G. & Schulze, Niels, 2009. "Financial market stability--A test," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 506-519, July.
    26. Joel M. David & Ina Simonovska, 2015. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers 21480, National Bureau of Economic Research, Inc.
    27. Ulibarri, Carlos A., 2013. "Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group: Did the short-selling ban reduce systemic return-risk?," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 60-69.
    28. Warren Bailey & Lin Zheng, 2013. "Banks, Bears, and the Financial Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(1), pages 1-51, August.
    29. Li Jin & Stewart C. Myers, 2004. "R-Squared Around the World: New Theory and New Tests," NBER Working Papers 10453, National Bureau of Economic Research, Inc.
    30. Gagnon, Louis & Karolyi, G. Andrew, 2004. "Multi-market Trading and Arbitrage," Working Paper Series 2004-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    31. Fellner, Gerline & Theissen, Erik, 2011. "Short sale constraints, divergence of opinion and asset values: Evidence from the laboratory," CFS Working Paper Series 2011/05, Center for Financial Studies (CFS).
    32. Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2005. "Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries," Working Paper Series 2005-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    33. Markus K. Brunnermeier & Martin Oehmke, 2014. "Predatory Short Selling," Review of Finance, European Finance Association, vol. 18(6), pages 2153-2195.
    34. James Angel & Douglas McCabe, 2009. "The Business Ethics of Short Selling and Naked Short Selling," Journal of Business Ethics, Springer, vol. 85(1), pages 239-249, February.
    35. Godfrey, Keith R.L., 2016. "Detecting the great short squeeze on Volkswagen," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 323-334.
    36. Liu, Hsiang-Hsi & Chuang, Wen-I & Huang, Jih-Jeng & Chen, Yu-Hao, 2016. "The overconfident trading behavior of individual versus institutional investors," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 518-539.
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    38. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
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  43. Andrew Caplin & William Goetzmann & Eric Hangen & Barry Nalebuff & Elisabeth Prentice & John Rodkin & Matthew Spiegel & Tom Skinner, 2003. "Home Equity Insurance: A Pilot Project," Yale School of Management Working Papers ysm372, Yale School of Management, revised 23 Jan 2006.

    Cited by:

    1. Jan Rouwendal, 2009. "Housing Wealth and Household Portfolios in an Ageing Society," De Economist, Springer, vol. 157(1), pages 1-48, March.
    2. M.I. Dröes & H Garretsen & W.J.J. Manshanden, 2012. "The Diversification Benefits of Free Trade in House Value," Working Papers 12-03, Utrecht School of Economics.
    3. Cameron, Gavin & Muellbauer, John & Murphy, Anthony, 2006. "Was There a British House Price Bubble? Evidence from a Regional Panel," CEPR Discussion Papers 5619, C.E.P.R. Discussion Papers.
    4. Norman Miller & Liang Peng, 2006. "Exploring Metropolitan Housing Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 5-18, August.
    5. Robert J. Shiller, 2008. "Derivatives Markets for Home Prices," NBER Working Papers 13962, National Bureau of Economic Research, Inc.
    6. Deng, Yongheng & Quigley, John M., 2008. "Index Revision, House Price Risk, and the Market for House Price Derivatives," Berkeley Program on Housing and Urban Policy, Working Paper Series qt4sw0x30t, Berkeley Program on Housing and Urban Policy.

  44. William N. Goetzmann & Matthew Spiegel & Andrey Ukhov, 2003. "Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares," NBER Working Papers 9469, National Bureau of Economic Research, Inc.

    Cited by:

    1. Muravyev, Alexander, 2009. "Investor Protection and the Value of Shares: Evidence from Statutory Rules Governing Variations of Shareholders' Class Rights in Russia," IZA Discussion Papers 4669, Institute for the Study of Labor (IZA).
    2. Muravyev, Alexander, 2009. "Investor protection and share prices: Evidence from statutory rules governing variations of shareholders’ class rights in Russia," MPRA Paper 13678, University Library of Munich, Germany.
    3. Muravyev, Alexander, 2004. "The puzzle of dual class stock in Russia: Explaining the price differential between common and preferred shares," MPRA Paper 27726, University Library of Munich, Germany.
    4. Muravyev, Alexander & Berezinets, Irina & Ilina, Yulia, 2014. "The structure of corporate boards and private benefits of control: Evidence from the Russian stock exchange," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 247-261.
    5. Muravyev, Alexander & Berezinets, Irina & Ilina, Yulia, 2012. "Корпоративные Конфликты И Политика Фирм В Области Занятости И Заработной Платы
      [Corporate Governance Conflicts and Employment and Wage Policies of Companies]
      ," MPRA Paper 40215, University Library of Munich, Germany.
    6. Alexander Muravyev, 2007. "Dual Class Stock in Russia: What Explains the Price Differential between Common and Preferred Shares?," Discussion Papers of DIW Berlin 680, DIW Berlin, German Institute for Economic Research.
    7. Berezinets, Irina & Ilina, Yulia & Muravyev, Alexander, 2011. "CEO and Board Characteristics as Determinants of Private Benefits of Control: Evidence from the Russian Stock Exchange," IZA Discussion Papers 6256, Institute for the Study of Labor (IZA).

  45. William N. Goetzmann & Ning Zhu, 2003. "Rain or Shine: Where is the Weather Effect?," NBER Working Papers 9465, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lepori, Gabriele M., 2015. "Investor mood and demand for stocks: Evidence from popular TV series finales," Journal of Economic Psychology, Elsevier, vol. 48(C), pages 33-47.
    2. Anthony Heyes & Matthew Neidell & Soodeh Saberian, 2016. "The Effect of Air Pollution on Investor Behavior: Evidence from the S&P 500," NBER Working Papers 22753, National Bureau of Economic Research, Inc.
    3. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2008. "Weather and intraday patterns in stock returns and trading activity," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1754-1766, September.
    4. Kaplanski, Guy & Levy, Haim, 2012. "Real estate prices: An international study of seasonality's sentiment effect," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 123-146.
    5. Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.
    6. Verrier, Tatjana, 2010. "Selected Essays in Stock Market Liquidity. Innovative XLM Measure at the Frankfurt Stock Exchange: Cloudy Skies, Time of the Day and the Role of Designated Sponsors for Stock Market Liquidity," EconStor Theses, ZBW - German National Library of Economics, number 41600, February.
    7. Marie Connolly, 2013. "Some Like It Mild and Not Too Wet: The Influence of Weather on Subjective Well-Being," Journal of Happiness Studies, Springer, vol. 14(2), pages 457-473, April.
    8. Levy, Ori & Galili, Itai, 2008. "Stock purchase and the weather: Individual differences," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 755-767, September.
    9. Yang, Chih-Yuan & Jhang, Ling-Jhen & Chang, Chia-Chien, 2016. "Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 35-51.
    10. Christos Floros, 2011. "On the relationship between weather and stock market returns," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(1), pages 5-13, March.
    11. Erik Theissen, 2007. "An analysis of private investors' stock market return forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 35-43.
    12. Nicholas Apergis & Alexandros Gabrielsen & Lee A. Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
    13. Lee, Yuan-Ming & Wang, Kuan-Min, 2011. "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, vol. 28(1), pages 710-727.
    14. Fabrice Rousseau & Laurent Germain & Anne Vanhems, 2013. "Irrational Market Makers," Economics, Finance and Accounting Department Working Paper Series n261-13.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
      • Laurent Germain & Fabrice Rousseau & Anne Vanhems, 2014. "Irrational Market Makers," Finance, Presses universitaires de Grenoble, vol. 35(1), pages 107-145.
    15. Svetlana Vlady & Ekrem Tufan, PhD, 2011. "Causality Of Weather Conditions In Australian Stock Equity Returns," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(17), pages 184-197, November.
    16. Kelly, Patrick J. & Meschke, Felix, 2010. "Sentiment and stock returns: The SAD anomaly revisited," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1308-1326, June.
    17. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012. "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 934-956.
    18. Kaustia, Markku & Rantapuska, Elias, 2016. "Does mood affect trading behavior?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 1-26.
    19. Kaustia, Markku & Rantapuska, Elias, 2013. "Does mood affect trading behavior?," SAFE Working Paper Series 4, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    20. Yoon, Seong-Min & Kang, Sang Hoon, 2009. "Weather effects on returns: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(5), pages 682-690.
    21. Lepori, Gabriele M., 2016. "Air pollution and stock returns: Evidence from a natural experiment," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 25-42.
    22. Ronald Doeswijk, 2008. "The Optimism Cycle: Sell in May," De Economist, Springer, vol. 156(2), pages 175-200, June.
    23. De Silva, Dakshina G. & Pownall, Rachel A.J. & Wolk, Leonard, 2012. "Does the sun ‘shine’ on art prices?," Journal of Economic Behavior & Organization, Elsevier, vol. 82(1), pages 167-178.
    24. Frühwirth, Manfred & Sögner, Leopold, 2015. "Weather and SAD related mood effects on the financial market," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 11-31.
    25. Rayenda Brahmana & Chee-Wooi Hooy & Zamri Ahmad, 2012. "Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia," Journal of Bioeconomics, Springer, vol. 14(2), pages 129-146, July.
    26. Ethan Watson, 2012. "A cloudy day in the market: short selling behavioural bias or trading strategy," International Journal of Managerial Finance, Emerald Group Publishing, vol. 8(3), pages 238-255, June.
    27. Ching-Ping Wang & Hung-Hsi Huang & Yong-Wei Chen, 2012. "Investor SAD Sentiment and Stock Returns in Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 40-57, July.
    28. Dowling, Michael & Lucey, Brian M., 2005. "Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 337-355.
    29. Kim, Jae, 2016. "Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?," MPRA Paper 70692, University Library of Munich, Germany.
    30. Lu, Jing & Chou, Robin K., 2012. "Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 79-93.
    31. Svetlana Vlady & Ekrem Tufan & Bahattin Hamarat, 2011. "Causality Of Weather Conditions In Australian Stock Equity Returns," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(16), pages 161-175, April.
    32. Daskalakis, George & Symeonidis, Lazaros & Markellos, Raphael, 2009. "Does the weather affect stock market volatility?," MPRA Paper 34128, University Library of Munich, Germany.
    33. Sveltana Vlady, 2015. "The Effect of Climate Change on Australian Stock Equity Returns," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 88-109.
    34. Goodfellow, Christiane & Schiereck, Dirk & Verrier, Tatjana, 2010. "Does screen trading weather the weather? A note on cloudy skies, liquidity, and computerized stock markets," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 77-80, March.
    35. Rayenda Brahmana & Chee Wooi Hooy & Zamri Ahmad, 2014. "The Role of Weather on Investors’ Monday Irrationality: Insights from Malaysia," Contemporary Economics, University of Finance and Management in Warsaw, vol. 8(2), June.
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    37. Guven, Cahit & Hoxha, Indrit, 2015. "Rain or shine: Happiness and risk-taking," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 1-10.
    38. Nicholas Apergis & Rangan Gupta, 2016. "Can Weather Conditions in New York Predict South African Stock Returns?," Working Papers 201634, University of Pretoria, Department of Economics.
    39. Junmao Chiu & Huimin Chung & Keng-Yu Ho, 2014. "Fear Sentiment, Liquidity, and Trading Behavior: Evidence from the Index ETF Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-25.

  46. William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," NBER Working Papers 9116, National Bureau of Economic Research, Inc.

    Cited by:

    1. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
    2. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381.
    3. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA.
    4. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, vol. 234(2), pages 469-480.
    5. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
    6. Schuster, Martin & Auer, Benjamin R., 2012. "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, vol. 116(1), pages 124-128.
    7. Francesco Franzoni & José M. Marin, 2005. "Portable Alphas from Pension Mispricing," Working Papers 227, Barcelona Graduate School of Economics.
    8. Peter Temin & Hans-Joachim Voth, 2004. "Riding the South See Bubble," Working Papers 213, Barcelona Graduate School of Economics.
    9. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    10. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
    11. Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal C., 2005. "International Diversification with American Depository Receipts (ADRs)," Working Papers 2005-05, University of New Orleans, Department of Economics and Finance.
    12. Cvitanic, Jaksa & Lazrak, Ali & Wang, Tan, 2008. "Implications of the Sharpe ratio as a performance measure in multi-period settings," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1622-1649, May.
    13. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
    14. Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
    15. Urcola, Hernan A. & Irwin, Scott H., 2006. "Has the Performance of the Hog Options Market Changed?," 2006 Annual meeting, July 23-26, Long Beach, CA 21479, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    16. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
    17. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
    18. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 55-66.
    19. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.

  47. William Goetzmann & Jonathan Ingersoll & Matthew Spiegel & Ivo Welch, 2002. "Portfolio Performance Manipulation and Manipulation-Proof Performance Measures," Yale School of Management Working Papers amz2471, Yale School of Management, revised 01 Apr 2006.

    Cited by:

    1. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
    2. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
    3. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
    4. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
    5. Serge Darolles & Christian Gourieroux, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Post-Print halshs-00677727, HAL.
    6. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
    7. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
    8. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
    9. Jamie Alcock & John Glascock & Eva Steiner, 2013. "Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 434-465, October.
    10. Haggard, K. Stephen & Witte, H. Douglas, 2010. "The Halloween effect: Trick or treat?," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 379-387, December.
    11. Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
    12. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, vol. 234(2), pages 469-480.
    13. Auer, Benjamin R., 2015. "Does the choice of performance measure influence the evaluation of commodity investments?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 142-150.
    14. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
    15. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
    16. Bahaji, Hamza & Aberkane, Salah, 2016. "How rational could VIX investing be?," Economic Modelling, Elsevier, vol. 58(C), pages 556-568.
    17. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
    18. Vigile Marie Fabella & Georgi Kocharkov, 2016. "From planning to chaos to market: Ethnic inequality in Bulgaria," Working Paper Series of the Department of Economics, University of Konstanz 2016-08, Department of Economics, University of Konstanz.
    19. Ekaterini Panopoulou & Theologos Pantelidis, 2014. "Speculative behaviour and oil price predictability," Discussion Paper Series 2014_09, Department of Economics, University of Macedonia, revised Dec 2014.
    20. Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017. "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 183-203.
    21. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
    22. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, Elsevier.
    23. Schuster, Martin & Auer, Benjamin R., 2012. "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, vol. 116(1), pages 124-128.
    24. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
    25. Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin, 2015. "On the (Ab)Use of Omega?," Working Papers 2015:02, Department of Economics, University of Venice "Ca' Foscari".
    26. Dean Foster & Rakesh Vohra, 2011. "Calibration: Respice, Adspice, Prospice," Discussion Papers 1537, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    27. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2014. "Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 95-109.
    28. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
    29. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
    30. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
    31. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
    32. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2009. "Risk Shifting and Mutual Fund Performance," NBER Working Papers 14903, National Bureau of Economic Research, Inc.
    33. Antonio Diez de los Rios & René Garcia, 2011. "The option CAPM and the performance of hedge funds," Review of Derivatives Research, Springer, vol. 14(2), pages 137-167, July.
    34. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
    35. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
    36. Sensoy, Berk A., 2009. "Performance evaluation and self-designated benchmark indexes in the mutual fund industry," Journal of Financial Economics, Elsevier, vol. 92(1), pages 25-39, April.
    37. Pasquale Della Corte & Lucio Sarno & Giulia Sestieri, 2012. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 100-115, February.
    38. Alexandros Kostakis, 2007. "Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors," Discussion Papers 07/07, Department of Economics, University of York.
    39. Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu, 2011. "Performance maximization of actively managed funds," Journal of Financial Economics, Elsevier, vol. 101(3), pages 574-595, September.
    40. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
    41. Lynch, Andrew & Puckett, Andy & Yan, Xuemin (Sterling), 2014. "Institutions and the turn-of-the-year effect: Evidence from actual institutional trades," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 56-68.
    42. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, vol. 99(3), pages 546-559, March.
    43. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    44. Mason, Andrew & Agyei-Ampomah, Sam & Skinner, Frank, 2016. "Realism, skill, and incentives: Current and future trends in investment management and investment performance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 31-40.
    45. Mario Cerrato & John Crosby & Muhammad Kaleem, 2011. "Measuring the economic significance of structural exchange rate models," Working Papers 2011_17, Business School - Economics, University of Glasgow.
    46. Dirk Löhr, 0. "Zur Ermittlung eines marktgerechten Erbbauzinses – ein Praktikermodell
      [Assessment of market-oriented ground rents – a practice-oriented model]
      ," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 0, pages 1-19.
    47. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
    48. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, Department of Economics, University of Venice "Ca' Foscari".
    49. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
    50. Aragon, George O. & Spencer Martin, J., 2012. "A unique view of hedge fund derivatives usage: Safeguard or speculation?," Journal of Financial Economics, Elsevier, vol. 105(2), pages 436-456.
    51. María O González & Frank Skinner & Samuel Agyei-Ampomah, 2013. "Term structure information and bond strategies," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 53-74, July.
    52. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
    53. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
    54. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.
    55. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.
    56. Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2185-2197, September.
    57. Auer, Benjamin R. & Schuhmacher, Frank, 2016. "Do socially (ir)responsible investments pay? New evidence from international ESG data," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 51-62.
    58. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
    59. Alexander, Gordon J. & Baptista, Alexandre M., 2011. "Portfolio selection with mental accounts and delegation," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2637-2656, October.
    60. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
    61. Tirapat, Sunti & Visaltanachoti, Nuttawat, 2013. "Opportunistic insider trading," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1046-1061.
    62. Nicos Koussis & Michalis Makrominas, 2015. "Growth options, option exercise and firms’ systematic risk," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 243-267, February.
    63. Joenväärä, Juha & Kosowski, Robert, 2015. "Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds," CEPR Discussion Papers 10577, C.E.P.R. Discussion Papers.
    64. Michel Verlaine, 2010. "Risk Governance for funds," Cahiers du CEREFIGE 1003, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2010.
    65. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
    66. Dominika Paula Gałkiewicz, 2015. "Loss Potential and Disclosures Related to Credit Derivatives – A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation," SFB 649 Discussion Papers SFB649DP2015-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    67. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2014. "Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(3), pages 209-231, August.
    68. Buchner, Axel & Wagner, Niklas, 2016. "The betting against beta anomaly: Fact or fiction?," Finance Research Letters, Elsevier, vol. 16(C), pages 283-289.
    69. Anastasia Petraki & Anna Zalewska, 2013. "Jumping over a low hurdle: Personal pension fund performance," The Centre for Market and Public Organisation 13/305, Department of Economics, University of Bristol, UK.
    70. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
    71. Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, Elsevier.
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    83. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
    84. Christopher J. Neely & Paul A. Weller, 2011. "Lessons from the evolution of foreign exchange trading strategies," Working Papers 2011-021, Federal Reserve Bank of St. Louis.
    85. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
    86. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail risk in hedge funds: A unique view from portfolio holdings," CFR Working Papers 15-07, University of Cologne, Centre for Financial Research (CFR).
    87. 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.
    88. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.
    89. Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016. "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, vol. 31(C), pages 25-42.
    90. Jose Faias & Pedro Santa-Clara, 2011. "Optimal Option Portfolio Strategies," EcoMod2011 3041, EcoMod.
    91. Marcella Lucchetta & Michele Costola & Lorenzo Frattarolo & Antonio Paradiso, 2016. "Do we need a stochastic trend in cay estimation? Yes," Working Papers 2016:24, Department of Economics, University of Venice "Ca' Foscari".

  48. Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," NBER Working Papers 8173, National Bureau of Economic Research, Inc.

    Cited by:

    1. Colino, Evelyn V. & Cabrini, Silvina M. & Aulerich, Nicole M. & Brandenberger, Tracy L. & Merrin, Robert P. & Shi, Wei & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2006. "Advisory Service Marketing Profiles for Soybeans over 2002-2004," AgMAS Project Research Reports 37485, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    2. A. Harri & B. W. Brorsen, 2004. "Performance persistence and the source of returns for hedge funds," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 131-141.
    3. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
    4. Colino, Evelyn V. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2004. "Advisory Service Marketing Profiles for Corn in 2001," AgMAS Project Research Reports 37493, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    5. Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, Reading University, revised Sep 2001.
    6. Deetz, Marcus & Poddig, Thorsten & Varmaz, Armin, 2009. "Klassifizierung von Hedge-Fonds durch das k-means Clustering von Self-Organizing Maps: eine renditebasierte Analyse zur Selbsteinstufungsgüte und Stiländerungsproblematik
      [Classifying Hedge Funds u
      ," MPRA Paper 16939, University Library of Munich, Germany.
    7. Colino, Evelyn V. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Joao, Martines-Filho, 2004. "Advisory Service Marketing Profiles for Soybeans in 2001," AgMAS Project Research Reports 37507, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    8. Ribeiro, Mafalda & Santos, C. Machado, 2009. "Hedge funds strategies -are they consistent?," Working Papers 10/2009, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
    9. Roman Tancar & Jan Viebig, 2008. "Alternative beta applied—an introduction to hedge fund replication," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(3), pages 259-279, September.
    10. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
    11. Batts, Ryan M. & Brandenberger, Tracy L. & Irwin, Scott H. & Good, Darrel L., 2009. "Advisory Service Marketing Profiles for Soft Red Winter Wheat over 1995-2004," AgMAS Project Research Reports 183427, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    12. Batts, Ryan M. & Brandenberger, Tracy L. & Irwin, Scott H. & Good, Darrel L., 2009. "Advisory Service Marketing Profiles for Hard Red Winter Wheat over 1995-2004," AgMAS Project Research Reports 183428, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    13. Martines-Filho, Joao Gomes & Irwin, Scott H. & Good, Darrel L. & Cabrini, Silvina M. & Stark, Brian G. & Shi, Wei & Webber, Rick L. & Hagedorn, Lewis A. & Williams, Steven L., 2003. "Advisory Service Marketing Profiles For Soybeans Over 1995-2000," AgMAS Project Research Reports 14791, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    14. Freed, Marc S & McMillan, Ben, 2011. "Investible benchmarks & hedge fund liquidity," MPRA Paper 32226, University Library of Munich, Germany.
    15. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
    16. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
    17. Menzie D. Chinn & Hiro Ito, 2005. "What Matters for Financial Development? Capital Controls, Institutions, and Interactions," NBER Working Papers 11370, National Bureau of Economic Research, Inc.
    18. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    19. Martines-Filho, Joao Gomes & Irwin, Scott H. & Good, Darrel L. & Cabrini, Silvina M. & Stark, Brian G. & Shi, Wei & Webber, Rick L. & Hagedorn, Lewis A. & Williams, Steven L., 2003. "Advisory Service Marketing Profiles For Corn Over 1995-2000," AgMAS Project Research Reports 14776, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    20. Teo, Melvyn & Woo, Sung-Jun, 2004. "Style effects in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 74(2), pages 367-398, November.
    21. Ito, Hiro, 2006. "Financial development and financial liberalization in Asia: Thresholds, institutions and the sequence of liberalization," The North American Journal of Economics and Finance, Elsevier, vol. 17(3), pages 303-327, December.
    22. Sevinc Cukurova & Jose M. Marin, 2011. "On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection," Working Papers 2011-04, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    23. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    24. Brown, Stephen J., 2001. "Hedge funds: Omniscient or just plain wrong," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 301-311, August.
    25. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
    26. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 55-66.
    27. James O'Brien & Jeremy Berkowitz, 2005. "Estimating Bank Trading Risk: A Factor Model Approach," NBER Working Papers 11608, National Bureau of Economic Research, Inc.
    28. Colino, Evelyn V. & Cabrini, Silvina M. & Aulerich, Nicole M. & Brandenberger, Tracy L. & Merrin, Robert P. & Shi, Wei & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2006. "Advisory Service Marketing Profiles for Corn over 2002-2004," AgMAS Project Research Reports 37484, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    29. Cécile Moigne & Patrick Savaria, 2006. "Relative importance of hedge fund characteristics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 419-441, December.

