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Citations for " On Persistence in Mutual Fund Performance"

by Carhart, Mark M

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  1. Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011. "Macroprudential policy and central bank communication," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 107-110 Bank for International Settlements.
  2. Klaas Baks & Andrew Metrick & Jessica Wachter, 1999. "Bayesian Performance Evaluation," NBER Working Papers 7069, National Bureau of Economic Research, Inc.
  3. Fu, Shihe & Shan, Liwei, 2011. "Agglomeration Economies and Local Comovement of Stock Returns," MPRA Paper 31887, University Library of Munich, Germany.
  4. Florian Esterer & David Schröder, 2014. "Implied cost of capital investment strategies: evidence from international stock markets," Annals of Finance, Springer, vol. 10(2), pages 171-195, May.
  5. Thomas Nitschka, 2015. "Is there a too-big-to-fail discount in excess returns on German banks' stocks?," Working Papers 2015-08, Swiss National Bank.
  6. Chen, Sheng-Syan & Wang, Yanzhi, 2012. "Financial constraints and share repurchases," Journal of Financial Economics, Elsevier, vol. 105(2), pages 311-331.
  7. Michael Greenstone & Paul Oyer & Annette Vissing-Jorgensen, 2005. "Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments," NBER Working Papers 11478, National Bureau of Economic Research, Inc.
  8. Paul A. Gompers & Andrew Metrick, 1998. "Institutional Investors and Equity Prices," NBER Working Papers 6723, National Bureau of Economic Research, Inc.
  9. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc.
  10. Pütz, Alexander & Ruenzi, Stefan, 2010. "Overconfidence among professional investors: Evidence from mutual fund managers," CFR Working Papers 08-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  11. Foran, Jason & O'Sullivan, Niall, 2014. "Liquidity risk and the performance of UK mutual funds," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 178-189.
  12. Lucas Bretschger & Filippo Lechthaler, 2012. "Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market," CER-ETH Economics working paper series 12/160, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  13. Santiago Bazdrech & Frederico Belo & Xiaoji Lin, 2008. "Labor hiring, investment and stock return predictability in the cross section," LSE Research Online Documents on Economics 24418, London School of Economics and Political Science, LSE Library.
  14. Khorana, Ajay & Servaes, Henri & Wedge, Lei, 2007. "Portfolio manager ownership and fund performance," Journal of Financial Economics, Elsevier, vol. 85(1), pages 179-204, July.
  15. Robinson, David T. & Sensoy, Berk A., 2010. "Private Equity in the 21st Century: Cash Flows, Performance, and Contract Terms from 1984-2010," Working Paper Series 2010-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  16. Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
  17. M. Kabir Hassan & Eric Girard, 2011. "Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes," NFI Working Papers 2011-WP-05, Indiana State University, Scott College of Business, Networks Financial Institute.
  18. Manuel Ammann & Michael Steiner, 2009. "The Performance of Actively and Passively Managed Swiss Equity Funds," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 145(I), pages 1-36, March.
  19. Chen, Lin & Qin, Lu & Zhu, Hongquan, 2015. "Opinion divergence, unexpected trading volume and stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 119-127.
  20. Andrea Frazzini & David Kabiller & Lasse H. Pedersen, 2013. "Buffett's Alpha," NBER Working Papers 19681, National Bureau of Economic Research, Inc.
  21. Seung Hee Choi & Maneesh Chhabria, 2012. "Effective delays in portfolio disclosure," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(2), pages 196-211, May.
  22. Campbell, John Y. & Ramadorai, Tarun & Schwartz, Allie, 2009. "Caught on tape: Institutional trading, stock returns, and earnings announcements," Journal of Financial Economics, Elsevier, vol. 92(1), pages 66-91, April.
  23. Carlos Forner & Sonia Sanabria & Joaquín Marhuenda, 2009. "Post-earnings announcement drift: Spanish evidence," Spanish Economic Review, Springer, vol. 11(3), pages 207-241, September.
  24. 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.
  25. Jae-Kwang Hwang & Young Dimkpah & Alex Ogwu, 2012. "Do Reverse Stock Splits Benefit Long-term Shareholders?," International Advances in Economic Research, International Atlantic Economic Society, vol. 18(4), pages 439-449, November.
  26. Nik Tuzov & Frederi Viens, 2011. "Mutual fund performance: false discoveries, bias, and power," Annals of Finance, Springer, vol. 7(2), pages 137-169, May.
  27. Yves Jégourel & Samuel Maveyraud, 2010. "An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?," Working Papers hal-00646542, HAL.
  28. Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz, 2012. "Measuring Long-term Performance: a Regression Based Generalization of the Calendar Time Portfolio Approach," Working Papers on Finance 1216, University of St. Gallen, School of Finance.
  29. Ammann, Manuel & Kind, Axel & Seiz, Ralf, 2010. "What drives the performance of convertible-bond funds?," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2600-2613, November.
  30. Aebi, Vincent & Sabato, Gabriele & Schmid, Markus, 2012. "Risk management, corporate governance, and bank performance in the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3213-3226.
  31. Doukakis, Leonidas C. & Papanastasopoulos, Georgios A., 2014. "The accrual anomaly in the U.K. stock market: Implications of growth and accounting distortions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 256-277.