  49. William N. Goetzmann & Andrey Ukhov, 2001. "China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization," Center for Financial Institutions Working Papers 01-30, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Eun, Cheol S. & Huang, Wei, 2007. "Asset pricing in China's domestic stock markets: Is there a logic?," Pacific-Basin Finance Journal, Elsevier, vol. 15(5), pages 452-480, November.

  50. William N. Goetzmann & Alok Kumar, 2001. "Equity Portfolio Diversification," NBER Working Papers 8686, National Bureau of Economic Research, Inc.

    Cited by:

    1. Guillaume Coqueret, 2015. "Diversified minimum-variance portfolios," Annals of Finance, Springer, vol. 11(2), pages 221-241, May.
    2. Abrahamson, Martin, 2016. "“Rookies to the stock market: A portrait of new shareholders”," Research in International Business and Finance, Elsevier, vol. 38(C), pages 565-576.
    3. Deaves, Richard & Lüders, Erik & Schröder, Michael, 2010. "The dynamics of overconfidence: Evidence from stock market forecasters," Journal of Economic Behavior & Organization, Elsevier, vol. 75(3), pages 402-412, September.
    4. Bailey, Warren & Kumar, Alok & Ng, David, 2010. "Behavioral Biases of Mutual Fund Investors," Working Papers 10-23, University of Pennsylvania, Wharton School, Weiss Center.
    5. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 255-271.
    6. Bryan Foltice & Thomas Langer, 2015. "Profitable momentum trading strategies for individual investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(2), pages 85-113, May.
    7. Guiso, Luigi & Sodini, Paolo, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
    8. Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013. "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3401-3411.
    9. Andreas Hackethal & Michael Haliassos & Tullio Jappelli, 2009. "Financial Advisors: A Case of Babysitters?," CSEF Working Papers 219, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 03 Mar 2011.
    10. Patterson, Fernando M. & Daigler, Robert T., 2014. "The abnormal psychology of investment performance," Review of Financial Economics, Elsevier, vol. 23(2), pages 55-63.
    11. Liu, Jingting, 2016. "Covered in Gold: Examining gold consumption by middle class consumers in emerging markets," International Business Review, Elsevier, vol. 25(3), pages 739-747.
    12. Duxbury, Darren & Hudson, Robert & Keasey, Kevin & Yang, Zhishu & Yao, Songyao, 2015. "Do the disposition and house money effects coexist? A reconciliation of two behavioral biases using individual investor-level data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 55-68.
    13. 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.
    14. Margarida Abreu & Victor Mendes, 2011. "Information, Overconfidence and Trading: Do the Sources of Information Matter?," Working Papers Department of Economics 2011/25, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
    15. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    16. Dimmock, Stephen G. & Kouwenberg, Roy & Mitchell, Olivia S. & Peijnenburg, Kim, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 119(3), pages 559-577.
    17. William N. Goetzmann & Massimo Massa, 2005. "Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias," Yale School of Management Working Papers ysm447, Yale School of Management.
    18. Kristjan Liivamägi, 2015. "Investor Education and Portfolio Diversification on the Stock Market," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(1).
    19. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.
    20. Hayette Gatfaoui, 2006. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Post-Print hal-00589918, HAL.
    21. Alok Kumar & Sonya Seongyeon Lim, 2008. "How Do Decision Frames Influence the Stock Investment Choices of Individual Investors?," Management Science, INFORMS, vol. 54(6), pages 1052-1064, June.
    22. Martijn Boermans & Robert Vermeulen, 2016. "International investment positions revisited: Investor heterogeneity and individual security characteristics," DNB Working Papers 531, Netherlands Central Bank, Research Department.
    23. Richard Ochmann, 2010. "Differential Income Taxation and Household Asset Allocation," Discussion Papers of DIW Berlin 1058, DIW Berlin, German Institute for Economic Research.
    24. Nofsinger, John R. & Varma, Abhishek, 2013. "Availability, recency, and sophistication in the repurchasing behavior of retail investors," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2572-2585.
    25. Giofré, Maela, 2015. "Financial Education, Investor Protection and International Portfolio Diversification," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201547, University of Turin.
    26. Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2014. "Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors," CREATES Research Papers 2014-45, Department of Economics and Business Economics, Aarhus University.
    27. Yunker, James A. & Melkumian, Alla A., 2010. "The effect of capital wealth on optimal diversification: Evidence from the Survey of Consumer Finances," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 90-98, February.
    28. Jacobs, Heiko & Müller, Sebastian & Weber, Martin, 2014. "How should individual investors diversify? An empirical evaluation of alternative asset allocation policies," Journal of Financial Markets, Elsevier, vol. 19(C), pages 62-85.
    29. Kremena Bachmann & Thorsten Hens, 2016. "Is there Swissness in investment decision behavior and investment competence?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 233-275, August.
    30. Brugiavini, Agar & Cavapozzi, Danilo & Padula, Mario & Pettinicchi, Yuri, 2015. "Financial education, literacy and investment attitudes," SAFE Working Paper Series 86, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    31. Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016. "Characteristics-based portfolio choice with leverage constraints," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 23-37.
    32. Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A., 2012. "Institutional ownership, analyst following, and share prices," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2175-2189.
    33. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
    34. Jose Faias & Miguel Ferreira & Pedro Santa-Clara & Pedro Matos, 2011. "Does Institutional Ownership Matter for International Stock Return Comovement?," EcoMod2011 3038, EcoMod.
    35. Hueng, C. James & Yau, Ruey, 2013. "Country-specific idiosyncratic risk and global equity index returns," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 326-337.
    36. Campanale, Claudio, 2009. "Life-cycle portfolio choice: The role of heterogeneous under-diversification," Journal of Economic Dynamics and Control, Elsevier, vol. 33(9), pages 1682-1698, September.
    37. Camille Magron & Maxime Merli, 2012. "Stocks repurchase and sophistication of individual investors," Working Papers of LaRGE Research Center 2012-02, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    38. Hiraki, Takato & Liu, Ming & Wang, Xue, 2015. "Country and industry concentration and the performance of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 297-310.
    39. Barbara Pfeffer, 2006. "Trade Policy and Risk Diversification," Volkswirtschaftliche Diskussionsbeiträge 126-06, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
    40. Nellie Liang & Scott Weisbenner, 2002. "Investor Behavior and the Purchase of Company Stock in 401(k) Plans - The Importance of Plan Design," NBER Working Papers 9131, National Bureau of Economic Research, Inc.
    41. Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," ZEW Discussion Papers 15-029, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    42. Wang, Li-Hsun & Lin, Chu-Hsiung & Kang, Jui-Heng & Fung, Hung-Gay, 2016. "Idiosyncratic volatility and excess Return: Evidence from the Greater China region," Finance Research Letters, Elsevier, vol. 19(C), pages 126-129.
    43. Hoechle, Daniel & Ruenzi, Stefan & Schaub, Nic & Schmid, Markus, 2014. "The Impact of Financial Advice on Trade Performance and Behavioral Biases," Working Papers on Finance 1419, University of St. Gallen, School of Finance, revised Dec 2015.
    44. Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2006. "Théorie comportementale du portefeuille. Intérêt et limites," Revue économique, Presses de Sciences-Po, vol. 57(2), pages 297-314.
    45. Ding, David K. & Ferreira, Christo & Wongchoti, Udomsak, 2016. "Does it pay to be different? Relative CSR and its impact on firm value," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 86-98.
    46. Abreu, Margarida & Mendes, Victor & Santos, João A.C., 2011. "Home country bias: Does domestic experience help investors enter foreign markets?," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2330-2340, September.
    47. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
    48. Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2016. "Taming models of prospect theory in the Wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    49. Ivković, Zoran & Sialm, Clemens & Weisbenner, Scott, 2008. "Portfolio Concentration and the Performance of Individual Investors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(03), pages 613-655, September.
    50. Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2013. "Is local bias a cross-border phenomenon? Evidence from individual investors’ international asset allocation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2823-2835.
    51. Jubinski, Daniel & Tomljanovich, Marc, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, Elsevier, vol. 22(3), pages 86-97.
    52. Shaneera Boolell-Gunesh, 2008. "Un portrait de l?investisseur individuel français," Working Papers of LaRGE Research Center 2008-12, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    53. Mara Faccio & Maria-Teresa Marchica & Roberto Mura, 2010. "Large Shareholder Diversification And Corporate Risk- Taking," Purdue University Economics Working Papers 1241, Purdue University, Department of Economics.
    54. Campbell, Rachel A. & Kraussl, Roman, 2007. "Revisiting the home bias puzzle: Downside equity risk," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1239-1260, November.
    55. Hoffmann, Arvid O.I. & Post, Thomas & Pennings, Joost M.E., 2013. "Individual investor perceptions and behavior during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 60-74.
    56. William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias," Yale School of Management Working Papers ysm14, Yale School of Management.
    57. Ahmed Ibrahim Mokhtar, 2016. "An Empirical Examination of the Behavioral CAPM," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 5(3), pages 1-2.
    58. Kim, Heeho & Cho, Seong-Hoon & Kim, Yongku, 2015. "Home bias, risk differential, and cultural spatial spillover effects," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 114-136.
    59. ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt, 2012. "Are extreme returns priced in the stock market? European evidence," Working Papers 2012018, University of Antwerp, Faculty of Applied Economics.
    60. Bodnaruk, Andriy & Ostberg, Per, 2009. "Does investor recognition predict returns?," Journal of Financial Economics, Elsevier, vol. 91(2), pages 208-226, February.
    61. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.
    62. Thomas Stöckl & Jürgen Huber & Michael Kirchler & Florian Lindner, 2013. "Hot Hand and Gambler's Fallacy in Teams: Evidence from Investment Experiments," Working Papers 2013-04, Faculty of Economics and Statistics, University of Innsbruck.
    63. Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2009. "Measuring the Financial Sophistication of Households," NBER Working Papers 14699, National Bureau of Economic Research, Inc.
    64. Kukacka, Jiri & Barunik, Jozef, 2013. "Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5920-5938.
    65. Scott Weisbenner & Zoran Ivkovich, 2003. "Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments," NBER Working Papers 9685, National Bureau of Economic Research, Inc.
    66. Barasinska, Nataliya & Schäfer, Dorothea & Stephan, Andreas, 2012. "Individual risk attitudes and the composition of financial portfolios: Evidence from German household portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 1-14.
    67. Magron, Camille & Merli, Maxime, 2015. "Repurchase behavior of individual investors, sophistication and regret," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 15-26.
    68. Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
    69. Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, vol. 109(3), pages 775-796.
    70. Laibson, David I. & Madrian, Brigitte C. & Choi, James J., 2009. "Mental Accounting in Portfolio Choice: Evidence from a Flypaper Effect," Scholarly Articles 4686774, Harvard University Department of Economics.
    71. Xie, Jun & Yang, Chunpeng, 2013. "Shouldn't all eggs be putted in one basket? A portfolio model based on investor sentiment and inertial thinking," Economic Modelling, Elsevier, vol. 35(C), pages 682-688.
    72. Atif HUSSAIN* & Tahir SAEED*, 2016. "Cointegration of Stock Market Returns: A Case of Asian Countries," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 26(2), pages 153-181.
    73. Reza Bradrania, M. & Peat, Maurice & Satchell, Stephen, 2015. "Liquidity costs, idiosyncratic volatility and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 394-406.
    74. Hung, Mao-Wei & Liu, Yu-Jane & Tsai, Chia-Fen, 2012. "Managerial personal diversification and portfolio equity incentives," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 38-64.
    75. Rydqvist, Kristian & Spizman, Joshua & Strebulaev, Ilya, 2014. "Government policy and ownership of equity securities," Journal of Financial Economics, Elsevier, vol. 111(1), pages 70-85.
    76. Adam Zaremba, 2016. "Is there a low-risk anomaly across countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(1), pages 45-65, April.
    77. Merkle, Christoph & Weber, Martin, 2014. "Do investors put their money where their mouth is? Stock market expectations and investing behavior," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 372-386.
    78. Davies, James B. & Yu, Xiaoyu, 2013. "Impacts of Cyclical Downturns on the Third Pillar of the RIS and Policy Responses," CLSSRN working papers clsrn_admin-2013-20, Vancouver School of Economics, revised 29 Apr 2013.
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    81. De Paola, Maria & Gioia, Francesca & Scoppa, Vincenzo, 2014. "Overconfidence, omens and gender heterogeneity: Results from a field experiment," Journal of Economic Psychology, Elsevier, vol. 45(C), pages 237-252.
    82. Nguyen, Nhut H. & Truong, Cameron, 2013. "The information content of stock markets around the world: A cultural explanation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 1-29.
    83. Hoffmann, Arvid O.I. & Shefrin, Hersh, 2014. "Technical analysis and individual investors," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 487-511.
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    87. Izhakian, Yehuda, 2017. "Expected utility with uncertain probabilities theory," Journal of Mathematical Economics, Elsevier, vol. 69(C), pages 91-103.
    88. Sandra, Kendo, 2016. "Do microfinance lenders easily reach an optimal welfare?," MPRA Paper 70229, University Library of Munich, Germany.
    89. Camille Magron, 2012. "Performance of individual investors and personal investment objectives," Working Papers of LaRGE Research Center 2012-07, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    90. Sami Gharbi & Jean-Michel Sahut & Frédéric Teulon, 2014. "Research & Development And Volatility Of Equity Returns In The French Market," Working Papers 2014-120, Department of Research, Ipag Business School.
    91. de Dreu, Jan & Bikker, Jacob A., 2012. "Investor sophistication and risk taking," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2145-2156.
    92. 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.
    93. Hirshleifer, David, 2014. "Behavioral Finance," MPRA Paper 59028, University Library of Munich, Germany.
    94. Ruben Cox & Dirk Brounen & Peter Neuteboom, 2015. "Financial Literacy, Risk Aversion and Choice of Mortgage Type by Households," The Journal of Real Estate Finance and Economics, Springer, vol. 50(1), pages 74-112, January.
    95. J. Nellie Liang & Scott Weisbenner, 2002. "Investor behavior and the purchase of company stock in 401(k) plans - the importance of plan design," Finance and Economics Discussion Series 2002-36, Board of Governors of the Federal Reserve System (U.S.).
    96. Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2011. "Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors," Discussion Paper Series 1: Economic Studies 2011,23, Deutsche Bundesbank, Research Centre.
    97. Scholnick, Barry & Massoud, Nadia & Saunders, Anthony, 2013. "The impact of wealth on financial mistakes: Evidence from credit card non-payment," Journal of Financial Stability, Elsevier, vol. 9(1), pages 26-37.
    98. Odegaard, Bernt Arne, 2017. "Is Household Diversification Increasing in Wealth? Norwegian Evidence," UiS Working Papers in Economics and Finance 2017/7, University of Stavanger.
    99. Karagiannidis, Iordanis & Vozlyublennaia, Nadia, 2016. "Limits to mutual funds' ability to rely on mean/variance optimization," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 282-292.
    100. Barber, Brad M. & Odean, Terrance & Zhu, Ning, 2009. "Systematic noise," Journal of Financial Markets, Elsevier, vol. 12(4), pages 547-569, November.
    101. Bailey, Warren & Kumar, Alok & Ng, David, 2011. "Behavioral biases of mutual fund investors," Journal of Financial Economics, Elsevier, vol. 102(1), pages 1-27, October.
    102. Kick, Thomas & Ruprecht, Benedikt & Onali, Enrico & Schaeck, Klaus, 2014. "Wealth shocks, credit-supply shocks, and asset allocation: Evidence from household and firm portfolios," Discussion Papers 07/2014, Deutsche Bundesbank, Research Centre.
    103. William N. Goetzmann & Massimo Massa & Andrei Simonov, 2004. "Portfolio Diversification and City Agglomeration," NBER Working Papers 10343, National Bureau of Economic Research, Inc.
    104. Grinblatt, Mark & Keloharju, Matti & Linnainmaa, Juhani T., 2012. "IQ, trading behavior, and performance," Journal of Financial Economics, Elsevier, vol. 104(2), pages 339-362.
    105. Robert F. Stambaugh, 2014. "Investment Noise and Trends," NBER Working Papers 20072, National Bureau of Economic Research, Inc.
    106. Langnickel, Ferdinand & Zeisberger, Stefan, 2016. "Do we measure overconfidence? A closer look at the interval production task," Journal of Economic Behavior & Organization, Elsevier, vol. 128(C), pages 121-133.
    107. Lan, Wei & Wang, Hansheng & Tsai, Chih-Ling, 2012. "A Bayesian information criterion for portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 88-99, January.
    108. Baghestanian, Sascha & Gortner, Paul J. & van der Weele, Joël J., 2014. "Peer effects and risk sharing in experimental asset markets," SAFE Working Paper Series 67, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    109. Giofré, Maela, 2013. "International diversification: Households versus institutional investors," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 145-176.
    110. Barber, Brad M. & Odean, Terrance, 2013. "The Behavior of Individual Investors," Handbook of the Economics of Finance, Elsevier.
    111. García-Kuhnert, Yamileh & Marchica, Maria-Teresa & Mura, Roberto, 2015. "Shareholder diversification and bank risk-taking," Journal of Financial Intermediation, Elsevier, vol. 24(4), pages 602-635.
    112. Desmoulins-Lebeault, François & Kharoubi-Rakotomalala, Cécile, 2012. "Non-Gaussian diversification: When size matters," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1987-1996.
    113. Fang, Jieyan & Ruenzi, Stefan, 2009. "Rapid Trading bei deutschen Aktienfonds: Evidenz aus einer großen deutschen Fondsgesellschaft," CFR Working Papers 09-04, University of Cologne, Centre for Financial Research (CFR).
    114. Aboulamer, Anas & Kryzanowski, Lawrence, 2016. "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 20-36.

  51. Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.

    Cited by:

    1. Doukas, John A. & Kim, Chansog & Pantzalis, Christos, 2006. "Divergence of opinion and equity returns under different states of earnings expectations," Journal of Financial Markets, Elsevier, vol. 9(3), pages 310-331, August.

  52. William N. Goetzmann & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2001. "High-Water Marks and Hedge Fund Management Contracts," Yale School of Management Working Papers ysm186, Yale School of Management.

    Cited by:

    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. Ganglmair, Bernhard & Holcomb, Alex & Myung, Noah, 2016. "Cutthroats or comrades: Information sharing among competing fund managers," MPRA Paper 71506, University Library of Munich, Germany.
    3. Ewald, Christian-Oliver & Zhang, Hai, 2016. "Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 45-59.
    4. Alex Shapiro & Suleyman Basak & Anna Pavlova, 2004. "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," Econometric Society 2004 North American Winter Meetings 583, Econometric Society.
    5. Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 166-178.
    6. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
    7. Chen, Li-Wen & Chen, Fan, 2009. "Does concurrent management of mutual and hedge funds create conflicts of interest?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1423-1433, August.
    8. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, vol. 110(2), pages 300-323.
    9. Lionel Martellini & Branko Uroševi\'{c}, 2006. "Static Mean-Variance Analysis with Uncertain Time Horizon," Management Science, INFORMS, vol. 52(6), pages 955-964, June.
    10. Holmén, Martin & Kirchler, Michael & Kleinlercher, Daniel, 2012. "Do Option-like Incentives Induce Overvaluation? Evidence from Experimental Asset Markets," Working Papers in Economics 540, University of Gothenburg, Department of Economics, revised 21 Nov 2012.
    11. Dandan Song & Jinqiang Yang & Zhaojun Yang, 2013. "High-Water Marks and Hedge Fund Management Contracts with Partial Information," Computational Economics, Springer;Society for Computational Economics, vol. 42(3), pages 327-350, October.
    12. Jonathan Wiley, 2014. "Illiquidity Risk in Non-Listed Funds: Evidence from REIT Fund Exits and Redemption Suspensions," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 205-236, August.
    13. Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 883-891, May.
    14. Ming Fang & Rui Zhong, 2004. "Default Risk, Firm's Characteristics, and Risk Shifting," Yale School of Management Working Papers amz2461, Yale School of Management, revised 01 Mar 2005.
    15. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
    16. Aggarwal, Rajesh K. & Jorion, Philippe, 2010. "The performance of emerging hedge funds and managers," Journal of Financial Economics, Elsevier, vol. 96(2), pages 238-256, May.
    17. Horst, Jenke ter & Salganik, Galla, 2014. "Style chasing by hedge fund investors," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 29-42.
    18. Zhaojun Yang & Chunhong Zhang, 2015. "The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 371-392, November.
    19. Michael Kirchler & Florian Lindner & Utz Weitzel, 2016. "Rankings and Risk-Taking in the Finance Industry," Working Papers 2016-02, Faculty of Economics and Statistics, University of Innsbruck, revised Feb 2017.
    20. Dirk Broeders & Arco van Oord & David Rijsbergen, 2015. "Scale economies in pension fund investments: A dissection of investment costs across asset classes," DNB Working Papers 474, Netherlands Central Bank, Research Department.
    21. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, 04.
    22. Morten Sorensen & Neng Wang & Jinqiang Yang, 2013. "Valuing Private Equity," NBER Working Papers 19612, National Bureau of Economic Research, Inc.
    23. Bryant, Lonnie L. & Liu, Hao-Chen, 2011. "Mutual fund industry management structure, risk and the impacts to shareholders," Global Finance Journal, Elsevier, vol. 22(2), pages 101-115.
    24. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression approach," Working Papers. Serie EC 2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    25. G. Elaut & M. Frömmel & J. Sjödin, 2014. "Crystallization – the Hidden Dimension of Hedge Funds' Fee Structure," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/872, Ghent University, Faculty of Economics and Business Administration.
    26. Aiken, Adam L. & Clifford, Christopher P. & Ellis, Jesse A., 2015. "Hedge funds and discretionary liquidity restrictions," Journal of Financial Economics, Elsevier, vol. 116(1), pages 197-218.
    27. Julián David García-Pulgarín & Javier Gómez-Restrepo & Daniel Vela-Barón, 2015. "An Asset Allocation Framework with Tranches for Foreign Reserves," Borradores de Economia 899, Banco de la Republica de Colombia.
    28. Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," CEPR Discussion Papers 10234, C.E.P.R. Discussion Papers.
    29. Matti Suominen & Petri Jylhä, 2009. "Arbitrage Capital and Currency Carry Trade Returns," 2009 Meeting Papers 84, Society for Economic Dynamics.
    30. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2016. "Scale economies in pension fund investments: A dissection of investment costs across asset classes," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 147-171.
    31. Baquero, G. & Verbeek, M.J.C.M., 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," ERIM Report Series Research in Management ERS-2005-068-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    32. Cuoco, Domenico & Kaniel, Ron, 2009. "Equilibrium Prices in the Presence of Delegated Portfolio Management," CEPR Discussion Papers 7453, C.E.P.R. Discussion Papers.
    33. Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
    34. Fung, William & Hsieh, David A., 2011. "The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 547-569, September.
    35. Kleinlercher, Daniel & Huber, Jürgen & Kirchler, Michael, 2014. "The impact of different incentive schemes on asset prices," European Economic Review, Elsevier, vol. 68(C), pages 137-150.
    36. Clemens Sialm & Zheng Sun & Lu Zheng, 2013. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," NBER Working Papers 19570, National Bureau of Economic Research, Inc.
    37. Annalisa Fabretti & Tommy Gärling & Stefano Herzel & Martin Holmen, 2015. "Convex Incentives in Financial Markets: an Agent-Based Analysis," CEIS Research Paper 337, Tor Vergata University, CEIS, revised 08 Apr 2015.
    38. Kolokolova, Olga, 2011. "Strategic behavior within families of hedge funds," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1645-1662, July.
    39. Loyola, Gino & Portilla, Yolanda, 2014. "Reward for failure and executive compensation in institutional investors," Finance Research Letters, Elsevier, vol. 11(4), pages 349-361.
    40. Patton, Andrew J & Ramadorai, Tarun, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
    41. Kouwenberg, Roy & Ziemba, William T., 2007. "Incentives and risk taking in hedge funds," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3291-3310, November.
    42. Huberman, Gur, 2007. "Is the Price of Money Managers Too Low?," CEPR Discussion Papers 6531, C.E.P.R. Discussion Papers.
    43. Yang, Zhaojun & Zhang, Hai, 2013. "Optimal capital structure with an equity-for-guarantee swap," Economics Letters, Elsevier, vol. 118(2), pages 355-359.
    44. Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Role of managerial incentives and discretion in hedge fund performance," CFR Working Papers 04-04, University of Cologne, Centre for Financial Research (CFR).
    45. Karlis, Alexandros & Galanis, Giorgos & Terovitis, Spyridon & Turner, Matthew, 2015. "Heterogeneity and Clustering of Defaults," The Warwick Economics Research Paper Series (TWERPS) 1083, University of Warwick, Department of Economics.
    46. Liljeblom, Eva & Pasternack, Daniel & Rosenberg, Matts, 2011. "What determines stock option contract design?," Journal of Financial Economics, Elsevier, vol. 102(2), pages 293-316.
    47. Hong, Xin, 2014. "The dynamics of hedge fund share restrictions," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 82-99.
    48. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
    49. Castaneda, Pablo, 2005. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," MPRA Paper 3346, University Library of Munich, Germany, revised 30 Dec 2006.
    50. Gino Loyola & Yolanda Portilla, 2010. "Esquemas de Incentivos y Carteras de Inversión Innovadoras," Estudios de Economia, University of Chile, Department of Economics, vol. 37(1 Year 20), pages 43-66, June.
    51. Julián David García-Pulgarín & Javier Gómez-Restrepo & Daniel Vela-Barón, 2015. "An Asset Allocation Framework with Tranches for Foreign Reserves," BORRADORES DE ECONOMIA 013440, BANCO DE LA REPÚBLICA.
    52. Wolfgang Bessler & Wolfgang Drobetz & Jacqueline Henn Overbeck, 2005. "Hedge Funds: Die ,,Königsdisziplin" der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.
    53. Jacqueline Henn Overbeck & Iwan Meier, 2005. "Performance Analysis of Hedge Fonds," Working papers 2005/06, Faculty of Business and Economics - University of Basel.
    54. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    55. Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
    56. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance 1508, University of St. Gallen, School of Finance.
    57. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Centre de Recherche en Economie et Statistique.
    58. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
    59. Moritz Duembgen & L. C. G. Rogers, 2014. "Investing and Stopping," Papers 1403.0202, arXiv.org.
    60. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail risk in hedge funds: A unique view from portfolio holdings," CFR Working Papers 15-07, University of Cologne, Centre for Financial Research (CFR).
    61. Cumming, Douglas & Dai, Na & Johan, Sofia, 2015. "Are hedge funds registered in Delaware different?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 232-246.
    62. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
    63. Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013. "Stochastic modeling and fair valuation of drawdown insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 840-850.
    64. Marina Agranov & Alberto Bisin & Andrew Schotter, 2014. "An experimental study of the impact of competition for Other People’s Money: the portfolio manager market," Experimental Economics, Springer;Economic Science Association, vol. 17(4), pages 564-585, December.

  53. William N. Goetzmann & Liang Peng, 2001. "The Bias of the RSR Estimator and the Accuracy of Some Alternatives," NBER Technical Working Papers 0270, National Bureau of Economic Research, Inc.

    Cited by:

    1. Liang Peng, 2012. "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 804-827, October.
    2. Roman Kraussl & Arthur Korteweg & Patrick Verwijmeren, 2013. "Does it Pay to Invest in Art? A Selection-corrected Returns Perspective," LSF Research Working Paper Series 13-7, Luxembourg School of Finance, University of Luxembourg.
    3. Jianping Mei & Michael Moses, 2002. "Art as an Investment and the Underperformance of Masterpieces," American Economic Review, American Economic Association, vol. 92(5), pages 1656-1668, December.
    4. Victor Ginsburgh & Jianping Mei & Michael Moses, 2006. "On the computation of art indices in art," ULB Institutional Repository 2013/7290, ULB -- Universite Libre de Bruxelles.
    5. Erdős, Péter & Ormos, Mihály, 2012. "Pricing of collectibles: Baedeker guidebooks," Economic Modelling, Elsevier, vol. 29(5), pages 1968-1978.
    6. Kathryn Graddy & Jonathan Hamilton & Rachel Pownall, 2012. "Repeat‐Sales Indexes: Estimation without Assuming that Errors in Asset Returns Are Independently Distributed," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 131-166, 03.
    7. Rainer Schulz & Martin Wersing & Axel Werwatz, 2014. "Automated valuation modelling: a specification exercise," Journal of Property Research, Taylor & Francis Journals, vol. 31(2), pages 131-153, June.
    8. James Bugden, 2013. "Renovations and the Repeat-Sales House Price Index," Working Papers 2013.08, School of Economics, La Trobe University.
    9. Erdos, Péter & Ormos, Mihály, 2010. "Random walk theory and the weak-form efficiency of the US art auction prices," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1062-1076, May.
    10. James Pesando & Pauline Shum, 2007. "The law of one price, noise and “irrational exuberance”: the auction market for Picasso prints," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 31(4), pages 263-277, December.
    11. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2014. "Matching indices for thinly-traded commercial real estate in Singapore," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 86-98.

  54. William Goetzmann & Zoran Ivkovich & K. Rouwenhorst, 2000. "Day Trading International Mutual Funds: Evidence And Policy Solutions," Yale School of Management Working Papers ysm138, Yale School of Management, revised 01 Jun 2001.

    Cited by:

    1. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2007. "Improved Forecasting of Mutual Fund Alphas and Betas," Review of Finance, European Finance Association, vol. 11(3), pages 359-400.
    2. Eric Zitzewitz, 2006. "How Widespread Was Late Trading in Mutual Funds?," American Economic Review, American Economic Association, vol. 96(2), pages 284-289, May.
    3. Qian, Meijun, 2011. "Is "voting with your feet" an effective mutual fund governance mechanism?," Journal of Corporate Finance, Elsevier, vol. 17(1), pages 45-61, February.
    4. Nanda, Vikram K. & Wang, Z. Jay & Zheng, Lu, 2009. "The ABCs of mutual funds: On the introduction of multiple share classes," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 329-361, July.
    5. Chong, Terence Tai-Leung & Wong, Ying-Chiu & Yan, Isabel Kit-Ming, 2008. "International linkages of the Japanese stock market," Japan and the World Economy, Elsevier, vol. 20(4), pages 601-621, December.
    6. Delcoure, Natalya & Zhong, Maosen, 2007. "On the premiums of iShares," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 168-195, March.
    7. Eric Zitzewitz, 2003. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Journal of Law, Economics and Organization, Oxford University Press, vol. 19(2), pages 245-280, October.
    8. James J. Choi & David Laibson & Andrew Metrick, 2000. "Does the Internet Increase Trading? Evidence from Investor Behavior in 401(k) Plans," NBER Working Papers 7878, National Bureau of Economic Research, Inc.
    9. Cici, Gjergji & Gibson, Scott & Merrick Jr., John J., 2011. "Missing the marks? Dispersion in corporate bond valuations across mutual funds," Journal of Financial Economics, Elsevier, vol. 101(1), pages 206-226, July.
    10. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc.
    11. Cici, Gjergji & Gibson, Scott & Moussawi, Rabih, 2010. "Mutual fund performance when parent firms simultaneously manage hedge funds," Journal of Financial Intermediation, Elsevier, vol. 19(2), pages 169-187, April.
    12. Martijn Cremers & Antti Petajisto & Eric Zitzewitz, 2012. "Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation," NBER Working Papers 18050, National Bureau of Economic Research, Inc.
    13. Susan E. K. Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "Do Shareholders' Preferences Affect their Funds' Management? Evidence from the Cross Section of Shareholders and Funds," CIRANO Working Papers 2004s-22, CIRANO.
    14. Tsai, Pei-Jung, 2009. "International equity flows and country funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 862-894, December.
    15. Greene, Jason T. & Hodges, Charles W., 2002. "The dilution impact of daily fund flows on open-end mutual funds," Journal of Financial Economics, Elsevier, vol. 65(1), pages 131-158, July.
    16. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    17. Christoffersen, Susan E.K. & Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2005. "Crossborder dividend taxation and the preferences of taxable and nontaxable investors: Evidence from Canada," Journal of Financial Economics, Elsevier, vol. 78(1), pages 121-144, October.
    18. Dubofsky, David A., 2010. "Mutual fund portfolio trading and investor flow," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 802-812, April.
    19. Martijn Cremers & Antti Petajisto, 2006. "How Active is Your Fund Manager? A New Measure That Predicts Performance," Yale School of Management Working Papers amz2370, Yale School of Management, revised 01 May 2009.
    20. Jay R. Ritter, 2008. "Forensic Finance," Journal of Economic Perspectives, American Economic Association, vol. 22(3), pages 127-147, Summer.
    21. Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005. "Mutual Fund Performance: Skill Or Luck?," Money Macro and Finance (MMF) Research Group Conference 2005 4, Money Macro and Finance Research Group.
    22. Tsai, Pei-Jung, 2010. "Country funds and the role of international equity flows in pricing and in premiums and discounts," Global Finance Journal, Elsevier, vol. 21(1), pages 43-70.
    23. Chua, Choong Tze & Lai, Sandy & Wu, Yangru, 2008. "Effective fair pricing of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2307-2324, November.
    24. Martijn Cremers & Antti Petajisto & Eric Zitzewitz, 2008. "Should Benchmark Indices Have Alpha? Revisiting Performance," Yale School of Management Working Papers amz2452, Yale School of Management, revised 26 Jan 2010.
    25. Patrick E. McCabe, 2009. "The economics of the mutual fund trading scandal," Finance and Economics Discussion Series 2009-06, Board of Governors of the Federal Reserve System (U.S.).
    26. Arturo Bris & Huseyin Gulen & Padmaja Kadiyala & Raghavendra Rau, 2005. "Good Stewards, Cheap Talkers, or Family Men? The Impact of Mutual Fund Closures on Fund Managers, Flows, Fees, and Performance," Yale School of Management Working Papers amz2658, Yale School of Management, revised 01 Sep 2006.
    27. Greene, Jason T. & Hodges, Charles W. & Rakowski, David A., 2007. "Daily mutual fund flows and redemption policies," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3822-3842, December.

  55. Bradford Case & William N. Goetzmann & K. Geert Rouwenhorst, 2000. "Global Real Estate Markets - Cycles and Fundamentals," NBER Working Papers 7566, National Bureau of Economic Research, Inc.

    Cited by:

    1. Gunther Maier & Shanaka Herath, 2009. "Real Estate Market Efficiency: A Survey of Literature," SRE-Disc sre-disc-2009_07, Institute for Multilevel Governance and Development, Department of Socioeconomics, Vienna University of Economics and Business.
    2. Ivo Wit, 2010. "International Diversification Strategies for Direct Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 41(4), pages 433-457, November.
    3. Holly, Sean & Hashem Pesaran, M. & Yamagata, Takashi, 2011. "The spatial and temporal diffusion of house prices in the UK," Journal of Urban Economics, Elsevier, vol. 69(1), pages 2-23, January.
    4. Patrick J. Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets," ERES eres2002_140, European Real Estate Society (ERES).
    5. Aizenman, Joshua & Jinjarak, Yothin, 2009. "Current account patterns and national real estate markets," Journal of Urban Economics, Elsevier, vol. 66(2), pages 75-89, September.
    6. Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
    7. Holly, S. & Pesaran, M.H. & Yamagata, T., 2009. "Spatial and Temporal Diffusion of House Prices in the UK," Cambridge Working Papers in Economics 0952, Faculty of Economics, University of Cambridge.
    8. Olszewski, Krzysztof, 2012. "The impact of commercial real estate on the financial sector, its tracking by central banks and some recommendations for the macro-financial stability policy of central banks," MPRA Paper 41059, University Library of Munich, Germany.
    9. Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.
    10. Neal Maroney & Atsuyuki Naka, 2006. "Diversification Benefits of Japanese Real Estate Over the Last Four Decades," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 259-274, November.
    11. Patrick Wilson & Ralf Zurbruegg, 2003. "Trends and Spectral Response: An Examination of the US Realty Market," Centre for International Economic Studies Working Papers 2003-15, University of Adelaide, Centre for International Economic Studies.
    12. Haibin Zhu, 2005. "The importance of property markets for monetary policy and financial stability," BIS Papers chapters, in: Bank for International Settlements (ed.), Real estate indicators and financial stability, volume 21, pages 9-29 Bank for International Settlements.
    13. Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2000. "The Causal Relationship between Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 251-261, November.
    14. Robert T. Kleiman & James E. Payne & Anandi P. Sahu, 2002. "Random Walks and Market Efficiency: Evidence from International Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 279-298.
    15. Renneboog, L.D.R. & Spaenjers, C., 2014. "Investment Returns and Economic Fundamentals in International Art Markets," Discussion Paper 2014-018, Tilburg University, Center for Economic Research.
    16. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411.
    17. N. Kundan Kishor & Hardik A. Marfatia, 2017. "The Dynamic Relationship Between Housing Prices and the Macroeconomy: Evidence from OECD Countries," The Journal of Real Estate Finance and Economics, Springer, vol. 54(2), pages 237-268, February.
    18. John Okunev & Patrick J. Wilson, 2008. "Predictability of Equity REIT Returns: Implications for Property Tactical Asset Allocation," International Real Estate Review, Asian Real Estate Society, vol. 11(2), pages 32-46.
    19. Plazzi, Alberto & Torous, Walt & Valkanov, Rossen, 2004. "13-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate," University of California at Los Angeles, Anderson Graduate School of Management qt8c68m5tk, Anderson Graduate School of Management, UCLA.
    20. Jinjarak, Yothin & Sheffrin, Steven M., 2011. "Causality, real estate prices, and the current account," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 233-246, June.
    21. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August.
    22. Shaukat, Mughees, 2010. "The Benefits and Importance of Commercial Real Estate," MPRA Paper 28268, University Library of Munich, Germany.
    23. Krzysztof Olszewski, 2013. "The Commercial Real Estate Market, Central Bank Monitoring and Macroprudential Policy," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 5(2), pages 213-250, December.
    24. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
    25. Iacoviello, Matteo & Minetti, Raoul, 2006. "International business cycles with domestic and foreign lenders," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 2267-2282, November.
    26. Diego A. Salzman & Remco C.J. Zwinkels, 2013. "Behavioural Real Estate," Tinbergen Institute Discussion Papers 13-088/IV/DSF58, Tinbergen Institute.
    27. Anupam Nanda & Jia-Huey Yeh, 2016. "International Transmission Mechanisms and Contagion in Housing Markets," The World Economy, Wiley Blackwell, vol. 39(7), pages 1005-1024, 07.

  56. William Goetzmann & Matthew Spiegel, 2000. "The Policy Implications of Portfolio Choice in Underserved Mortgage Markets," Yale School of Management Working Papers ysm161, Yale School of Management, revised 01 Mar 2001.

    Cited by:

    1. Mitchell, Olivia S. & Piggott, John, 2004. "Unlocking housing equity in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 18(4), pages 466-505, December.
    2. Cho, Sang-Wook (Stanley), 2010. "Household wealth accumulation and portfolio choices in Korea," Journal of Housing Economics, Elsevier, vol. 19(1), pages 13-25, March.
    3. Luengo Prado, Maria José & Díaz, Antonia, 2006. "On the user cost and homeownership," UC3M Working papers. Economics we065421, Universidad Carlos III de Madrid. Departamento de Economía.
    4. Wenli Li & Rui Yao, 2005. "The life-cycle effects of house price changes," Working Papers 05-7, Federal Reserve Bank of Philadelphia.
    5. Yoshida, Jiro, 2007. "Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium," MPRA Paper 6271, University Library of Munich, Germany.
    6. Claudio Campanale, 2005. "Increasing Returns To Savings And Wealth Inequality," Working Papers. Serie AD 2005-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    7. Cho, Sang-Wook (Stanley), 2012. "Accounting For Life-Cycle Wealth Accumulation: The Role Of Housing Institution," Macroeconomic Dynamics, Cambridge University Press, vol. 16(04), pages 493-517, September.
    8. Wenli Li & Fang Yang, 2010. "American dream or American obsession? The economic benefits and costs of homeownership," Business Review, Federal Reserve Bank of Philadelphia, issue Q3, pages 20-30.

  57. William N. Goetzmann & Massimo Massa & K. Geert Rouwenhorst, 2000. "Behavioral Factors in Mutual Fund Flows," Yale School of Management Working Papers ysm135, Yale School of Management.

    Cited by:

    1. Jessica Tjornhom Donohue & Kenneth A. Froot, 2002. "The Persistence of Emerging Market Equity Flows," NBER Working Papers 9241, National Bureau of Economic Research, Inc.
    2. Froot, Kenneth A. & Donohue, Jessica Tjornhom, 2004. "Decomposing the persistence of international equity flows," Finance Research Letters, Elsevier, vol. 1(3), pages 154-170, September.
    3. Barberis, Nicholas & Shleifer, Andrei, 2003. "Style investing," Journal of Financial Economics, Elsevier, vol. 68(2), pages 161-199, May.
    4. Takeshi Yamaguchi & Olivia Mitchell & Gary Mottola & Steven Utkus, 2007. "Winners and Losers: 401(k) Trading and Portfolio Performance," Working Papers wp154, University of Michigan, Michigan Retirement Research Center.
    5. Mihaly Ormos & Dusan Timotity, 2015. "Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling," Papers 1512.01806, arXiv.org.
    6. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc.
    7. Eric Zitzewitz, 2003. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Journal of Law, Economics and Organization, Oxford University Press, vol. 19(2), pages 245-280, October.
    8. James J. Choi & David Laibson & Andrew Metrick, 2000. "Does the Internet Increase Trading? Evidence from Investor Behavior in 401(k) Plans," NBER Working Papers 7878, National Bureau of Economic Research, Inc.
    9. Choi, James J. & Laibson, David & Metrick, Andrew, 2002. "How does the Internet affect trading? Evidence from investor behavior in 401(k) plans," Journal of Financial Economics, Elsevier, vol. 64(3), pages 397-421, June.
    10. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
    11. A. Clark, 2006. "Modeling the net flows of U.S. mutual funds with stochastic catastrophe theory," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 50(4), pages 659-669, 04.
    12. David Ling & Andy Naranjo, 2006. "Dedicated REIT Mutual Fund Flows and REIT Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 32(4), pages 409-433, June.
    13. Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series 13-1, Luxembourg School of Finance, University of Luxembourg.
    14. Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, Elsevier.
    15. Takeshi Yamaguchi, 2006. "Understanding Trading Behavior in 401(k) Plans," Working Papers wp125, University of Michigan, Michigan Retirement Research Center.
    16. Syriopoulos, Theodore, 2002. "Risk aversion and portfolio allocation to mutual fund classes," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 427-447.
    17. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
    18. Kim, Ho-Yong & Kwon, Okyu & Oh, Gabjin, 2016. "A causality between fund performance and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 439-450.
    19. Th. Fiotakis & N. Philippas, 2004. "Chasing trend and losing money: open end mutual fund investors' trading behaviour in Greece," Applied Economics Letters, Taylor & Francis Journals, vol. 11(2), pages 117-121.

  58. William N. Goetzmann & Massimo Massa, 2000. "Daily Momentum and Contrarian Behavior of Index Fund Investors," NBER Working Papers 7567, National Bureau of Economic Research, Inc.

    Cited by:

    1. Shin'ichi Hirota & Shyam Sunder, 2002. "Price Bubbles Sans Dividend Anchors: Evidence from Laboratory Stock Markets," Yale School of Management Working Papers amz2616, Yale School of Management, revised 01 Feb 2007.
    2. Bottazzi, Giulio & Devetag, Giovanna & Pancotto, Francesca, 2011. "Does volatility matter? Expectations of price return and variability in an asset pricing experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 124-146, February.
    3. Peiran Jiao & Heinrich H. Nax, 2016. "When is Market the Benchmark? Reinforcement Evidence from Repurchase Decisions," Economics Papers 2016-W01, Economics Group, Nuffield College, University of Oxford.
    4. William N. Goetzmann & Ning Zhu, 2003. "Rain or Shine: Where is the Weather Effect?," NBER Working Papers 9465, National Bureau of Economic Research, Inc.
    5. Guiso, Luigi & Sodini, Paolo, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
    6. Anastasios G. Malliaris, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing, vol. 3(1), pages 27-53, April.
    7. Dirk G Baur & Thomas Dimpfl, 2012. "State-dependent Momentum in International Stock Markets," Working Paper Series 169, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    8. Levy, Ori & Galili, Itai, 2008. "Stock purchase and the weather: Individual differences," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 755-767, September.
    9. Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
    10. Amil Dasgupta & Andrea Prat & Michela Verardo, 2010. "The Price Impact of Institutional Herding," FMG Discussion Papers dp652, Financial Markets Group.
    11. Campbell, John Y & Ramadorai, Tarun & Ranish, Benjamin, 2014. "Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience," CEPR Discussion Papers 9907, C.E.P.R. Discussion Papers.
    12. Daniel Dorn & Gur Huberman & Paul Sengmueller, 2008. "Correlated Trading and Returns," Journal of Finance, American Finance Association, vol. 63(2), pages 885-920, 04.
    13. Johnson, Woodrow T., 2010. "Who incentivizes the mutual fund manager, new or old shareholders?," Journal of Financial Intermediation, Elsevier, vol. 19(2), pages 143-168, April.
    14. Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh, 2014. "Stock returns, mutual fund flows and spillover shocks," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 146-162.
    15. Choi, Jongmoo Jay & Kedar-Levy, Haim & Yoo, Sean Sehyun, 2015. "Are individual or institutional investors the agents of bubbles?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 1-22.
    16. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
    17. Kim, Sei-Wan & Lee, Bong-Soo & Kim, Young-Min, 2014. "Who mimics whom in the equity fund market? Evidence from the Korean equity fund market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 199-218.
    18. Kurz-Kim, Jeong-Ryeol, 2016. "Black Monday, globalization and trading behavior of stock investors," Discussion Papers 18/2016, Deutsche Bundesbank, Research Centre.
    19. Salganik, G., 2010. "Essays on investment flows of hedge fund and mutual fund investors," Other publications TiSEM e5953fbe-064e-4647-9353-0, Tilburg University, School of Economics and Management.
    20. Ravi Dhar & Ning Zhu, 2006. "Up Close and Personal: Investor Sophistication and the Disposition Effect," Management Science, INFORMS, vol. 52(5), pages 726-740, May.
    21. Douglas W. Blackburn & Andrey D. Ukhov, 2013. "Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond," Management Science, INFORMS, vol. 59(2), pages 470-484, August.
    22. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc.
    23. Yu, Hsin-Yi & Hsieh, Shu-Fan, 2010. "The effect of attention on buying behavior during a financial crisis: Evidence from the Taiwan stock exchange," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 270-280, September.
    24. Gaunersdorfer, A. & Hommes, C.H., 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    25. : John A. Doukas & Constantinos Antoniou & Avanidhar Subrahmanyam, 2011. "Sentiment and Momentum," Working Papers wpn11-02, Warwick Business School, Finance Group.
    26. Schulmeister, Stephan, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, Elsevier, vol. 18(4), pages 190-201, October.
    27. Choi, James J. & Laibson, David & Metrick, Andrew, 2002. "How does the Internet affect trading? Evidence from investor behavior in 401(k) plans," Journal of Financial Economics, Elsevier, vol. 64(3), pages 397-421, June.
    28. Nyborg, Kjell G & Östberg, Per, 2010. "Money and Liquidity in Financial Markets," CEPR Discussion Papers 7905, C.E.P.R. Discussion Papers.
    29. Masahiro Watanabe, 2002. "Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry," Yale School of Management Working Papers amz2636, Yale School of Management, revised 01 Jul 2002.
    30. Frazzini, Andrea & Lamont, Owen A., 2008. "Dumb money: Mutual fund flows and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 88(2), pages 299-322, May.
    31. Rakowski, David & Wang, Xiaoxin, 2009. "The dynamics of short-term mutual fund flows and returns: A time-series and cross-sectional investigation," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2102-2109, November.
    32. Jon Eggins & Robert J. Hill, 2008. "Momentum and Contrarian Stock-Market Indices," Discussion Papers 2008-07, School of Economics, The University of New South Wales.
    33. Shu, Pei-Gi & Yeh, Yin-Hua & Chiu, Shean-Bii & Chen, Hsuan-Chi, 2005. "Are Taiwanese individual investors reluctant to realize their losses?," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 201-223, March.
    34. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
    35. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
    36. Swanson, Peggy E. & Lin, Anchor Y., 2005. "Trading behavior and investment performance of U.S. investors in global equity markets," Journal of Multinational Financial Management, Elsevier, vol. 15(2), pages 99-115, April.
    37. Kolluri, Bharat & Wahab, Susan & Wahab, Mahmoud, 2015. "An examination of co-movements of India's stock and government bond markets," Journal of Asian Economics, Elsevier, vol. 41(C), pages 39-56.
    38. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
    39. Johnson, Woodrow T., 2010. "Do investors trade uniformly through time?," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 645-658, September.
    40. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
    41. Aboulamer, Anas & Kryzanowski, Lawrence, 2016. "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 20-36.

  59. Stanley Garstka & William Goetzmann, 1999. "The Development Of Corporate Performance Measures: Benchmarks Before EVA," Yale School of Management Working Papers ysm121, Yale School of Management, revised 01 Jan 2001.

    Cited by:

    1. Roberto Ghiselli Ricci & Carlo Alberto Magni, 2014. "Axiomatization of residual income and generation of financial securities," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1257-1271, July.
    2. Céline Chatelin & Stéphane Trebucq, 2002. "Du processus d'élaboration du cadre conceptuel en gouvernance d'entreprise A development process Of a conceptual framework of corporate governance," Working Papers CREGO 1021201, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.

  60. William Goetzmann & Matthew Spiegel & Susan Wachter, 1999. "Do Cities and Suburbs Cluster?," Yale School of Management Working Papers ysm115, Yale School of Management, revised 01 May 1999.

    Cited by:

    1. Stephen Malpezzi, 2000. "Tales from the Real Side: The Implications of Urban Research for Real Estate Finance in Developing and Transition Economies," Wisconsin-Madison CULER working papers 01-02, University of Wisconsin Center for Urban Land Economic Research.

  61. Evan G. Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 1999. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," NBER Working Papers 7032, National Bureau of Economic Research, Inc.

    Cited by:

    1. Sun, David & Tsai, Shih-Chuan & Wang, Wei, 2011. "Behavioral investment strategy matters: a statistical arbitrage approach," MPRA Paper 37281, University Library of Munich, Germany, revised 16 Jan 2012.
    2. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
    3. Broussard, John Paul & Vaihekoski, Mika, 2012. "Profitability of pairs trading strategy in an illiquid market with multiple share classes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1188-1201.
    4. Ahmet Göncü, 2015. "Statistical arbitrage in the Black-Scholes framework," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1489-1499, September.
    5. Krauss, Christopher & Stübinger, Johannes, 2015. "Nonlinear dependence modeling with bivariate copulas: Statistical arbitrage pairs trading on the S&P 100," FAU Discussion Papers in Economics 15/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    6. Perlin, M., 2007. "M of a kind: A Multivariate Approach at Pairs Trading," MPRA Paper 8309, University Library of Munich, Germany.
    7. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc.
    8. Alsayed, Hamad & McGroarty, Frank, 2012. "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1258-1276.
    9. Chong, Terence Tai-Leung & Ip, Hugo Tak-Sang, 2009. "Do momentum-based strategies work in emerging currency markets?," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 479-493, September.
    10. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
    11. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2004. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," CFR Working Papers 04-03, University of Cologne, Centre for Financial Research (CFR).
    12. Krauss, Christopher & Krüger, Tom & Beerstecher, Daniel, 2015. "The Piotroski F-Score: A fundamental value strategy revisited from an investor's perspective," FAU Discussion Papers in Economics 13/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    13. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002. "Does Arbitrage Flatten Demand Curves for Stocks?," The Journal of Business, University of Chicago Press, vol. 75(4), pages 583-608, October.
    14. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
    15. Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
    16. Fabio Pizzutilo, 2013. "A Note on the Effectiveness of Pairs Trading For Individual Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 763-771.
    17. Evan Gatev & Stephen A. Ross, 2000. "Rebels, Conformists, Contrarians and Momentum Traders," NBER Working Papers 7835, National Bureau of Economic Research, Inc.
    18. Huck, Nicolas, 2010. "Pairs trading and outranking: The multi-step-ahead forecasting case," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1702-1716, December.
    19. Tim Leung & Yerkin Kitapbayev, 2017. "Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach," Papers 1701.00875, arXiv.org, revised Jan 2017.
    20. Bolgun, Evren & Kurun, Engin & Guven, Serhat, 2009. "Dynamic Pairs Trading Strategy For The Companies Listed In The Istanbul Stock Exchange," MPRA Paper 19887, University Library of Munich, Germany.
    21. Perlin, M., 2007. "Evaluation of pairs trading strategy at the Brazilian financial market," MPRA Paper 8308, University Library of Munich, Germany.
    22. Denitsa Stefanova & Arjen Siegmann, 2014. "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series 14-12, Luxembourg School of Finance, University of Luxembourg.
    23. Christopher Krauss & Klaus Herrmann, 2017. "On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(1), pages 1-24, February.
    24. Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
    25. Marcin Wojtowicz, 2014. "Capital Structure Arbitrage revisited," Tinbergen Institute Discussion Papers 14-137/IV/DSF81, Tinbergen Institute.
    26. Daisuke Motori & Yukitami Tsuji, 2012. "Arbitrage Trading Based on Cointegration," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-019, Keio/Kyoto Joint Global COE Program.
    27. Jaideep Bedi & Anthony Richards & Paul Tennant, 2003. "The Characteristics and Trading Behaviour of Dual-listed Companies," RBA Research Discussion Papers rdp2003-06, Reserve Bank of Australia.
    28. Zouheir Mighri & Faysal Mansouri, 2016. "Asymmetric price transmission within the Argentinean stock market: an asymmetric threshold cointegration approach," Empirical Economics, Springer, vol. 51(3), pages 1115-1149, November.
    29. Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
    30. Krauss, Christopher & Herrmann, Klaus & Teis, Stefan, 2015. "On the power and size properties of cointegration tests in the light of high-frequency stylized facts," FAU Discussion Papers in Economics 11/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    31. David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-19, March.
    32. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Searching for Inefficiencies in Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 405-432, March.
    33. Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    34. Huck, Nicolas, 2009. "Pairs selection and outranking: An application to the S&P 100 index," European Journal of Operational Research, Elsevier, vol. 196(2), pages 819-825, July.
    35. Xiong, Wei, 2001. "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, vol. 62(2), pages 247-292, November.
    36. Bahman Angoshtari, 2016. "On the Market-Neutrality of Optimal Pairs-Trading Strategies," Papers 1608.08268, arXiv.org.
    37. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.
    38. Volkan Muslu & Michael Rebello & Yexiao Xu, 2014. "Sell-Side Analyst Research and Stock Comovement," Journal of Accounting Research, Wiley Blackwell, vol. 52(4), pages 911-954, 09.
    39. João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
    40. Bruno Breyer Caldas & João Frois Caldeira & Guilherme Vale Moura, 2016. "Is Pairs Trading Performance Sensitive To The Methodologies?: A Comparison," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting] 130, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    41. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
    42. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2011. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 175-194, March.
    43. Liu, Jun & Timmermann, Allan G, 2009. "Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications," CEPR Discussion Papers 7188, C.E.P.R. Discussion Papers.
    44. Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein, 2008. "Do Hedge Funds Profit From Mutual-Fund Distress?," NBER Working Papers 13786, National Bureau of Economic Research, Inc.
    45. Krauss, Christopher & Do, Xuan Anh & Huck, Nicolas, 2017. "Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500," European Journal of Operational Research, Elsevier, vol. 259(2), pages 689-702.
    46. Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Role of managerial incentives and discretion in hedge fund performance," CFR Working Papers 04-04, University of Cologne, Centre for Financial Research (CFR).
    47. Chi Ng & Johan Lim & Kyeong Lee & Donghyeon Yu & Sujung Choi, 2014. "A fast algorithm to sample the number of vertexes and the area of the random convex hull on the unit square," Computational Statistics, Springer, vol. 29(5), pages 1187-1205, October.
    48. Lukasz Gatarek & Søren Johansen, 0703. "The role of cointegration for optimal hedging with heteroscedastic error term," CREATES Research Papers 2017-12, Department of Economics and Business Economics, Aarhus University.
    49. Oscar Bernal Diaz & Astrid Herinckx & Ariane Szafarz, 2013. "Which Short-Selling Regulation is the Least Damaging to Market Efficiency? Evidence from Europe," Working Papers CEB 13-001, ULB -- Universite Libre de Bruxelles.
    50. Wang, Xi & Bao, Si & Chen, Jingchao, 2017. "High-frequency stock linkage and multi-dimensional stationary processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 70-83.
    51. Yang, Jen-Wei & Tsai, Shu-Yu & Shyu, So-De & Chang, Chia-Chien, 2016. "Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 139-150.
    52. Clegg, Matthew & Krauss, Christopher, 2016. "Pairs trading with partial cointegration," FAU Discussion Papers in Economics 05/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    53. Kenji Kutsuna & Janet Kiholm Smith & Richard L. Smith, 2009. "Public Information, IPO Price Formation, and Long-Run Returns: Japanese Evidence," Journal of Finance, American Finance Association, vol. 64(1), pages 505-546, 02.
    54. Alexakis, Christos, 2010. "Long-run relations among equity indices under different market conditions: Implications on the implementation of statistical arbitrage strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 389-403, October.
    55. Tim Leung & Xin Li, 2014. "Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit," Papers 1411.5062, arXiv.org, revised May 2015.
    56. Lukasz Gatarek & Søren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," Discussion Papers 17-03, University of Copenhagen. Department of Economics.
    57. Chris Brooks & Ryan J. Davies & Sang Soo Kim, 2005. "Cross Hedging with Single Stock Futures," ICMA Centre Discussion Papers in Finance icma-dp2004-15, Henley Business School, Reading University.
    58. Timofei Bogomolov, 2013. "Pairs trading based on statistical variability of the spread process," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1411-1430, September.
    59. Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.
    60. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "Market selection of constant proportions investment strategies in continuous time," Journal of Mathematical Economics, Elsevier, vol. 46(2), pages 248-266, March.
    61. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.
    62. Peng Huang & Tianxiang Wang, 2016. "On the Profitability of Optimal Mean Reversion Trading Strategies," Papers 1602.05858, arXiv.org.
    63. Krauss, Christopher & Beerstecher, Daniel & Krüger, Tom, 2015. "Feasible earnings momentum in the U.S. stock market: An investor's perspective," FAU Discussion Papers in Economics 12/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    64. James Angel & Douglas McCabe, 2013. "Fairness in Financial Markets: The Case of High Frequency Trading," Journal of Business Ethics, Springer, vol. 112(4), pages 585-595, February.
    65. Zebedee, Allan A. & Kasch-Haroutounian, Maria, 2009. "A closer look at co-movements among stock returns," Journal of Economics and Business, Elsevier, vol. 61(4), pages 279-294, July.
    66. Bertram, William K., 2009. "Optimal trading strategies for Itô diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2865-2873.
    67. Schultz, Paul & Shive, Sophie, 2010. "Mispricing of dual-class shares: Profit opportunities, arbitrage, and trading," Journal of Financial Economics, Elsevier, vol. 98(3), pages 524-549, December.
    68. Stübinger, Johannes & Mangold, Benedikt & Krauß, Christopher, 2016. "Statistical arbitrage with vine copulas," FAU Discussion Papers in Economics 11/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    69. R. Todd Smith & Xun Xu, 2017. "A good pair: alternative pairs-trading strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 1-26, February.

  62. William N. Goetzmann & Massimo Massa, 1999. "Index Funds and Stock Market Growth," NBER Working Papers 7033, National Bureau of Economic Research, Inc.

    Cited by:

    1. David Ling & Gianluca Marcato & Pat McAllister, 2009. "Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: the Case of Private Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 359-383, October.
    2. Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.
    3. Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi, 2012. "Measuring investor sentiment with mutual fund flows," Journal of Financial Economics, Elsevier, vol. 104(2), pages 363-382.
    4. Paul A. Gompers & Andrew Metrick, "undated". "Institutional Investors and Equity Prices," Rodney L. White Center for Financial Research Working Papers 20-99, Wharton School Rodney L. White Center for Financial Research.
    5. Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," NBER Working Papers 8895, National Bureau of Economic Research, Inc.
    6. William N. Goetzmann & Massimo Massa, 2000. "Daily Momentum and Contrarian Behavior of Index Fund Investors," NBER Working Papers 7567, National Bureau of Economic Research, Inc.
    7. Spiegel, Matthew & Zhang, Hong, 2013. "Mutual fund risk and market share-adjusted fund flows," Journal of Financial Economics, Elsevier, vol. 108(2), pages 506-528.
    8. Johnson, Woodrow T., 2010. "Who incentivizes the mutual fund manager, new or old shareholders?," Journal of Financial Intermediation, Elsevier, vol. 19(2), pages 143-168, April.
    9. Bank for International Settlements, 2003. "Incentive structures in institutional asset management and their implications for financial markets," CGFS Papers, Bank for International Settlements, number 21.
    10. Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
    11. Eric Belasco, 2012. "The impact of passive investing on corporate valuations," Managerial Finance, Emerald Group Publishing, vol. 38(11), pages 1067-1084, September.
    12. Harald Hau & Sandy Lai, 2014. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," CESifo Working Paper Series 5005, CESifo Group Munich.
    13. William N. Goetzmann & Massimo Massa, 2005. "Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias," Yale School of Management Working Papers ysm447, Yale School of Management.
    14. Christian Weller, 2002. "Policy on the margin: Evaluating the impact of margin debt requirements on stock valuations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 1-15, March.
    15. Joakim Kvamvold, 2017. "Mutual Fund Flows and Benchmark Portfolio Returns," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 236-242.
    16. Anthony Richards, 2004. "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers rdp2004-05, Reserve Bank of Australia.
    17. Mihaly Ormos & Dusan Timotity, 2015. "Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling," Papers 1512.01806, arXiv.org.
    18. Pierdzioch, Christian & Schertler, Andrea, 2005. "Sources of Predictability of European Stock Markets for High-Technology Firms," Kiel Working Papers 1235, Kiel Institute for the World Economy (IfW).
    19. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc.
    20. Massa, Massimo & Peyer, Urs & Tong, Zhenxu, 2005. "Limits of Arbitrage and Corporate Financial Policy," CEPR Discussion Papers 4829, C.E.P.R. Discussion Papers.
    21. Randall Morck & Fan Yang, 2001. "The Mysterious Growing Value of S&P 500 Membership," NBER Working Papers 8654, National Bureau of Economic Research, Inc.
    22. Watson, John & Wickramanayake, J., 2012. "The relationship between aggregate managed fund flows and share market returns in Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 451-472.
    23. Hung, Weifeng & Huang, Sheng-Tang & Lu, Chia-Chi & Liu, Nathan, 2015. "Trading behavior and stock returns in Japan," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 200-212.
    24. Hau, Harald & Massa, Massimo & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.
    25. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
    26. Oh, Natalie Y. & Parwada, Jerry T., 2007. "Relations between mutual fund flows and stock market returns in Korea," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 140-151, April.
    27. Hau, Harald, 2007. "A Generalized Portfolio Approach to Limited Risk Arbitrage: Evidence from the MSCI Global Index Change," CEPR Discussion Papers 6094, C.E.P.R. Discussion Papers.
    28. Greene, Jason T. & Hodges, Charles W., 2002. "The dilution impact of daily fund flows on open-end mutual funds," Journal of Financial Economics, Elsevier, vol. 65(1), pages 131-158, July.
    29. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.
    30. Masahiro Watanabe, 2002. "Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry," Yale School of Management Working Papers amz2636, Yale School of Management, revised 01 Jul 2002.
    31. William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias," Yale School of Management Working Papers ysm14, Yale School of Management.
    32. Daniel C. Indro, 2010. "Does Mutual Fund Flow Reflect Investor Sentiment?," Chapters, in: Handbook of Behavioral Finance, chapter 10 Edward Elgar Publishing.
    33. Franklin Fant, L., 1999. "Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows," Journal of Financial Markets, Elsevier, vol. 2(4), pages 391-402, November.
    34. Dubofsky, David A., 2010. "Mutual fund portfolio trading and investor flow," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 802-812, April.
    35. Naik, Pramod Kumar & Padhi, Puja, 2014. "An Empirical Evidence of Dynamic Interaction between institutional fund flows and Stock Market Returns," MPRA Paper 57723, University Library of Munich, Germany.
    36. Roger M. Edelen & Jerold B. Warner, "undated". "Aggregate Prixe Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns," Rodney L. White Center for Financial Research Working Papers 26-99, Wharton School Rodney L. White Center for Financial Research.
    37. Joakim Kvamvold & Snorre Lindset, 2017. "Index trading and portfolio risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(1), pages 78-99, January.
    38. Andrey Kudryavtsev, 2015. "Informational Content of Open-to-Close Stock Returns," European Financial and Accounting Journal, University of Economics, Prague, vol. 2015(1).
    39. Cha, Heung-Joo & Kim, Jaebeom, 2010. "Stock returns and investment trust flows in the Japanese financial market: A system approach," Journal of Asian Economics, Elsevier, vol. 21(4), pages 327-332, August.
    40. Venezia, Itzhak & Shapira, Zur, 2007. "On the behavioral differences between professional and amateur investors after the weekend," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1417-1426, May.
    41. David Ling & Andy Naranjo, 2006. "Dedicated REIT Mutual Fund Flows and REIT Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 32(4), pages 409-433, June.
    42. Tony Chieh-Tse Hou, 2012. "Return persistence and investment timing decisions in Taiwanese domestic equity mutual funds," Managerial Finance, Emerald Group Publishing, vol. 38(9), pages 873-891, August.
    43. David Ling & Gianluca Marcato & Patrick McAllister, 2008. "The Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: The Case of Private Commercial Real Estate," Real Estate & Planning Working Papers rep-wp2008-11, Henley Business School, Reading University.
    44. John Gallo & Chanwit Phengpis & Peggy Swanson, 2007. "Determinants of Equity Style," Journal of Financial Services Research, Springer;Western Finance Association, vol. 31(1), pages 33-51, February.
    45. George Cashman & Federico Nardari & Daniel Deli & Sriram Villupuram, 2014. "Investor behavior in the mutual fund industry: evidence from gross flows," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 541-567, October.
    46. Syriopoulos, Theodore, 2002. "Risk aversion and portfolio allocation to mutual fund classes," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 427-447.
    47. Braverman, Oded & Kandel, Shmuel & Wohl, Avi, 2005. "The (Bad?) Timing of Mutual Fund Investors," CEPR Discussion Papers 5243, C.E.P.R. Discussion Papers.
    48. Barber, Brad M. & Odean, Terrance & Zhu, Ning, 2009. "Systematic noise," Journal of Financial Markets, Elsevier, vol. 12(4), pages 547-569, November.
    49. Massimo Massa & William Goetzmann, 2001. "Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors," Yale School of Management Working Papers ysm227, Yale School of Management, revised 01 May 2003.
    50. Meier-Pesti, Katja & Penz, Elfriede, 2008. "Sex or gender? Expanding the sex-based view by introducing masculinity and femininity as predictors of financial risk taking," Journal of Economic Psychology, Elsevier, vol. 29(2), pages 180-196, April.
    51. Edelen, Roger M. & Warner, Jerold B., 2001. "Aggregate price effects of institutional trading: a study of mutual fund flow and market returns," Journal of Financial Economics, Elsevier, vol. 59(2), pages 195-220, February.
    52. Boyer, Brian & Zheng, Lu, 2009. "Investor flows and stock market returns," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 87-100, January.
    53. Kim, Ho-Yong & Kwon, Okyu & Oh, Gabjin, 2016. "A causality between fund performance and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 439-450.
    54. Chakrabarti, Rajesh & Huang, Wei & Jayaraman, Narayanan & Lee, Jinsoo, 2005. "Price and volume effects of changes in MSCI indices - nature and causes," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1237-1264, May.
    55. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Conţinutul analizei seriilor de timp financiare
      [The Essentials of the Analysis of Financial Time Series]
      ," MPRA Paper 67175, University Library of Munich, Germany.

  63. Stephen J. Brown & William N. Goetzmann & James M. Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-014, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. Paola Robotti, 2006. "Hedge funds and financial stability: explaining the debate at the financial stability forum," LSE Research Online Documents on Economics 24514, London School of Economics and Political Science, LSE Library.
    2. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
    3. Patrick M McGuire & Kostas Tsatsaronis, 2008. "Estimating hedge fund leverage," BIS Working Papers 260, Bank for International Settlements.
    4. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
    5. Merrick, John J. & Naik, Narayan Y. & Yadav, Pradeep K., 2004. "Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze," CFR Working Papers 04-07, University of Cologne, Centre for Financial Research (CFR).
    6. Jan A. Kregel, 1998. "Derivatives and Global Capital Flows: Applications to Asia," Economics Working Paper Archive wp_246, Levy Economics Institute.
    7. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
    8. Benjamin H Cohen & Eli M Remolona, 2001. "Information flows during the Asian crisis: evidence from closed-end funds," BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 30-75 Bank for International Settlements.
    9. Holt, Bryce R. & Irwin, Scott H., 2000. "The Effects Of Futures Trading By Large Hedge Funds And Ctas On Market Volatility," 2000 Conference, April 17-18 2000, Chicago, Illinois 18935, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    10. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    11. William N. Goetzmann & Jonathan E. Ingersoll, Jr. & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," Yale School of Management Working Papers ysm29, Yale School of Management.
    12. Azman-Saini, W.N.W., 2006. "Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia," MPRA Paper 716, University Library of Munich, Germany.
    13. Fung, William & Hsieh, David A., 2000. "Measuring the market impact of hedge funds," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 1-36, May.
    14. C. Y. Cyrus Chu & Jason J. H. Yeh, 2005. "Insuring Against Self-Fulfilling Financial Crises," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 4(2), pages 123-139, August.
    15. Izabela Pruchnicka-Grabias, 2014. "The Influence Of Confidence Level, Correlation And Volatility On Value At Risk. Six Case Studies," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 10, pages 565-581.
    16. Marguerite Schneider & Lori Ryan, 2011. "A review of hedge funds and their investor activism: do they help or hurt other equity investors?," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 15(3), pages 349-374, August.
    17. Jomo K.S., 2005. "Malaysia´S September 1998 Controls: Background, Context, Impacts, Comparisons, Implications, Lessons," G-24 Discussion Papers 36, United Nations Conference on Trade and Development.
    18. Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias, 2012. "Portfolioallokation: Einbezug verschiedener Assetklassen," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-01, University of Bayreuth, Chair of Finance and Banking.
    19. Bank for International Settlements, 2001. "Market liquidity: proceedings of a workshop held at the BIS," BIS Papers, Bank for International Settlements, number 02, april..

  64. William Goetzmann & Jonathan Ingersoll & Zoran Ivkovich, 1998. "Monthly Measurement of Daily Timers," Yale School of Management Working Papers ysm88, Yale School of Management, revised 01 Oct 2000.

    Cited by:

    1. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012. "Revisiting Mutual Fund Performance Evaluation," MPRA Paper 36644, University Library of Munich, Germany.
    2. Tezel, Ahmet & McManus, Ginette, 2001. "Evaluating a stock market timing strategy: the case of RTE Asset Management," Financial Services Review, Elsevier, vol. 10(1-4), pages 173-186.
    3. 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, vol. 26(C), pages 244-256.
    4. José Alvarez & Laura Andreu & Cristina Ortiz & José Sarto, 2014. "A nonparametric approach to market timing: evidence from Spanish mutual funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 119-132, January.
    5. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
    6. Chance, Don M. & Hemler, Michael L., 2001. "The performance of professional market timers: daily evidence from executed strategies," Journal of Financial Economics, Elsevier, vol. 62(2), pages 377-411, November.
    7. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, Elsevier.
    8. Matallin-Saez Juan Carlos, 2008. "The Dynamics of Mutual Funds and Market Timing Measurement," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-37, December.
    9. Matallín-Sáez, Juan Carlos, 2015. "A note on market timing: Interim trading and the performance of holdings-based and return-based measures," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 90-99.
    10. Chen, Li-Wen & Adams, Andrew & Taffler, Richard, 2013. "What style-timing skills do mutual fund “stars” possess?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 156-173.
    11. Adam Stivers, 2015. "Forecasting Returns with Fundamentals-Removed Investor Sentiment," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 3(3), pages 1-23, July.
    12. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
    13. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
    14. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, 04.
    15. Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003. "Market timing: A decomposition of mutual fund returns," ERIM Report Series Research in Management ERS-2003-074-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    16. 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.
    17. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    18. Clare, Andrew & Sherman, Meadhbh Brid & Thomas, Steve, 2016. "Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada," Research in International Business and Finance, Elsevier, vol. 36(C), pages 212-221.
    19. Kim, Sangbae & In, Francis, 2012. "False discoveries in volatility timing of mutual funds," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2083-2094.
    20. Su-Jane Chen & Ming-Hsiang Chen, 2009. "Discount Rate Changes and Market Timing: A Multinational Study," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 329-349, November.
    21. Ferson, Wayne & Khang, Kenneth, 2002. "Conditional performance measurement using portfolio weights: evidence for pension funds," Journal of Financial Economics, Elsevier, vol. 65(2), pages 249-282, August.
    22. Hayat, Raphie & Kraeussl, Roman, 2011. "Risk and return characteristics of Islamic equity funds," Emerging Markets Review, Elsevier, vol. 12(2), pages 189-203, June.
    23. J. C. Matallin-Saez, 2003. "Asymmetric relation in omitted benchmarks and market timing in mutual funds," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 775-778.
    24. Patton, Andrew J & Ramadorai, Tarun, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
    25. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.
    26. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3-4), pages 539-578.
    27. Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
    28. Rodri­guez, Javier, 2008. "Market timing: A global endeavor," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 545-556, December.
    29. Romacho, Joao Carlos & Cortez, Maria Ceu, 2006. "Timing and selectivity in Portuguese mutual fund performance," Research in International Business and Finance, Elsevier, vol. 20(3), pages 348-368, September.
    30. J. C. Matallin & A. Fernandez-Izquierdo, 2003. "Passive timing effect in portfolio management," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1829-1837.
    31. Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P., 2016. "Do hedge funds dynamically manage systematic risk?," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 1-15.
    32. Tony Chieh-Tse Hou, 2012. "Return persistence and investment timing decisions in Taiwanese domestic equity mutual funds," Managerial Finance, Emerald Group Publishing, vol. 38(9), pages 873-891, August.
    33. Semushin, Anton & Parshakov, Petr, 2012. "Data frequency and mutual fund performance measures," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 25(1), pages 95-114.
    34. Jiang, Wei, 2003. "A nonparametric test of market timing," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 399-425, September.
    35. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.
    36. Ayala, Alfonso, 2011. "Algunos conceptos sobre la evaluación de portafolios de inversión
      [Some concepts on the assessment of investment portfolios]
      ," MPRA Paper 42404, University Library of Munich, Germany.
    37. Peláez, Rolando F., 2015. "Market-timing the business cycle," Review of Financial Economics, Elsevier, vol. 26(C), pages 55-64.
    38. 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, vol. 15(3), pages 363-386, June.
    39. Boney, Vaneesha & Comer, George & Kelly, Lynne, 2009. "Timing the investment grade securities market: Evidence from high quality bond funds," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 55-69, January.
    40. Wayne Ferson & Kenneth Khang, 2002. "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers 8790, National Bureau of Economic Research, Inc.
    41. Sergey Iskoz & Jiang Wang, 2003. "How to Tell if a Money Manager Knows More?," NBER Working Papers 9791, National Bureau of Economic Research, Inc.
    42. 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.
    43. Kaserer, Christoph & Diller, Christian, 2004. "What drives cash flow based European private equity returns? Fund inflows, skilled GPs and/or risk?," CEFS Working Paper Series 2004-02, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    44. 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.

  65. Stephen J. Brown & William N. Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-013, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. K. J. Hong & S. Satchell, 2015. "Time series momentum trading strategy and autocorrelation amplification," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1471-1487, September.
    2. Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
    3. Ülkü, Numan & Prodan, Eugeniu, 2013. "Drivers of technical trend-following rules' profitability in world stock markets," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 214-229.
    4. Neely, Christopher J., 2003. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 69-87.
    5. Robert Pereira, 1999. "Forecasting Ability but No Profitability: an Empirical Evaluation of Genetic Algorithm-Optimized Technical Trading Rules," Working Papers 1999.06, School of Economics, La Trobe University.
    6. Asger Lunde & Allan Timmermann, 2000. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Econometric Society World Congress 2000 Contributed Papers 1216, Econometric Society.
    7. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
    8. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City.
    9. Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
    10. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
    11. Pierre Giot & Mikael Petitjean, 2009. "Short-term market timing using the bond-equity yield ratio," The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 365-384.
    12. Esteban Pérez Caldentey & Matías Vernengo, 2010. "Modern Finance, Methodology and the Global Crisis," Working Paper Series, Department of Economics, University of Utah 2010_04, University of Utah, Department of Economics.
    13. K. J. Hong & S. Satchell, 2013. "Time Series Momentum Trading Strategy and Autocorrelation Amplification," Cambridge Working Papers in Economics 1322, Faculty of Economics, University of Cambridge.
    14. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
    16. Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010. "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 471-484, June.
    17. Po-Hsuan Hsu & Chung-Ming Kuan, 2004. "Re-Examining the Profitability of Technical Analysis with White’s Reality Check," IEAS Working Paper : academic research 04-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    18. Thomas Schuster, 2003. "Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media," Finance 0303002, EconWPA.
    19. Suzuki, Tomoya & Ohkura, Yuushi, 2016. "Financial technical indicator based on chaotic bagging predictors for adaptive stock selection in Japanese and American markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 50-66.
    20. Li, Wei & Lam, Kin, 2002. "Optimal market timing strategies under transaction costs," Omega, Elsevier, vol. 30(2), pages 97-108, April.
    21. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
    22. Woodward, George & Marisetty, Vijaya B., 2005. "Introducing non-linear dynamics to the two-regime market model: Evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 559-581, September.
    23. Colin Fyfe & John Paul Marney & Heather Tarbert, 2005. "Risk adjusted returns from technical trading: a genetic programming approach," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1073-1077.
    24. Gerritsen, Dirk F., 2016. "Are chartists artists? The determinants and profitability of recommendations based on technical analysis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 179-196.
    25. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.

  66. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc.

    Cited by:

    1. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.

  67. William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.

    Cited by:

    1. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2006. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Yale School of Management Working Papers amz2472, Yale School of Management, revised 11 Sep 2009.
    2. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2007. "Improved Forecasting of Mutual Fund Alphas and Betas," Review of Finance, European Finance Association, vol. 11(3), pages 359-400.
    3. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, "undated". "Mutual fund trading costs," Rodney L. White Center for Financial Research Working Papers 27-99, Wharton School Rodney L. White Center for Financial Research.
    4. Bertoli, Roberto & Zuluaf, Carl R. & Irwin, Scott H. & Jackson, Thomas E. & Good, Darrel L., 1999. "The Marketing Style Of Advisory Services For Corn And Soybeans In 1995," AgMAS Project Research Reports 14792, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    5. Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008. "Sector classification through non-Gaussian similarity," Working Papers CEB 08-032.RS, ULB -- Universite Libre de Bruxelles.
    6. Li, Bob & Boo, Yee Ling & Ee, Mong Shan & Chen, Cindy, 2013. "A re-examination of firm's attributes and share returns: Evidence from the Chinese A-shares market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 174-181.
    7. Ahmed, Parvez, 2001. "Forecasting correlation among equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1187-1208, June.
    8. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc.
    9. Deetz, Marcus & Poddig, Thorsten & Varmaz, Armin, 2009. "Klassifizierung von Hedge-Fonds durch das k-means Clustering von Self-Organizing Maps: eine renditebasierte Analyse zur Selbsteinstufungsgüte und Stiländerungsproblematik
      [Classifying Hedge Funds u
      ," MPRA Paper 16939, University Library of Munich, Germany.
    10. Jerry Parwada & Robert Faff, 2005. "Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection," Journal of Financial Services Research, Springer;Western Finance Association, vol. 27(1), pages 77-98, February.
    11. Françoise LE QUERE, 2008. "L'habillage de portefeuille par les gérants de fonds dans la littérature : incitations, effets et risques," LEO Working Papers / DR LEO 870, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    12. Daniel Buncic & Jon E. Eggins & Robert J. Hill & David Gallagher, 2015. "Measuring fund style, performance and activity: a new style-profiling approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 29-55, 03.
    13. Matvos, Gregor & Ostrovsky, Michael, 2006. "Strategic Proxy Voting," Research Papers 1964, Stanford University, Graduate School of Business.
    14. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2016. "Estimating Style Weights of Mutual Funds by Monte Carlo Filter with Generalized Simulated Annealing," CIRJE F-Series CIRJE-F-1010, CIRJE, Faculty of Economics, University of Tokyo.
    15. Prather, Larry J. & Middleton, Karen L., 2006. "Timing and selectivity of mutual fund managers: An empirical test of the behavioral decision-making theory," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 249-273, June.
    16. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, 1999. "Transaction-cost Expenditures and the Relative Performance of Mutual Funds," Center for Financial Institutions Working Papers 00-02, Wharton School Center for Financial Institutions, University of Pennsylvania.
    17. Barberis, Nicholas & Shleifer, Andrei, 2003. "Style investing," Journal of Financial Economics, Elsevier, vol. 68(2), pages 161-199, May.
    18. Horst, Jenke ter & Salganik, Galla, 2014. "Style chasing by hedge fund investors," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 29-42.
    19. Sensoy, Berk A., 2009. "Performance evaluation and self-designated benchmark indexes in the mutual fund industry," Journal of Financial Economics, Elsevier, vol. 92(1), pages 25-39, April.
    20. Steve Hogan & Mitch Warachka, 2008. "Implied measures of relative fund performance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(1), pages 47-66, March.
    21. Beck, Thorsten & De Jonghe, Olivier, 2013. "Lending concentration, bank performance and systemic risk : exploring cross-country variation," Policy Research Working Paper Series 6604, The World Bank.
    22. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc.
    23. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
    24. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2016. "Estimating Style Weights of Mutual Funds by Monte Carlo Filter with Generalized Simulated Annealing," CARF F-Series CARF-F-383, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    25. Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
    26. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.
    27. Mason, Andrew & Agyei-Ampomah, Sam & Skinner, Frank, 2016. "Realism, skill, and incentives: Current and future trends in investment management and investment performance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 31-40.
    28. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
    29. Moreno, David & Marco, Paulina & Olmeda, Ignacio, 2006. "Self-organizing maps could improve the classification of Spanish mutual funds," European Journal of Operational Research, Elsevier, vol. 174(2), pages 1039-1054, October.
    30. Carl Ackermann & Tim Loughran, 2007. "Mutual Fund Incubation and the Role of the Securities and Exchange Commission," Journal of Business Ethics, Springer, vol. 70(1), pages 33-37, January.
    31. Daniel Buncic & Jon E. Eggins & Robert J. Hill, 2010. "Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach," Discussion Papers 2010-12, School of Economics, The University of New South Wales.
    32. Francesco Franzoni & José M. Marin, 2005. "Portable Alphas from Pension Mispricing," Working Papers 227, Barcelona Graduate School of Economics.
    33. Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 2004. "Evaluating style analysis," Other publications TiSEM 8a501733-7a06-4399-8a43-0, Tilburg University, School of Economics and Management.
    34. William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2004. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm6, Yale School of Management.
    35. Ter Horst, J.R. & Nijman, T.E. & Verbeek, M.J.C.M., 2001. "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Other publications TiSEM 144f0bd4-7142-4af6-aeda-0, Tilburg University, School of Economics and Management.
    36. de Roon, Frans & Nijman, Theo E & ter Horst, Jenke, 2002. "Evaluating Style Analysis," CEPR Discussion Papers 3181, C.E.P.R. Discussion Papers.
    37. Kurniawan, Meinanda & How, Janice & Verhoeven, Peter, 2016. "Fund governance and style drift," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 59-72.
    38. Louis K.C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 1999. "On Mutual Fund Investment Styles," NBER Working Papers 7215, National Bureau of Economic Research, Inc.
    39. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2008. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 233-264, January.
    40. Larrymore, Norris L. & Rodriguez, Javier, 2007. "Active fund management: Global asset allocation funds," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 244-256, July.
    41. Matvos, Gregor & Ostrovsky, Michael, 2010. "Heterogeneity and peer effects in mutual fund proxy voting," Journal of Financial Economics, Elsevier, vol. 98(1), pages 90-112, October.
    42. Goetzmann, William N. & Jones, Peter W. & Maggioni, Mauro & Walden, Johan, 2016. "Beauty is in the bid of the beholder: An empirical basis for style," Research in Economics, Elsevier, vol. 70(3), pages 388-402.
    43. Prather, Larry J. & Middleton, Karen L., 2002. "Are N+1 heads better than one?: The case of mutual fund managers," Journal of Economic Behavior & Organization, Elsevier, vol. 47(1), pages 103-120, January.
    44. Martijn Cremers & Antti Petajisto, 2006. "How Active is Your Fund Manager? A New Measure That Predicts Performance," Yale School of Management Working Papers amz2370, Yale School of Management, revised 01 May 2009.
    45. DeLong, Gayle L., 2001. "Stockholder gains from focusing versus diversifying bank mergers," Journal of Financial Economics, Elsevier, vol. 59(2), pages 221-252, February.
    46. Najand, Mohammad & Prather, Larry J., 1999. "The risk level discriminatory power of mutual fund investment objectives: Additional evidence," Journal of Financial Markets, Elsevier, vol. 2(3), pages 307-328, August.
    47. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Discussion Paper 2007-013, Tilburg University, Tilburg Law and Economic Center.
    48. Teo, Melvyn & Woo, Sung-Jun, 2004. "Style effects in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 74(2), pages 367-398, November.
    49. Kim, Moon & Shukla, Ravi & Tomas, Michael, 2000. "Mutual fund objective misclassification," Journal of Economics and Business, Elsevier, vol. 52(4), pages 309-323.
    50. Luca De Angelis, 2013. "Latent class models for financial data analysis: some statistical developments," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(2), pages 227-242, June.
    51. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk and Performance," Discussion Paper 2007-31, Tilburg University, Center for Economic Research.
    52. Tae-Hwan Kim, 2005. "Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 315-343.
    53. Matthew Spiegel & Harry Mamaysky, 2001. "A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization," Yale School of Management Working Papers amz2507, Yale School of Management.
    54. Chuprinin, Oleg & Gaspar, Sergio & Massa, Massimo, 2016. "Adjusting to The Information Environment: News Tangibility and Mutual Fund Performance," CEPR Discussion Papers 11473, C.E.P.R. Discussion Papers.
    55. Takao Kobayashi & Seisho Sato & Akihiko Takahashi, 2005. "Style Analysis Based on a General State Space Model and Monte Carlo Filter," CIRJE F-Series CIRJE-F-337, CIRJE, Faculty of Economics, University of Tokyo.
    56. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 2000. "Evaluating Style Analysis," ERIM Report Series Research in Management ERS-2000-11-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    57. Françoise Le Quéré, 2010. "L’habillage de portefeuille par les gérants de fonds dans la littérature : incitations, effets et risques," Revue d'Économie Financière, Programme National Persée, vol. 97(2), pages 275-293.
    58. Alfredo Ciriaco Fernández & Rafael Santamaría Aquilué, 2005. "Persistencia de resultados en los fondos de inversión españoles," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 525-573, September.
    59. Takao Kobayashi & Seisho Sato & Akihiko Takahashi, 2005. "Style Analysis Based on a General State Space Model and Monte Carlo Filter (Revised in May 2007)," CARF F-Series CARF-F-032, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    60. Lau, Wee Yeap & Chan, Tze-Haw, 2004. "Does Misclassification of Equity Funds Exist? Evidence from Malaysia," MPRA Paper 2029, University Library of Munich, Germany, revised 2005.
    61. Frieder, Laura & Subrahmanyam, Avanidhar, 2001. "Brand Perceptions and the Market for Common Stock, forthcoming, Journal of Financial and Quantitative," University of California at Los Angeles, Anderson Graduate School of Management qt2kt3g862, Anderson Graduate School of Management, UCLA.
    62. Shu, Pei-Gi & Yeh, Yin-Hua & Yamada, Takeshi, 2002. "The behavior of Taiwan mutual fund investors--performance and fund flows," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 583-600, November.
    63. Martijn Cremers & Antti Petajisto & Eric Zitzewitz, 2008. "Should Benchmark Indices Have Alpha? Revisiting Performance," Yale School of Management Working Papers amz2452, Yale School of Management, revised 26 Jan 2010.
    64. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
    65. William Johnson & Jennifer Marietta-Westberg, 2009. "The Distribution of IPO Holdings Across Institutional Mutual Funds," Journal of Business Ethics, Springer, vol. 90(2), pages 119-128, November.
    66. Prather, Larry J. & Middleton, Karen L. & Cusack, Antony J., 2001. "Are N+1 heads better than one? The timing and selectivity of Australian-managed investment funds," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 379-400, August.
    67. Broman, Markus S., 2016. "Liquidity, style investing and excess comovement of exchange-traded fund returns," Journal of Financial Markets, Elsevier, vol. 30(C), pages 27-53.
    68. William Goetzmann & Mauro Maggioni & Johan Walden & Peter Jones, 2004. "Beauty is in the Bid of the Beholder: An Empirical Basis for Style," Yale School of Management Working Papers amz2626, Yale School of Management.
    69. Angeles Fernandez-Izquierdo & Juan Matallin-Saez, 2008. "Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?," Journal of Business Ethics, Springer, vol. 81(2), pages 247-260, August.
    70. Bryant, Lonnie L., 2012. "“Down but Not Out” mutual fund manager turnover within fund families," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 569-593.
    71. Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 353-372, September.
    72. Ferruz Agudo, Luis & Vicente Gimeno, Luis A., 2005. "Are Style Factors exclusive, exhaustive and independent in Spanish Domestic Equity Funds?/¿Son los factores de estilo exclusivos, exhaustivos e independientes en los fondos de inversión españoles de r," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 495-506, Agosto.

  68. William N. Goetzmann & Susan M. Wachter, 1998. "Clustering Methods for Real Estate Portfolios," Yale School of Management Working Papers ysm59, Yale School of Management.

    Cited by:

    1. Philip McCann & Stephen Lee, 2005. "The Implications for Regional Investment of Diversification Strategies in CommercialR eal Estate Portfolios," ERES eres2005_254, European Real Estate Society (ERES).
    2. Kristin Wellner & Matthias Thomas, 2004. "Diversification Benefits from European Direct Real Estate Investment with a Special Focus on the German Market," ERES eres2004_231, European Real Estate Society (ERES).
    3. Mark Gallagher & Asieh Mansour, 2000. "An Analysis of Hotel Real Estate Market Dynamics," Journal of Real Estate Research, American Real Estate Society, vol. 19(2), pages 133-164.
    4. Peter Byrne, 2005. "A Geography of the UK Commercial Property Market," Real Estate & Planning Working Papers rep-wp2005-17, Henley Business School, Reading University.
    5. Theodore M. Crone, 1999. "Using state indexes to define economic regions in the U.S," Working Papers 99-19, Federal Reserve Bank of Philadelphia.
    6. Janet K. Tandy & Leon Shilton, 1999. "Risk Assessment Steeplechase: Hurdles to Becoming a Target Market," Journal of Real Estate Research, American Real Estate Society, vol. 17(2), pages 127-150.
    7. William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.
    8. Jacques Gordon & Paige MosbaughTodd Canter & Todd Canter, 1996. "Integrating Regional Economic Indicators with the Real Estate Cycle," Journal of Real Estate Research, American Real Estate Society, vol. 12(3), pages 469-501.
    9. Theodore M. Crone, 2004. "A redefinition of economic regions in the U.S," Working Papers 04-12, Federal Reserve Bank of Philadelphia.
    10. Theodore M. Crone, 2003. "An alternative definition of economic regions in the U.S. based on similarities in state business cycles," Working Papers 03-23, Federal Reserve Bank of Philadelphia.
    11. Brett Day & Ian Bateman & Iain Lake, 2007. "Beyond implicit prices: recovering theoretically consistent and transferable values for noise avoidance from a hedonic property price model," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 37(1), pages 211-232, May.
    12. Darren Hayunga & R. Pace, 2010. "Spatial Statistics Applied to Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 103-125, August.
    13. Rena Sivitanidou, 1999. "Office Rent Processes: The Case of U.S. Metropolitan Markets," Working Paper 8664, USC Lusk Center for Real Estate.
    14. Piet Eichholtz & Hans Op t Veld & Mark Schweitzer, "undated". "Outperformance: Does Managerial Specialization Pay?," Center for Financial Institutions Working Papers 97-31, Wharton School Center for Financial Institutions, University of Pennsylvania.
    15. William Goetzmann & Matthew Spiegel & Susan Wachter, 1999. "Do Cities and Suburbs Cluster?," Yale School of Management Working Papers ysm115, Yale School of Management, revised 01 May 1999.
    16. Yongheng Deng & Jeffrey D. Fisher & Anthony B. Sanders & Brent Smith, 2003. "Estimation of NOI Growth, Volatility and Clustering by MSA," Working Paper 8613, USC Lusk Center for Real Estate.

  69. William N. Goetzmann & Jonathan Ingersoll, Jr. & Stephen A. Ross, 1998. "High Water Marks," NBER Working Papers 6413, National Bureau of Economic Research, Inc.

    Cited by:

    1. William K.H. Fung & David A. Hsieh, 2006. "Hedge funds: an industry in its adolescence," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 1-34.
    2. Jackwerth, Jens Carsten & Hodder, James E., 2006. "Incentive Contracts and Hedge Fund Management," MPRA Paper 11632, University Library of Munich, Germany.
    3. Francisca Richter & B. Wade Brorsen, 2000. "Estimating fees for managed futures: a continuous-time model with a knockout feature," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 115-125.
    4. Alex Shapiro & Suleyman Basak & Anna Pavlova, 2004. "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," Econometric Society 2004 North American Winter Meetings 583, Econometric Society.
    5. Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, Reading University, revised Sep 2001.
    6. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "Fee Speech: Adverse Selection and the Regulation of Mutual Funds," NBER Working Papers 6644, National Bureau of Economic Research, Inc.
    7. Stulz, Rene M., 2007. "Hedge Funds: Past, Present, and Future," Working Paper Series 2007-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    8. Stephen Brown & William Goetzmann & James Park, 1998. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm83, Yale School of Management, revised 01 Apr 2008.
    9. Ayako Yasuda & Andrew Metrick, 2007. "The economics of private equity funds," Proceedings, Federal Reserve Bank of San Francisco, issue Oct.
    10. Juan-Pedro Gómez & Tridib Sharma, 2003. "Portfolio delegation under short-selling constraints," Economics Working Papers 695, Department of Economics and Business, Universitat Pompeu Fabra.
    11. Stephen J. Brown & William N. Goetzmann & Bing Liang, 2004. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm18, Yale School of Management.
    12. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    13. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2006. "Optimal Asset Allocation and Risk Shifting in Money Management," CEPR Discussion Papers 5524, C.E.P.R. Discussion Papers.
    14. Richard Stanton & Nancy Wallace, 2009. "An Empirical Test of a Contingent Claims Lease Valuation Model," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 1-26.
    15. Palomino, F.A. & Prat, A., 1998. "Risk Taking and Optimal Contracts for Money Managers," Discussion Paper 1998-108, Tilburg University, Center for Economic Research.
    16. Gong Zhan, 2011. "Manager fee contracts and managerial incentives," Review of Derivatives Research, Springer, vol. 14(2), pages 205-239, July.
    17. Stracca, Livio, 2005. "Delegated portfolio management: a survey of the theoretical literature," Working Paper Series 0520, European Central Bank.
    18. Diane Del Guercio & Paula A. Tkac, 2000. "The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds," FRB Atlanta Working Paper 2000-21, Federal Reserve Bank of Atlanta.
    19. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
    20. Castaneda, Pablo, 2005. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," MPRA Paper 3346, University Library of Munich, Germany, revised 30 Dec 2006.
    21. Franklin R. Edward, 1999. "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 189-210, Spring.

  70. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Japanese Open-End Fund Puzzle," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-012, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. Engstrom, Stefan, 2003. "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 463-482, September.
    2. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc.
    3. Hiraki, Takato & Ito, Akitoshi, 2009. "Investor biases in Japan: Another pathology of Keiretsu," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 100-124, January.
    4. Oh, Natalie Y. & Parwada, Jerry T., 2007. "Relations between mutual fund flows and stock market returns in Korea," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 140-151, April.
    5. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.
    6. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
    7. Cha, Heung-Joo & Kim, Jaebeom, 2010. "Stock returns and investment trust flows in the Japanese financial market: A system approach," Journal of Asian Economics, Elsevier, vol. 21(4), pages 327-332, August.
    8. Tanaka, Hiroatsu & Baba, Naohiko, 2004. "Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(1), pages 91-121, March.
    9. Khorana, Ajay & Servaes, Henri & Tufano, Peter, 2005. "Explaining the size of the mutual fund industry around the world," Journal of Financial Economics, Elsevier, vol. 78(1), pages 145-185, October.

  71. Philippe Jorion & William N. Goetzmann, 1998. "A Longer Look at Dividend Yields," Yale School of Management Working Papers ysm41, Yale School of Management.

    Cited by:

    1. Gonçalves, Sílvia & Kilian, Lutz, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 0196, European Central Bank.
    2. Shmuel Kandel & Robert F. Stambaugh, 1995. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers 4997, National Bureau of Economic Research, Inc.
    3. Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    4. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
    5. Brealey, Richard A. & Kwan, Sabrina, 1999. "Personal taxes and the time variation of stock returns - evidence from the UK," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1557-1577, November.
    6. Bhanot, Karan, 2005. "What causes mean reversion in corporate bond index spreads? The impact of survival," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1385-1403, June.
    7. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
    8. William N. Goetzmann & Philippe Jorion, 2004. "A Century of Global Stock Markets," Yale School of Management Working Papers ysm16, Yale School of Management.
    9. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.
    10. Jules H. van Binsbergen & Ralph S.J. Koijen, 2010. "Predictive Regressions: A Present-value Approach," NBER Working Papers 16263, National Bureau of Economic Research, Inc.
    11. Goetzmann, William N. & Jorion, Philippe, 1999. "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 1-32, March.
    12. Samih Antoine Azar, 2004. "Excess volatility in the US stock market: evidence to the contrary," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1307-1311.
    13. Amit Goyal & Ivo Welch, 2003. "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, vol. 49(5), pages 639-654, May.
    14. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
    15. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016. "Predictability Hidden by Anomalous Observations," Papers 1612.05072, arXiv.org.
    16. Greg Filbeck & Sue Visscher, 1997. "Dividend yield strategies in the British stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 277-289.
    17. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
    18. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
    19. Antje Henne & Sebastian Ostrowski & Peter Reichling, 2009. "Dividend yield and stability versus performance on the German stock market: a descriptive study," Review of Managerial Science, Springer, vol. 3(3), pages 225-248, November.
    20. Goetzmann, Will & Le Bris, David & Pouget, Sébastien, 2017. "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers 17-794, Toulouse School of Economics (TSE).
    21. Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.

  72. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc.

    Cited by:

    1. Bodnar, Gordon & Dumas, Bernard & Marston, Richard, 2003. "Cross-Border Valuation: The International Cost of Equity Capital," Working Papers 03-3, University of Pennsylvania, Wharton School, Weiss Center.
    2. Goetzmann, William N. & Jorion, Philippe, 1999. "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 1-32, March.
    3. Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI, 2005. "Distribution Risk and Equity Returns," FAME Research Paper Series rp161, International Center for Financial Asset Management and Engineering.
    4. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
    5. Alier, Max & Vittas, Dimitri, 2000. "Personal pension plans and stock market volatility," Policy Research Working Paper Series 2463, The World Bank.
    6. Costa, Jose Carlos & Mata, Maria Eugenia & Justino, David, 2009. "Portuguese Average Cost Of Capital," FEUNL Working Paper Series wp543, Universidade Nova de Lisboa, Faculdade de Economia.

  73. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1997. "Offshore Hedge Funds: Survival and Performance 1989-1995," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-18, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. Adrian, Tobias & Brunnermeier, Markus K., 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York, revised 01 Sep 2014.
      • Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    2. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
    3. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
    4. Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes & Batts, Ryan M., 2006. "The Pricing Performance of Market Advisory Services in Corn and Soybeans Over 1995-2004," AgMAS Project Research Reports 37513, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    5. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2006. "Is There Hedge Fund Contagion?," NBER Working Papers 12090, National Bureau of Economic Research, Inc.
    6. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
    7. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    8. Harry. M Kat & Faye Menexe, 2002. "Persistence in Hedge Fund Performance: The True Value of a Track Record," ICMA Centre Discussion Papers in Finance icma-dp2002-13, Henley Business School, Reading University.
    9. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.

  74. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc.

    Cited by:

    1. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    2. Kabir Hassan, M. & Maroney, Neal C. & Monir El-Sady, Hassan & Telfah, Ahmad, 2003. "Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa," Economic Systems, Elsevier, vol. 27(1), pages 63-82, March.
    3. Chance, Don M. & Hemler, Michael L., 2001. "The performance of professional market timers: daily evidence from executed strategies," Journal of Financial Economics, Elsevier, vol. 62(2), pages 377-411, November.
    4. Christos Savva & Nektarios Aslanidis, 2010. "Stock market integration between new EU member states and the Euro-zone," Empirical Economics, Springer, vol. 39(2), pages 337-351, October.
    5. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
    6. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    7. Stambaugh, Robert F., 1997. "Analyzing investments whose histories differ in length," Journal of Financial Economics, Elsevier, vol. 45(3), pages 285-331, September.
    8. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
    9. William N. Goetzmann & Philippe Jorion, 2004. "A Century of Global Stock Markets," Yale School of Management Working Papers ysm16, Yale School of Management.
    10. Veronesi, Pietro, 2004. "The Peso problem hypothesis and stock market returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 707-725, January.
    11. Rochon, Mathieu & Desrosiers, Stéphanie & L’Her, Jean-François, 2004. "Révision à la baisse de la prime sur les actions au Canada," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(1), pages 137-170, Mars.
    12. Guidi, Francesco & Ugur, Mehmet, 2012. "Are South East Europe stock markets integrated with regional and global stock markets?," MPRA Paper 44133, University Library of Munich, Germany, revised Dec 2012.
    13. Kuan-Min Wang, 2013. "Did Vietnam stock market avoid the “contagion risk” from China and the U.S.? The contagion effect test with dynamic correlation coefficients," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(4), pages 2143-2161, June.
    14. Gerald Kohers & Ninon Kohers & Theodor Kohers, 2006. "The risk and return characteristics of developed and emerging stock markets: the recent evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 13(11), pages 737-743.
    15. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
    16. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
    17. Hui, Eddie C.M. & Chen, Jia, 2012. "Investigating the change of causality in emerging property markets during the financial tsunami," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3951-3962.
    18. Martín González-Rozada & Luis Pereiro, "undated". "Forecasting Prices in Regime-Switching Markets," Department of Economics Working Papers 2013_2, Universidad Torcuato Di Tella.
    19. William N. Goetzmann, 2015. "Bubble Investing: Learning from History," NBER Working Papers 21693, National Bureau of Economic Research, Inc.
    20. Crowley, Frederick D. & Loviscek, Anthony L., 2002. "Assessing the impact of political unrest on currency returns: A look at Latin America," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 143-153.
    21. Voth, Hans-Joachim, 2002. "With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression," CEPR Discussion Papers 3257, C.E.P.R. Discussion Papers.
    22. Bugár, Gyöngyi & Uzsoki, Máté, 2005. "Nemzetközi részvény befektetési lehetőségek Közép- és Kelet-Európa új európai uniós tagállamainak szemszögéből
      [Opportunities for investing in international stocks, seen from the viewpoint of the n
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 576-598.
    23. Chelley-Steeley, Patricia L., 2005. "Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 818-831, September.
    24. G. A. Christodoulakis & E. C. Mamatzakis, 2009. "Assessing the prudence of economic forecasts in the EU," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 583-606.
    25. Kuan-Min Wang & Hung-Cheng Lai, 2013. "Which Global Stock Indices Trigger Stronger Contagion Risk in the Vietnamese Stock Market? Evidence Using a Bivariate Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(4), pages 473-497, June.
    26. Klaas Baks & Andrew Metrick & Jessica Wachter, "undated". "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research.
    27. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research.
    28. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
    29. Hagelin, Niclas & Pramborg, Bengt, 2004. "Dynamic investment strategies with and without emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(2), pages 193-215, June.
    30. Ramcharran, Harri, 2002. "An empirical analysis of the determinants of the P/E ratio in emerging markets," Emerging Markets Review, Elsevier, vol. 3(2), pages 165-178, June.
    31. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 995-1005.
    32. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers.
    33. Kargin, Vladislav, 2002. "Value investing in emerging markets: risks and benefits," Emerging Markets Review, Elsevier, vol. 3(3), pages 233-244, September.
    34. Durai, S. Raja Sethu & Bhaduri, Saumitra N., 2011. "Correlation dynamics in equity markets: evidence from India," Research in International Business and Finance, Elsevier, vol. 25(1), pages 64-74, January.
    35. Antonio Torrero Mañas, 2005. "The increasing relevance of the stock market in the world: A new scenario," Working Papers 01/05, Instituto Universitario de Análisis Económico y Social.
    36. Chelley-Steeley, Patricia, 2004. "Equity market integration in the Asia-Pacific region: A smooth transition analysis," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 621-632.
    37. Malcolm Anderson, 2000. "Accounting History Publications 1999," Accounting History Review, Taylor & Francis Journals, vol. 10(3), pages 385-393.
    38. Kouwenberg, Roy & Salomons, Roelof, 2003. "Value investing in emerging markets : local macroeconomic risk and extrapolation," Research Report 03E22, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    39. Andrade, Sandro C., 2009. "A model of asset pricing under country risk," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 671-695, June.
    40. Hwahsin Cheng & John Glascock, 2005. "Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 343-357, June.
    41. Pedro Arbulu, 1998. "La bourse de Paris au XIXe siècle : l’exemple d’un marché émergent devenu efficient," Revue d'Économie Financière, Programme National Persée, vol. 49(5), pages 213-249.
    42. Wolfgang Drobetz & Susanne Stürmer & Heinz Zimmermann, 2002. "Conditional Asset Pricing in Emerging Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(IV), pages 507-526, December.
    43. Nikkinen, Jussi, 2003. "Impact of foreign ownership restrictions on stock return distributions: evidence from an option market," Journal of Multinational Financial Management, Elsevier, vol. 13(2), pages 141-159, April.
    44. Patton, Andrew J, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series qt3fc1c8hw, Department of Economics, UC San Diego.

  75. William N. Goetzmann & Brent W. Ambrose, 1996. "Risks and Incentives in Underserved Mortgage Markets," Yale School of Management Working Papers ysm62, Yale School of Management.

    Cited by:

    1. William Goetzmann & Matthew Spiegel, 2000. "The Policy Implications of Portfolio Choice in Underserved Mortgage Markets," Yale School of Management Working Papers ysm161, Yale School of Management, revised 01 Mar 2001.
    2. Di, Zhu Xiao & Belsky, Eric & Liu, Xiaodong, 2007. "Do homeowners achieve more household wealth in the long run?," Journal of Housing Economics, Elsevier, vol. 16(3-4), pages 274-290, November.
    3. Ambrose, Brent W. & Diop, Moussa, 2014. "Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market," Journal of Urban Economics, Elsevier, vol. 81(C), pages 114-135.

  76. William N. Goetzmann and Matthew Spiegel., 1995. "A Spatial Model of Housing Returns and Neighborhood Substitutability," Research Program in Finance Working Papers RPF-253, University of California at Berkeley.

    Cited by:

    1. Daniel P. McMillen, 2002. "The center restored: Chicago's residential price gradient reemerges," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 2-11.
    2. Cannaday, Roger E. & Munneke, Henry J. & Yang, Tyler T., 2005. "A multivariate repeat-sales model for estimating house price indices," Journal of Urban Economics, Elsevier, vol. 57(2), pages 320-342, March.
    3. Lin, Emily Y., 2001. "Information, Neighborhood Characteristics, and Home Mortgage Lending," Journal of Urban Economics, Elsevier, vol. 49(2), pages 337-355, March.
    4. S. Wong & C. Yiu & K. Chau, 2013. "Trading Volume-Induced Spatial Autocorrelation in Real Estate Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(4), pages 596-608, May.
    5. Liang Peng, 2012. "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 804-827, October.
    6. Hany Guirguis & Christos Giannikos & Randy Anderson, 2004. "The US Housing Market: Asset Pricing Forecasts Using Time Varying Coefficients," The Journal of Real Estate Finance and Economics, Springer, vol. 30(1), pages 33-53, October.
    7. James Hansen, 2006. "Australian House Prices: A Comparison of Hedonic and Repeat-sales Measures," RBA Research Discussion Papers rdp2006-03, Reserve Bank of Australia.
    8. Eichholtz, Piet & Straetmans, Stefan & Theebe, Marcel, 2012. "The Amsterdam rent index: The housing market and the economy, 1550–1850," Journal of Housing Economics, Elsevier, vol. 21(4), pages 269-282.
    9. McMillen, Daniel P., 2003. "The return of centralization to Chicago: using repeat sales to identify changes in house price distance gradients," Regional Science and Urban Economics, Elsevier, vol. 33(3), pages 287-304, May.
    10. Song Shi & Martin Young & Bob Hargreaves, 2010. "House Price-Volume Dynamics: Evidence from 12 Cities in New Zealand," Journal of Real Estate Research, American Real Estate Society, vol. 32(1), pages 75-100.
    11. Hwang, Min & Quigley, John M., 2002. "Price Discovery in Time and Space: The Course of Condominium Prices in Singapore," Department of Economics, Working Paper Series qt7ph788mn, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    12. William Goetzmann & Matthew Spiegel, 2000. "The Policy Implications of Portfolio Choice in Underserved Mortgage Markets," Yale School of Management Working Papers ysm161, Yale School of Management, revised 01 Mar 2001.
    13. Susin, Scott, 1999. "Rent Vouchers and the Price of Low-Income Housing," Berkeley Program on Housing and Urban Policy, Working Paper Series qt67d5x29s, Berkeley Program on Housing and Urban Policy.
    14. Goodman, Allen C. & Thibodeau, Thomas G., 2003. "Housing market segmentation and hedonic prediction accuracy," Journal of Housing Economics, Elsevier, vol. 12(3), pages 181-201, September.
    15. Susin, Scott, 2002. "Rent vouchers and the price of low-income housing," Journal of Public Economics, Elsevier, vol. 83(1), pages 109-152, January.

  77. Goetzmann, W.N., 1993. "Attrition and Mutual Fund Performance," Papers 93-01, Columbia - Graduate School of Business.

    Cited by:

    1. Athanasios Orphanides, "undated". "Compensation Incentives and Risk Taking Behavior: Evidence from Mutual Funds," Finance and Economics Discussion Series 1996-21, Board of Governors of the Federal Reserve System (U.S.).
    2. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999. "Performance and Characteristics of Swedish Mutual Funds 1993-97," CEPR Discussion Papers 2166, C.E.P.R. Discussion Papers.
    3. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
    4. Alexander Stremme, 1999. "Optimal Compensation for Fund Managers of Uncertain Type: The Information Advantages of Bonus Schemes," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-029, New York University, Leonard N. Stern School of Business-.

  78. Goetzman, W.N. & Jorion, P., 1992. "Testing the Predictive Power of Dividend Yields," Papers 93-03, Columbia - Graduate School of Business.

    Cited by:

    1. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
    2. Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
    3. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
    4. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA.
    5. Gonçalves, Sílvia & Kilian, Lutz, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 0196, European Central Bank.
    6. Thomas George & Chuan-Yang Hwang & Tavy Ronen, 2010. "Bootstrap refinements in tests of microstructure frictions," Review of Quantitative Finance and Accounting, Springer, vol. 35(1), pages 47-70, July.
    7. Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    8. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
    9. Erik Hjalmarsson, 2006. "Predictive regressions with panel data," International Finance Discussion Papers 869, Board of Governors of the Federal Reserve System (U.S.).
    10. Lewellen, Jonathan, 2003. "Predicting Returns With Financial Ratios," Working papers 4374-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    11. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
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    81. William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG, 2004. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm5, Yale School of Management.
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    83. John Y. Campbell & Luis Viceira, 2005. "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers 11119, National Bureau of Economic Research, Inc.
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  79. Goetzmann, W.N. & Spiegel, M., 1992. "Non-temporal Components of Residential Real Estate Appreciation," Papers 92-20, Columbia - Graduate School of Business.

    Cited by:

    1. Michel Baroni & Fabrice Barthélémy & Mokrane Mahdi, 2009. "A Repeat Sales Index Robust to Small Datasets," Post-Print hal-00551732, HAL.
    2. Jed Cohen & Christine Blinn & Kevin Boyle & Thomas Holmes & Klaus Moeltner, 2016. "Hedonic Valuation with Translating Amenities: Mountain Pine Beetles and Host Trees in the Colorado Front Range," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 63(3), pages 613-642, March.
    3. Stephen Billings & Thomas Thibodeau, 2011. "Intrametropolitan Decentralization: Is Government Structure Capitalized in Residential Property Values?," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 416-450, May.
    4. Dröes, Martijn I. & Hassink, Wolter H.J., 2013. "House price risk and the hedging benefits of home ownership," Journal of Housing Economics, Elsevier, vol. 22(2), pages 92-99.
    5. James Hansen, 2006. "Australian House Prices: A Comparison of Hedonic and Repeat-sales Measures," RBA Research Discussion Papers rdp2006-03, Reserve Bank of Australia.
    6. Joseph Gyourko & Joseph Tracy, 2003. "Using home maintenance and repairs to smooth variable earnings," Staff Reports 168, Federal Reserve Bank of New York.
    7. Michel Baroni & Fabrice Barthe´le´my & Mahdi Mokrane, 2007. "APCA Factor Repeat Sales Index for Apartment Prices in Paris," Journal of Real Estate Research, American Real Estate Society, vol. 29(2), pages 137-158.
    8. James Bugden, 2014. "Quality-Adjusted Repeat-Sale House Price Indices," Working Papers 2014.01, School of Economics, La Trobe University.
    9. Dorsey, Robert E. & Hu, Haixin & Mayer, Walter J. & Wang, Hui-chen, 2010. "Hedonic versus repeat-sales housing price indexes for measuring the recent boom-bust cycle," Journal of Housing Economics, Elsevier, vol. 19(2), pages 75-93, June.
    10. Bernard Thion & Tatiana Bouzdine Chameeva, 2001. "Comparative Analysis of Several Models of Price Indices in Real Estate Transactions," ERES eres2001_285, European Real Estate Society (ERES).
    11. William Goetzmann & Matthew Spiegel, 2000. "The Policy Implications of Portfolio Choice in Underserved Mortgage Markets," Yale School of Management Working Papers ysm161, Yale School of Management, revised 01 Mar 2001.
    12. Wang, Ferdinand T. & Zorn, Peter M., 1997. "Estimating House Price Growth with Repeat Sales Data: What's the Aim of the Game?," Journal of Housing Economics, Elsevier, vol. 6(2), pages 93-118, June.
    13. William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG, 2004. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm5, Yale School of Management.
    14. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, Elsevier.
    15. James Bugden, 2013. "Renovations and the Repeat-Sales House Price Index," Working Papers 2013.08, School of Economics, La Trobe University.
    16. Billings, Stephen B., 2011. "Estimating the value of a new transit option," Regional Science and Urban Economics, Elsevier, vol. 41(6), pages 525-536.
    17. Philippe Bracke, 2013. "House Prices and Rents: Micro Evidence from a Matched Dataset in Central London_x0003_," ERSA conference papers ersa13p112, European Regional Science Association.
    18. Abel Cadenillas & Robert Elliott & Hong Miao & Zhenyu Wu, 2009. "Risk-Hedging in Real Estate Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 265-285, December.
    19. Marilena Locatelli Biey & Roberto Zanola, 1999. "Investment in Paintings: A Short-Run Price Index," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 23(3), pages 209-219, August.
    20. Dubé, Jean & Thériault, Marius & Des Rosiers, François, 2013. "Commuter rail accessibility and house values: The case of the Montreal South Shore, Canada, 1992–2009," Transportation Research Part A: Policy and Practice, Elsevier, vol. 54(C), pages 49-66.
    21. Harding, John P. & Rosenthal, Stuart S. & Sirmans, C.F., 2007. "Depreciation of housing capital, maintenance, and house price inflation: Estimates from a repeat sales model," Journal of Urban Economics, Elsevier, vol. 61(2), pages 193-217, March.
    22. Marvin L. Wolverton & Jimmy Senteza, 2000. "Hedonic Estimates of Regional Constant Quality House Prices," Journal of Real Estate Research, American Real Estate Society, vol. 19(3), pages 235-253.

  80. Broadie, M. & Goetzmann, W., 1992. "Safety First Portfolio Choice," Papers 92-23, Columbia - Graduate School of Business.

    Cited by:

    1. Levy, Haim & Levy, Moshe, 2009. "The safety first expected utility model: Experimental evidence and economic implications," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1494-1506, August.

  81. Goetzmann, W.N. & Greenward, B. & Huberman, G., 1992. "Market Response to Mutual Fund Performance," Papers 92-25, Columbia - Graduate School of Business.

    Cited by:

    1. Ciccotello, Conrad S. & Grant, C. Terry, 1996. "Equity fund size and growth: Implications for performance and selection," Financial Services Review, Elsevier, vol. 5(1), pages 1-12.
    2. R. Anton Braun & Arijit Mukherji & David E. Runkle, 1996. "Delayed financial disclosure: Mexico's recent experience," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 13-21.

  82. Goetzmann, W.N. & Ibbotson, R.G., 1990. "Do Winners Repeat? Patterns in Mutual Fund Behavior," Papers fb-_91-04, Columbia - Graduate School of Business.

    Cited by:

    1. Graham, John R. & Harvey, Campbell R., 1996. "Market timing ability and volatility implied in investment newsletters' asset allocation recommendations," Journal of Financial Economics, Elsevier, vol. 42(3), pages 397-421, November.
    2. Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2008. "The Small World of Investing: Board Connections and Mutual Fund Returns," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 951-979, October.
    3. J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002. "The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/160, Ghent University, Faculty of Economics and Business Administration.
    4. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc.
    5. Michael K. Berkowitz & Yehuda Kotowitz, 1997. "Management Compensation and the Performance of Mutual Funds," Working Papers berk-97-01, University of Toronto, Department of Economics.
    6. James Choi & David Laibson & Brigitte Madrain & Andrew Metrick, 2007. "Reinforcement Learning in Investment Behavior," Levine's Bibliography 122247000000001737, UCLA Department of Economics.
    7. Fabrice Hervé, 2003. "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Post-Print hal-00488374, HAL.
    8. Jonathan B. Berk & Ian Tonks, 2007. "Return Persistence and Fund Flows in the Worst Performing Mutual Funds," NBER Working Papers 13042, National Bureau of Economic Research, Inc.
    9. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1997. "Offshore Hedge Funds: Survival and Performance 1989-1995," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-18, New York University, Leonard N. Stern School of Business-.
    10. Cohen, Randolph & Coval, Joshua & Pástor, Luboš, 2003. "Judging Fund Managers by the Company They Keep," CEPR Discussion Papers 3717, C.E.P.R. Discussion Papers.
    11. Judith Chevalier & Glenn Ellison, 1998. "Career Concerns of Mutual Fund Managers," NBER Working Papers 6394, National Bureau of Economic Research, Inc.
    12. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group.
    13. Klaas Baks & Andrew Metrick & Jessica Wachter, "undated". "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research.
    14. Gray, Wesley & Kern, Andrew, 2008. "Fundamental Value Investors: Characteristics and Performance," MPRA Paper 12620, University Library of Munich, Germany.
    15. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999. "Performance and Characteristics of Swedish Mutual Funds 1993-97," CEPR Discussion Papers 2166, C.E.P.R. Discussion Papers.
    16. Anandi Sahu & Robert Kleiman & Joseph Callaghan, 1998. "The Timing and Stock Selection Abilities of Bank Funds: Evidence Based on Meta-Analysis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(2), pages 137-152, April.
    17. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
    18. Alexander Stremme, 1999. "Optimal Compensation for Fund Managers of Uncertain Type: The Information Advantages of Bonus Schemes," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-029, New York University, Leonard N. Stern School of Business-.
    19. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, "undated". "The wildcard option in transaction mutual-fund shares," Rodney L. White Center for Financial Research Working Papers 25-99, Wharton School Rodney L. White Center for Financial Research.
    20. Alfredo Ciriaco Fernández & Rafael Santamaría Aquilué, 2005. "Persistencia de resultados en los fondos de inversión españoles," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 525-573, September.
    21. Maria Do Ceu Ribeiro Cortez & Dean Paxson & Manuel Jose Da Rocha Armada, 1999. "Persistence in Portuguese mutual fund performance," The European Journal of Finance, Taylor & Francis Journals, vol. 5(4), pages 342-365.
    22. Harry. M Kat & Faye Menexe, 2002. "Persistence in Hedge Fund Performance: The True Value of a Track Record," ICMA Centre Discussion Papers in Finance icma-dp2002-13, Henley Business School, Reading University.
    23. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, 1999. "The Wildcard Option in Transacting Mutual-Fund Shares," Center for Financial Institutions Working Papers 00-03, Wharton School Center for Financial Institutions, University of Pennsylvania.

  83. Goetzmann, W.N., 1990. "The Single Family Home In The Investment Portfolio," Papers fb-_90-15, Columbia - Graduate School of Business.

    Cited by:

    1. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc.
    2. John Y. Campbell & Joao F. Cocco, 2005. "How Do House Prices Affect Consumption? Evidence From Micro Data," Harvard Institute of Economic Research Working Papers 2083, Harvard - Institute of Economic Research.
    3. Berg, Nathan & Gu, Anthony Y. & Lien, Donald, 2007. "Dynamic correlation: A tool hedging house-price risk?," MPRA Paper 26368, University Library of Munich, Germany.
    4. Jan Rouwendal, 2009. "Housing Wealth and Household Portfolios in an Ageing Society," De Economist, Springer, vol. 157(1), pages 1-48, March.
    5. Todd Sinai & Nicholas S. Souleles, 2005. "Owner-Occupied Housing as a Hedge Against Rent Risk," The Quarterly Journal of Economics, Oxford University Press, vol. 120(2), pages 763-789.
    6. Pelizzon, Loriana & Weber, Guglielmo, 2008. "Are Household Portfolios Efficient? an Analysis Conditional on Housing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(02), pages 401-431, June.
    7. Joao Cocco & John Campbell, 2004. "Household Risk Management and Optimal Mortgage Choice," Econometric Society 2004 North American Winter Meetings 632, Econometric Society.
    8. Andrew Caplin & William Goetzmann & Eric Hangen & Barry Nalebuff & Elisabeth Prentice & John Rodkin & Matthew Spiegel & Tom Skinner, 2003. "Home Equity Insurance: A Pilot Project," Yale School of Management Working Papers ysm372, Yale School of Management, revised 23 Jan 2006.
    9. Flavin, Marjorie & Yamashita, Takashi, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio over the Life Cycle," University of California at San Diego, Economics Working Paper Series qt89x293v9, Department of Economics, UC San Diego.
    10. Christian A. L. Hilber, "undated". "Neighborhood Externality Risk and The Home Ownership Status of Properties," Zell/Lurie Center Working Papers 387, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
    11. Ji, Tingting, 2004. "Essays on consumer portfolio choice and credit risk," MPRA Paper 3161, University Library of Munich, Germany.
    12. Yamashita, Takashi, 2003. "Owner-occupied housing and investment in stocks: an empirical test," Journal of Urban Economics, Elsevier, vol. 53(2), pages 220-237, March.
    13. Kincal, Gokce & Fullerton, Thomas M., Jr. & Holcomb, James H. & Barraza de Anda, Martha P., 2010. "Cross Border Business Cycle Impacts on the El Paso Housing Market," MPRA Paper 29095, University Library of Munich, Germany, revised 2010.
    14. Englund, Peter & Hwang, Min & Quigley, John M, 2002. "Hedging Housing Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 167-200, Jan.-Marc.
    15. Aye, G.C. & Goswami, S. & Gupta, R., 2013. "Metropolitan House Prices In Regions of India: Do They Converge?," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 13(1), pages 135-144.
    16. Peter Chinloy & Nancy Macdonald, 2004. "Subprime Lenders and Mortgage Market Completion," The Journal of Real Estate Finance and Economics, Springer, vol. 30(2), pages 153-165, November.
    17. Pelizzon, Loriana & Weber, Guglielmo, 2009. "Efficient portfolios when housing needs change over the life cycle," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2110-2121, November.
    18. Ambrose, Brent W. & Goetzmann, William N., 1998. "Risks and Incentives in Underserved Mortgage Markets," Journal of Housing Economics, Elsevier, vol. 7(3), pages 274-285, September.
    19. Goodness C. Aye & Samrat Goswami & Rangan Gupta, 2012. "Metropolitan House Prices In India: Do They Converge?," Working Papers 201220, University of Pretoria, Department of Economics.
    20. Khalid Sekkat & Ariane Szafarz, 2009. "Valuing homeownership," Working Papers CEB 09-006.RS, ULB -- Universite Libre de Bruxelles.
    21. Kraft, Holger & Munk, Claus & Wagner, Sebastian, 2015. "Housing habits and their implications for life-cycle consumption and investment," SAFE Working Paper Series 85, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    22. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio Over the Life-Cycle," NBER Working Papers 6389, National Bureau of Economic Research, Inc.
    23. Steven C. BOURASSA & Donald R. HAURIN & Jessica L. HAURIN & Martin HOESLI & Jian SUN, 2005. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," FAME Research Paper Series rp160, International Center for Financial Asset Management and Engineering.
    24. Stephen H. Shore & Todd Sinai, 2005. "Commitment, Risk, and Consumption: Do Birds of a Feather Have Bigger Nests?," NBER Working Papers 11588, National Bureau of Economic Research, Inc.
    25. de Roon, Frans & Eichholtz, Piet & Koedijk, Kees, 2002. "The Portfolio Implications of Home Ownership," CEPR Discussion Papers 3501, C.E.P.R. Discussion Papers.
    26. Waggle, Doug & Johnson, Don T., 2009. "Homeownership and mixed-asset portfolio allocations," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 484-500, May.
    27. William Goetzmann, 1998. "The Effect of Seller Reserves on Market Index Estimation," Yale School of Management Working Papers ysm61, Yale School of Management, revised 01 Aug 2000.
    28. Juerg Syz & Paolo Vanini & Marco Salvi, 2008. "Property Derivatives and Index-Linked Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 23-35, January.
    29. Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta, 2013. "Convergence in Provincial-Level South African House Prices: Evidence from the Club Convergence and Clustering Procedure," Working Papers 201322, University of Pretoria, Department of Economics.
    30. Tan, Teck Hong & Khong, Kok Wei, 2012. "The Link between Homeownership Motivation and Housing Satisfaction," MPRA Paper 46890, University Library of Munich, Germany.
    31. Ji, Tingting, 2004. "Consumer Credit Delinquency And Bankruptcy Forecasting Using Advanced Econometrc Modeling," MPRA Paper 3187, University Library of Munich, Germany.
    32. Theodore M. Crone & Richard Voith, 1998. "Risk and return within the single-family housing market," Working Papers 98-4, Federal Reserve Bank of Philadelphia.
    33. Ortalo-Magné, François & Prat, Andrea, 2010. "Spatial Asset Pricing: A First Step," CEPR Discussion Papers 7842, C.E.P.R. Discussion Papers.
    34. Goswami, Gautam & Tan, Sinan & Waisman, Maya, 2014. "Understanding the cross-section of the U.S. housing bubble: The roles of lending, transaction costs, and rent growth," Journal of Financial Stability, Elsevier, vol. 15(C), pages 76-90.
    35. William Goetzmann & Matthew Spiegel, 2000. "The Policy Implications of Portfolio Choice in Underserved Mortgage Markets," Yale School of Management Working Papers ysm161, Yale School of Management, revised 01 Mar 2001.
    36. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, Elsevier.
    37. Di, Zhu Xiao & Belsky, Eric & Liu, Xiaodong, 2007. "Do homeowners achieve more household wealth in the long run?," Journal of Housing Economics, Elsevier, vol. 16(3-4), pages 274-290, November.
    38. Timothy Riddiough & Paul Childs & Steven Ott, 2001. "Noise, Real Estate Markets, and Options on Real Assets: Applications," Wisconsin-Madison CULER working papers 01-06, University of Wisconsin Center for Urban Land Economic Research.
    39. Abel Cadenillas & Robert Elliott & Hong Miao & Zhenyu Wu, 2009. "Risk-Hedging in Real Estate Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 265-285, December.
    40. Abdulnasser Hatemi-J & Eduardo Roca, 2011. "Are Real Estate Markets Integrated with the World Market?," Discussion Papers in Finance finance:201111, Griffith University, Department of Accounting, Finance and Economics.
    41. Manish Gupta, 2012. "What factors affect hedging incentives of housing demand?," ERES eres2012_118, European Real Estate Society (ERES).
    42. Diego A. Salzman & Remco C.J. Zwinkels, 2013. "Behavioural Real Estate," Tinbergen Institute Discussion Papers 13-088/IV/DSF58, Tinbergen Institute.

  84. Goetzmann, W.N., 1990. "Accounting For Taste: An Analysis Of Art Returns Over Three Centuries," Papers fb-_90-11, Columbia - Graduate School of Business.

    Cited by:

    1. Olivier Chanel & Louis-André Gérard-Varet & Victor Ginsburgh, 1996. "The relevance of hedonic price indices," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 20(1), pages 1-24, March.
    2. Madeleine de la Barre & Sophie Docclo & Victor Ginsburgh, 1994. "Returns of impressionist, modern and contemporary European painters, 1962-1991," ULB Institutional Repository 2013/1723, ULB -- Universite Libre de Bruxelles.
    3. Corinna Czujack & Renato Flores Galvao & Victor Ginsburgh, 1996. "On long-run price comovements between paintings and prints on international markets," ULB Institutional Repository 2013/1879, ULB -- Universite Libre de Bruxelles.
    4. Robert J. Shiller, 1991. "Arithmetic Repeat Sales Price Estimators," Cowles Foundation Discussion Papers 971, Cowles Foundation for Research in Economics, Yale University.

  85. Goetzmann, W.N., 1990. "The Accuracy Of Real Estimate Indices: Repeat Sale Estimators," Papers fb-_90-17, Columbia - Graduate School of Business.

    Cited by:

    1. Michel Baroni & Fabrice Barthélémy & Mokrane Mahdi, 2009. "A Repeat Sales Index Robust to Small Datasets," Post-Print hal-00551732, HAL.
    2. Beggs, Alan & Graddy, Kathryn, 2006. "Failure to Meet the Reserve Price: The Impact on Returns to Art," CEPR Discussion Papers 5811, C.E.P.R. Discussion Papers.
    3. Christopher J. Mayer, 1993. "Taxes, income distribution, and the real estate cycle: why all houses do not appreciate at the same rate," New England Economic Review, Federal Reserve Bank of Boston, issue May, pages 39-50.
    4. Cannaday, Roger E. & Munneke, Henry J. & Yang, Tyler T., 2005. "A multivariate repeat-sales model for estimating house price indices," Journal of Urban Economics, Elsevier, vol. 57(2), pages 320-342, March.
    5. Spaenjers, Christophe & Goetzmann, William N. & Mamonova, Elena, 2015. "The economics of aesthetics and record prices for art since 1701," Explorations in Economic History, Elsevier, vol. 57(C), pages 79-94.
    6. Dimson, Elroy & Spaenjers, Christophe, 2011. "Ex post: The investment performance of collectible stamps," Journal of Financial Economics, Elsevier, vol. 100(2), pages 443-458, May.
    7. Robert J. Shiller, 1993. "Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures," NBER Technical Working Papers 0131, National Bureau of Economic Research, Inc.
    8. Liang Peng, 2012. "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 804-827, October.
    9. Roman Kraussl & Arthur Korteweg & Patrick Verwijmeren, 2013. "Does it Pay to Invest in Art? A Selection-corrected Returns Perspective," LSF Research Working Paper Series 13-7, Luxembourg School of Finance, University of Luxembourg.
    10. James Hansen, 2006. "Australian House Prices: A Comparison of Hedonic and Repeat-sales Measures," RBA Research Discussion Papers rdp2006-03, Reserve Bank of Australia.
    11. Eichholtz, Piet & Straetmans, Stefan & Theebe, Marcel, 2012. "The Amsterdam rent index: The housing market and the economy, 1550–1850," Journal of Housing Economics, Elsevier, vol. 21(4), pages 269-282.
    12. Baroni, Michel & Barthelemy, Fabrice & Mokrane, Madhi, 2003. "Which Capital Growth Index for the Paris Residential Market?," ESSEC Working Papers DR 03002, ESSEC Research Center, ESSEC Business School.
    13. Jeff Fisher & David Geltner & Henry Pollakowski, 2007. "A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 5-33, January.
    14. Christopher J. Meyer, 1993. "Assessing the performance of real estate auctions," Working Papers 93-1, Federal Reserve Bank of Boston.
    15. Jianping Mei & Michael Moses, 2002. "Art as an Investment and the Underperformance of Masterpieces," American Economic Review, American Economic Association, vol. 92(5), pages 1656-1668, December.
    16. Fabian Y.R.P. Bocart & Christian M. Hafner, 2012. "Volatility of price indices for heterogeneous goods," SFB 649 Discussion Papers SFB649DP2012-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    17. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2004. "Physical Real Estate. A Paris Repeat Sales Residential Index," ERES eres2004_105, European Real Estate Society (ERES).
    18. Hill, Robert J. & Melser, Daniel & Syed, Iqbal, 2009. "Measuring a boom and bust: The Sydney housing market 2001-2006," Journal of Housing Economics, Elsevier, vol. 18(3), pages 193-205, September.
    19. Paul de Vries & Frank Vastman, 2011. "Towards an index for the rental sector: a model for the Flanders housing market," ERES eres2011_335, European Real Estate Society (ERES).
    20. Victor Ginsburgh & Jianping Mei & Michael Moses, 2006. "On the computation of art indices in art," ULB Institutional Repository 2013/7290, ULB -- Universite Libre de Bruxelles.
    21. Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 24-52, July.
    22. Lucey, Brian M. & Devine, Liam, 2015. "Was wine a premier cru investment?," Research in International Business and Finance, Elsevier, vol. 34(C), pages 33-51.
    23. Arthur Korteweg & Morten Sorensen, 2012. "Estimating Loan-to-Value and Foreclosure Behavior," NBER Working Papers 17882, National Bureau of Economic Research, Inc.
    24. Erdős, Péter & Ormos, Mihály, 2012. "Pricing of collectibles: Baedeker guidebooks," Economic Modelling, Elsevier, vol. 29(5), pages 1968-1978.
    25. S. Jansen & P. Vries & H. Coolen & C. Lamain & P. Boelhouwer, 2008. "Developing a House Price Index for The Netherlands: A Practical Application of Weighted Repeat Sales," The Journal of Real Estate Finance and Economics, Springer, vol. 37(2), pages 163-186, August.
    26. Devaney, Steven, 2010. "Trends in office rents in the City of London: 1867-1959," Explorations in Economic History, Elsevier, vol. 47(2), pages 198-212, April.
    27. Kathryn Graddy & Jonathan Hamilton & Rachel Pownall, 2012. "Repeat‐Sales Indexes: Estimation without Assuming that Errors in Asset Returns Are Independently Distributed," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 131-166, 03.
    28. William Goetzmann & Matthew Spiegel, 2000. "The Policy Implications of Portfolio Choice in Underserved Mortgage Markets," Yale School of Management Working Papers ysm161, Yale School of Management, revised 01 Mar 2001.
    29. William N. Goetzmann & Liang Peng & Jacqueline Yen, 2009. "The Subprime Crisis and House Price Appreciation," NBER Working Papers 15334, National Bureau of Economic Research, Inc.
    30. Wang, Ferdinand T. & Zorn, Peter M., 1997. "Estimating House Price Growth with Repeat Sales Data: What's the Aim of the Game?," Journal of Housing Economics, Elsevier, vol. 6(2), pages 93-118, June.
    31. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, Elsevier.
    32. Rainer Schulz & Martin Wersing & Axel Werwatz, 2014. "Automated valuation modelling: a specification exercise," Journal of Property Research, Taylor & Francis Journals, vol. 31(2), pages 131-153, June.
    33. Sheharyar Bokhari & David Geltner, 2012. "Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 522-543, August.
    34. Andrew Ang & Neil Nabar & Sam Wald, 2013. "Search for a Common Factor in Public and Private Real Estate Returns," NBER Working Papers 19194, National Bureau of Economic Research, Inc.
    35. Guo, Xiaoyang & Zheng, Siqi & Geltner, David & Liu, Hongyu, 2014. "A new approach for constructing home price indices: The pseudo repeat sales model and its application in China," Journal of Housing Economics, Elsevier, vol. 25(C), pages 20-38.
    36. Erdos, Péter & Ormos, Mihály, 2010. "Random walk theory and the weak-form efficiency of the US art auction prices," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1062-1076, May.
    37. Andrea Chegut & Piet Eichholtz & Paulo Rodrigues, 2013. "The London Commercial Property Price Index," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 588-616, November.
    38. William Goetzmann & Matthew Spiegel & Susan Wachter, 1999. "Do Cities and Suburbs Cluster?," Yale School of Management Working Papers ysm115, Yale School of Management, revised 01 May 1999.
    39. Constantinescu, Mihnea & Francke, Marc, 2013. "The historical development of the Swiss rental market – A new price index," Journal of Housing Economics, Elsevier, vol. 22(2), pages 135-145.
    40. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2014. "Matching indices for thinly-traded commercial real estate in Singapore," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 86-98.
    41. Assil El Mahmah, 2013. "Constructing a real estate price index: the Moroccan experience," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the Sixth IFC Conference on "Statistical issues and activities in a changing environment", Basel, 28-29 August 2012., volume 36, pages 134-152 Bank for International Settlements.

Articles

  1. William N. Goetzmann & Dasol Kim & Alok Kumar & Qin Wang, 2015. "Weather-Induced Mood, Institutional Investors, and Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 28(1), pages 73-111.

    Cited by:

    1. Yang, Chih-Yuan & Jhang, Ling-Jhen & Chang, Chia-Chien, 2016. "Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 35-51.
    2. Khuu, Joyce & Durand, Robert B. & Smales, Lee A., 2016. "Melancholia and Japanese stock returns – 2003 to 2012," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 424-437.
    3. Cortés, Kristle & Duchin, Ran & Sosyura, Denis, 2016. "Clouded judgment: The role of sentiment in credit origination," Journal of Financial Economics, Elsevier, vol. 121(2), pages 392-413.

  2. Spaenjers, Christophe & Goetzmann, William N. & Mamonova, Elena, 2015. "The economics of aesthetics and record prices for art since 1701," Explorations in Economic History, Elsevier, vol. 57(C), pages 79-94.

    Cited by:

    1. Coslor, Erica & Spaenjers, Christophe, 2016. "Organizational and epistemic change: The growth of the art investment field," Accounting, Organizations and Society, Elsevier, vol. 55(C), pages 48-62.

  3. William Goetzmann & S. Ravid & Ronald Sverdlove, 2013. "The pricing of soft and hard information: economic lessons from screenplay sales," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 37(2), pages 271-307, May.

    Cited by:

    1. Darlene Chisholm & Víctor Fernández-Blanco & S. Abraham Ravid & W. David Walls, 2015. "Economics of motion pictures: the state of the art," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 39(1), pages 1-13, February.

  4. Frehen, Rik G.P. & Goetzmann, William N. & Geert Rouwenhorst, K., 2013. "New evidence on the first financial bubble," Journal of Financial Economics, Elsevier, vol. 108(3), pages 585-607.
    See citations under working paper version above.
  5. Brown, Stephen & Goetzmann, William & Liang, Bing & Schwarz, Christopher, 2012. "Trust and delegation," Journal of Financial Economics, Elsevier, vol. 103(2), pages 221-234.
    See citations under working paper version above.
  6. William Goetzmann & Liang Peng & Jacqueline Yen, 2012. "The Subprime Crisis and House Price Appreciation," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 36-66, January.
    See citations under working paper version above.
  7. Dion Bongaerts & K. J. Martijn Cremers & William N. Goetzmann, 2012. "Tiebreaker: Certification and Multiple Credit Ratings," Journal of Finance, American Finance Association, vol. 67(1), pages 113-152, 02.
    See citations under working paper version above.
  8. William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011. "Art and Money," American Economic Review, American Economic Association, vol. 101(3), pages 222-226, May.
    See citations under working paper version above.
  9. William N. Goetzmann & Alok Kumar, 2008. "Equity Portfolio Diversification," Review of Finance, European Finance Association, vol. 12(3), pages 433-463.
    See citations under working paper version above.
  10. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.
    See citations under working paper version above.
  11. Arturo Bris & William N. Goetzmann & Ning Zhu, 2007. "Efficiency and the Bear: Short Sales and Markets Around the World," Journal of Finance, American Finance Association, vol. 62(3), pages 1029-1079, 06.
    See citations under working paper version above.
  12. William Goetzmann & Liang Peng, 2006. "Estimating House Price Indexes in the Presence of Seller Reservation Prices," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 100-112, February.

    Cited by:

    1. Dirk Bergemann & Ulrich Hege & Liang Peng, 2008. "Venture Capital and Sequential Investments," Cowles Foundation Discussion Papers 1682, Cowles Foundation for Research in Economics, Yale University, revised Nov 2008.
    2. de Wit, Erik R. & Englund, Peter & Francke, Marc K., 2013. "Price and transaction volume in the Dutch housing market," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 220-241.
    3. Spaenjers, Christophe & Goetzmann, William N. & Mamonova, Elena, 2015. "The economics of aesthetics and record prices for art since 1701," Explorations in Economic History, Elsevier, vol. 57(C), pages 79-94.
    4. Renneboog, L.D.R. & Spaenjers, C., 2009. "Buying Beauty : On Prices and Returns in the Art Market," Discussion Paper 2009-15, Tilburg University, Center for Economic Research.
    5. Liang Peng, 2012. "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 804-827, October.
    6. M.I. Droes & W.H.J. Hassink, 2009. "Sale Price Expectations and Mortgage Commitment: Inaccuracy versus Price Setting Behaviour," Working Papers 09-24, Utrecht School of Economics.
    7. Han, Lu & Strange, William C., 2015. "The Microstructure of Housing Markets," Handbook of Regional and Urban Economics, Elsevier.
    8. Arthur Korteweg & Morten Sorensen, 2012. "Estimating Loan-to-Value and Foreclosure Behavior," NBER Working Papers 17882, National Bureau of Economic Research, Inc.
    9. Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, 03.
    10. Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim, 2009. "Housing Market Microstructure," Papers 0907.1853, arXiv.org.
    11. William N. Goetzmann & Liang Peng & Jacqueline Yen, 2009. "The Subprime Crisis and House Price Appreciation," NBER Working Papers 15334, National Bureau of Economic Research, Inc.
    12. Walter Boudry & N. Coulson & Jarl Kallberg & Crocker Liu, 2013. "On Indexing Commercial Real Estate Properties and Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 617-639, November.
    13. İnaltekin, Hazer & Jarrow, Robert A. & Sağlam, Mehmet & Yıldırım, Yıldıray, 2011. "Housing prices and the optimal time-on-the-market decision," Finance Research Letters, Elsevier, vol. 8(4), pages 171-179.
    14. Abel Cadenillas & Robert Elliott & Hong Miao & Zhenyu Wu, 2009. "Risk-Hedging in Real Estate Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 265-285, December.
    15. Jim Clayton & Greg MacKinnon & Liang Peng, 2008. "Time Variation of Liquidity in the Private Real Estate Market: An Empirical Investigation," Journal of Real Estate Research, American Real Estate Society, vol. 30(2), pages 125-160.

  13. Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 2006. "Pairs Trading: Performance of a Relative-Value Arbitrage Rule," Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 797-827.
    See citations under working paper version above.
  14. William N. Goetzmann & Andrey D. Ukhov, 2006. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Review of Finance, European Finance Association, vol. 10(2), pages 261-300.
    See citations under working paper version above.
  15. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
    See citations under working paper version above.
  16. William N. Goetzmann & Ning Zhu, 2005. "Rain or Shine: Where is the Weather Effect?," European Financial Management, European Financial Management Association, vol. 11(5), pages 559-578.
    See citations under working paper version above.
  17. Goetzmann, William N. & Massa, Massimo, 2005. "Dispersion of opinion and stock returns," Journal of Financial Markets, Elsevier, vol. 8(3), pages 324-349, August.
    See citations under working paper version above.
  18. William N. Goetzmann & Massimo Massa, 2003. "Index Funds and Stock Market Growth," The Journal of Business, University of Chicago Press, vol. 76(1), pages 1-28, January.
    See citations under working paper version above.
  19. William N. Goetzmann & Jonathan E. Ingersoll & Stephen A. Ross, 2003. "High-Water Marks and Hedge Fund Management Contracts," Journal of Finance, American Finance Association, vol. 58(4), pages 1685-1718, 08.
    See citations under working paper version above.
  20. William N. Goetzmann & Liang Peng, 2002. "The Bias of the RSR Estimator and the Accuracy of Some Alternatives," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(1), pages 13-39.
    See citations under working paper version above.
  21. Goetzmann, William N. & Massa, Massimo, 2002. "Daily Momentum and Contrarian Behavior of Index Fund Investors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(03), pages 375-389, September.
    See citations under working paper version above.
  22. Goetzmann, William N. & Ibbotson, Roger G. & Peng, Liang, 2001. "A new historical database for the NYSE 1815 to 1925: Performance and predictability," Journal of Financial Markets, Elsevier, vol. 4(1), pages 1-32, January.
    See citations under working paper version above.
  23. Goetzmann, William N. & Ivković, Zoran & Rouwenhorst, K. Geert, 2001. "Day Trading International Mutual Funds: Evidence and Policy Solutions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(03), pages 287-309, September.
    See citations under working paper version above.
  24. Geltner, David & Goetzmann, William, 2000. "Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index," The Journal of Real Estate Finance and Economics, Springer, vol. 21(1), pages 5-21, July.

    Cited by:

    1. Chihiro Shimizu & Walter Erwin Diewert & Kiyohiko G. Nishimura & Tsutomu Watanabe, 2012. "Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data," UTokyo Price Project Working Paper Series 004, University of Tokyo, Graduate School of Economics, revised Feb 2013.
    2. David Geltner & Peiling Wei & David C. Ling, 2007. "Indices for Investment Benchmarking and Return Performance Analysis in Private Real Estate," International Real Estate Review, Asian Real Estate Society, vol. 10(1), pages 93-118.
    3. Daniel P. McMillen, 2002. "The center restored: Chicago's residential price gradient reemerges," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 2-11.
    4. Palmer, Karen & Walls, Margaret, 2015. "Can Benchmarking and Disclosure Laws Provide Incentives for Energy Efficiency Improvements in Buildings?," Discussion Papers dp-15-09, Resources For the Future.
    5. Xudong An & Jeffrey D. Fisher & David Geltner, 2016. "Cash Flow Performance of Fannie Mae Multifamily Real Estate: Evidence from Repeated NOI and EGI Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 52(4), pages 512-542, May.
    6. Jeff Fisher & David Geltner & Henry Pollakowski, 2007. "A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 5-33, January.
    7. Sampagnaro, Gabriele & Battaglia, Francesca, 2010. "Reliability and Heterogeneity of Real Estate Indexes and their Impact on the Predictability of Returns," MPRA Paper 23378, University Library of Munich, Germany.
    8. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February.
    9. Palmer, Karen & Walls, Margaret, 2015. "Does Information Provision Shrink the Energy Efficiency Gap? A Cross-City Comparison of Commercial Building Benchmarking and Disclosure Laws," Discussion Papers dp-15-12, Resources For the Future.
    10. Peter Chinloy & William Hardin & Zhonghua Wu, 2013. "Transaction Frequency and Commercial Property," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 640-658, November.
    11. Walter Boudry & N. Coulson & Jarl Kallberg & Crocker Liu, 2013. "On Indexing Commercial Real Estate Properties and Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 617-639, November.
    12. Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2004. "New International Evidence on Real Estate as a Portfolio Diversifier," Journal of Real Estate Research, American Real Estate Society, vol. 26(2), pages 161-206.
    13. Dean Gatzlaff & Cynthia Holmes, 2013. "Estimating Transaction-Based Price Indices of Local Commercial Real Estate Markets Using Public Assessment Data," The Journal of Real Estate Finance and Economics, Springer, vol. 46(2), pages 260-281, February.
    14. Heaney, Richard & Sriananthakumar, Sivagowry, 2012. "Time-varying correlation between stock market returns and real estate returns," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 583-594.
    15. Jinliang Li & Robert M. Mooradian & Shiawee X. Yang, 2009. "The Information Content of the NCREIF Index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 93-116.
    16. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2014. "Matching indices for thinly-traded commercial real estate in Singapore," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 86-98.

  25. Goetzmann, William N. & Ingersoll, Jonathan & Ivković, Zoran, 2000. "Monthly Measurement of Daily Timers," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 257-290, September.
    See citations under working paper version above.
  26. Goetzmann, William N. & Jorion, Philippe, 1999. "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 1-32, March.
    See citations under working paper version above.
  27. Brown, Stephen J & Goetzmann, William N & Ibbotson, Roger G, 1999. "Offshore Hedge Funds: Survival and Performance, 1989-95," The Journal of Business, University of Chicago Press, vol. 72(1), pages 91-117, January.

    Cited by:

    1. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
    2. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme," Working Papers 2013-23, Centre de Recherche en Economie et Statistique.
    3. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    4. Steven N. Kaplan & Antoinette Schoar, 2005. "Private Equity Performance: Returns, Persistence, and Capital Flows," Journal of Finance, American Finance Association, vol. 60(4), pages 1791-1823, 08.
    5. Alex Grecu & Burton G. Malkiel & Atanu Saha, 2006. "Why Do Hedge Funds Stop Reporting Their Performance?," Working Papers 78, Princeton University, Department of Economics, Center for Economic Policy Studies..
    6. Gökçe Soydemir & Jan Smolarski & Sangheon Shin, 2014. "Hedge funds, fund attributes and risk adjusted returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 133-149, January.
    7. Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 166-178.
    8. Woochan Kim & Shang-Jin Wei, 1999. "Offshore Investment Funds: Monsters in Emerging Markets?," NBER Working Papers 7133, National Bureau of Economic Research, Inc.
    9. Bali, Turan G. & Gokcan, Suleyman & Liang, Bing, 2007. "Value at risk and the cross-section of hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1135-1166, April.
    10. Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, Reading University, revised Sep 2001.
    11. David Solomon & Eugene Soltes, 2015. "What Are We Meeting For? The Consequences of Private Meetings with Investors," Journal of Law and Economics, University of Chicago Press, vol. 58(2), pages 325-355.
    12. Hentati-Kaffel, Rania & de Peretti, Philippe, 2015. "Detecting performance persistence of hedge funds," Economic Modelling, Elsevier, vol. 47(C), pages 185-192.
    13. Jonathan Wiley, 2014. "Illiquidity Risk in Non-Listed Funds: Evidence from REIT Fund Exits and Redemption Suspensions," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 205-236, August.
    14. Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2010. "Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences," Review of Finance, European Finance Association, vol. 15(2), pages 441-474.
    15. Lee, Hee Soo & Kim, Tae Yoon, 2014. "Dynamic prediction of hedge fund survival in crisis-prone financial markets," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 57-67.
    16. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2010. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08, University of Cologne, Centre for Financial Research (CFR).
    17. Agarwal, Vikas & Ray, Sugata, 2011. "Determinants and implications of fee changes in the hedge fund industry," CFR Working Papers 11-09, University of Cologne, Centre for Financial Research (CFR).
    18. Lu, Yan & Ray, Sugata & Teo, Melvyn, 2016. "Limited attention, marital events and hedge funds," Journal of Financial Economics, Elsevier, vol. 122(3), pages 607-624.
    19. Palaskas Theodosios & Stoforos Chrysostomos & Drakatos Costantinos, 2013. "Hedge Funds Development and their Role in Economic Crises," Scientific Annals of Economics and Business, De Gruyter Open, vol. 60(1), pages 168-181, July.
    20. Hung-Cheng Lai & Kuan-Min Wang, 2016. "Does Survivorship Bias of Mutual Funds Differ Between Liquidations and Mergers?," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 2(4), pages 299-314.
    21. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.
    22. Darolles, Serge & Florens, Jean-Pierre & Simon, Guillaume, 2010. "Nonparametric Analysis of Hedge Funds Lifetimes," IDEI Working Papers 620, Institut d'Économie Industrielle (IDEI), Toulouse.
    23. Funga, William & Hsiehb, David A., 2013. "Hedge Funds," Handbook of the Economics of Finance, Elsevier.
    24. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.
    25. Irwin, Scott H. & Martines-Filho, Joao Gomes & Good, Darrel L., 2003. "The Performance Of Agricultural Market Advisory Services In Corn And Soybeans," 2003 Annual meeting, July 27-30, Montreal, Canada 22256, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    26. Gao, Meng & Huang, Jiekun, 2016. "Capitalizing on Capitol Hill: Informed trading by hedge fund managers," Journal of Financial Economics, Elsevier, vol. 121(3), pages 521-545.
    27. Stephen J. Brown & William N. Goetzmann & Bing Liang, 2004. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm18, Yale School of Management.
    28. Richard Chung & Scott Fung & Jayendu Patel, 2015. "Alpha–beta–churn of equity picks by institutional investors and the robust superiority of hedge funds," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 363-405, August.
    29. Mason Woo & Gregory Connor, 2004. "(IAM Series No 002) An Intro to Hedge Funds," FMG Discussion Papers dp477, Financial Markets Group.
    30. William N. Goetzmann & Sharon Oster, 2012. "Competition Among University Endowments," NBER Working Papers 18173, National Bureau of Economic Research, Inc.
    31. Muteba Mwamba, John, 2014. "Another reason why the efficient market hypothesis is fuzzy," MPRA Paper 64383, University Library of Munich, Germany.
    32. Gaurav Amin & Harry. M Kat, 2002. "Portfolios of Hedge Funds What Investors Really Invest In," ICMA Centre Discussion Papers in Finance icma-dp2002-07, Henley Business School, Reading University.
    33. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
    34. Guillermo Baquero & Marno Verbeek, 2015. "Hedge fund flows and performance streaks: How investors weigh information," ESMT Research Working Papers ESMT-15-01, ESMT European School of Management and Technology.
    35. James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2012. "Recovering Delisting Returns of Hedge Funds," Working Paper Series of the Department of Economics, University of Konstanz 2012-34, Department of Economics, University of Konstanz.
    36. ABEDALFATTAH Zuhair Al-Abedallat & FARIS Nasif AL- Shubiri, 2013. "Analysis The Determinants Of Credit Risk In Jordanian Banking: An Empirical Study," Management Research and Practice, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 5(3), pages 21-31, September.
    37. Loyola, Gino & Portilla, Yolanda, 2014. "Reward for failure and executive compensation in institutional investors," Finance Research Letters, Elsevier, vol. 11(4), pages 349-361.
    38. Gregoriou, Greg N. & Sedzro, Komlan & Zhu, Joe, 2005. "Hedge fund performance appraisal using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 555-571, July.
    39. Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013. "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, vol. 109(2), pages 493-516.
    40. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2012. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
    41. Gilles Daniel & Didier Sornette & Peter Wohrmann, 2008. "Look-Ahead Benchmark Bias in Portfolio Performance Evaluation," Papers 0810.1922, arXiv.org.
    42. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    43. Auer, Benjamin R., 2014. "Should hedge funds be cautious reporting high returns?," Research in International Business and Finance, Elsevier, vol. 30(C), pages 195-201.
    44. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
    45. Irwin, Scott H. & Martines-Filho, Joao Gomes & Good, Darrel L., 2003. "The Pricing Performance Of Market Advisory Services In Corn And Soybeans Over 1995-2001," AgMAS Project Research Reports 14773, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    46. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
    47. Jacqueline Henn Overbeck & Iwan Meier, 2005. "Performance Analysis of Hedge Fonds," Working papers 2005/06, Faculty of Business and Economics - University of Basel.
    48. Boldron, François & Fève, Frédérique & Florens, Jean-Pierre & Panet-Amaro, C. & Valognes, C., 2010. "Econometric Models and the Evolution of Post-Offices Network," IDEI Working Papers 626, Institut d'Économie Industrielle (IDEI), Toulouse.
    49. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
    50. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, vol. 106(1), pages 114-131.
    51. Heidorn, Thomas & Kaiser, Dieter G. & Roder, Christoph, 2009. "Empirische Analyse der Drawdowns von Dach-Hedgefonds," Frankfurt School - Working Paper Series 109, Frankfurt School of Finance and Management.
    52. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR).
    53. Gaurav S. Amin & Harry M. Kat, 2001. "Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001," ICMA Centre Discussion Papers in Finance icma-dp2002-02, Henley Business School, Reading University, revised Jan 2002.
    54. Costa, Jose Carlos & Mata, Maria Eugenia & Justino, David, 2009. "Portuguese Average Cost Of Capital," FEUNL Working Paper Series wp543, Universidade Nova de Lisboa, Faculdade de Economia.
    55. Günter Franke, 2000. "Geschäfts- und Risikopolitik von Hedgefonds im Vergleich zu anderen Finanzintermediären: Sind Hedgefonds besonders gefährlich?," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 1(3), pages 301-318, 08.
    56. Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
    57. Rania Hentati Kaffel & Philippe De Peretti, 2015. "Generalized Runs Tests to Detect Randomness in Hedge Funds Returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01161666,