  32. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 36-58.
  33. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
  34. Eric Fricke, 2015. "Board Holdings, Compensation and Mutual Fund Manager Turnover," Journal of Financial Services Research, Springer, vol. 47(3), pages 295-312, June.
  35. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed, 2014. "Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame," MPRA Paper 60110, University Library of Munich, Germany.
  36. 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.
  37. Abdelbari El Khamlichi & Mohamed Arouri & Frédéric Teulon, 2014. "Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index," Working Papers 2014-216, Department of Research, Ipag Business School.
  38. Walkshäusl, Christian & Lobe, Sebastian, 2010. "Fundamental indexing around the world," Review of Financial Economics, Elsevier, vol. 19(3), pages 117-127, August.
  39. Christopher Knittel & Jeffrey Heisler & John J. Neumann & Scott Stewart, 2004. "Why Do Institutional Plan Sponsors Hire and Fire their Investment Managers?," Working Papers 527, University of California, Davis, Department of Economics.
  40. Li, Xin & Paulson, Nicholas, 2014. "Is Farm Management Skill Persistent?," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170170, Agricultural and Applied Economics Association.
  41. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014. "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, vol. 183(2), pages 202-210.
  42. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  43. Wu, Chen-Hui & Wu, Chin-Shun & Liu, Victor W., 2009. "The conservatism bias in an emerging stock market: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 494-505, September.
  44. Karl Case & John Cotter & Stuart Gabriel, 2011. "Housing risk and return: Evidence from a housing asset-pricing model," Papers 1103.5971, arXiv.org.
  45. Borgers, A.C.T., 2014. "Responsible investing : New insights into performance and tastes," Other publications TiSEM 587e777f-c242-4a44-968e-7, Tilburg University, School of Economics and Management.
  46. Fabian Irek, & Jan Jaap Hazenberg & Willem van der Scheer & Mariela Stefanova, 2013. "The Lure of the Brand: Evidence from the European Mutual Fund Industry," LSF Research Working Paper Series 13-8, Luxembourg School of Finance, University of Luxembourg.
  47. Carole Comerton‐Forde & David R. Gallagher & Joyce Lai & Terry Walter, 2011. "Broker recommendations and Australian small‐cap equity fund management," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(4), pages 893-922, December.
  48. Trond M. Døskeland & Hans K. Hvide, 2011. "Do Individual Investors Have Asymmetric Information Based on Work Experience?," Journal of Finance, American Finance Association, vol. 66(3), pages 1011-1041, 06.
  49. C, Loran & Eckbo, Espen & Lu, Ching-Chih, 2014. "Does Executive Compensation Reflect Default Risk?," UiS Working Papers in Economics and Finance 2014/11, University of Stavanger.
  50. Zura Kakushadze, 2014. "4-Factor Model for Overnight Returns," Papers 1410.5513, arXiv.org, revised Jun 2015.
  51. Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series 2010/20, Center for Financial Studies (CFS).
  52. Angela Frino & Richard Heaney & David Service, 2005. "Do Past Performance and Past Cash Flows Explain Current Cash Flows into Retail Superannuation Funds in Australia?," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 229-244, December.
  53. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc.
  54. Babalos, Vassilios & Mamatzakis, Emmanuel C. & Matousek, Roman, 2015. "The performance of US equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 217-229.
  55. Jacob Thomas & Frank Zhang, 2007. "Tax Expense Surprises and Future Returns," Yale School of Management Working Papers amz2531, Yale School of Management, revised 01 Feb 2008.
  56. Dimmock, Stephen G. & Gerken, William C., 2012. "Predicting fraud by investment managers," Journal of Financial Economics, Elsevier, vol. 105(1), pages 153-173.
  57. Joseph, Kissan & Wintoki, M. Babajide, 2013. "Advertising investments, information asymmetry, and insider gains," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 1-15.
  58. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2004. "On the Industry Concentration of Actively Managed Equity Mutual Funds," NBER Working Papers 10770, National Bureau of Economic Research, Inc.
  59. Ruckman, Karen, 2004. "Mode of entry mode into a foreign market: the case of U.S. mutual funds in Canada," Journal of International Economics, Elsevier, vol. 62(2), pages 417-432, March.
  60. Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji, 2014. "Commodity Risk Factors and the Cross-Section of Equity Returns," ICMA Centre Discussion Papers in Finance icma-dp2014-09, Henley Business School, Reading University.
  61. Vassilios, Babalos & Guglielmo-Maria, Caporale & Philippas, Nikolaos, 2012. "Efficiency evaluation of Greek equity funds," MPRA Paper 37954, University Library of Munich, Germany.
  62. Cici, Gjergji & Jaspersen, Stefan & Kempf, Alexander, 2015. "Speed of information diffusion within fund families," CFR Working Papers 15-02, University of Cologne, Centre for Financial Research (CFR).
  63. Matthew Rabin & Dimitri Vayanos, 2010. "The Gambler's and Hot-Hand Fallacies: Theory and Applications," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 730-778.
  64. Amil Dasgupta & Andrea Prat & Michela Verardo, 2010. "The Price Impact of Institutional Herding," FMG Discussion Papers dp652, Financial Markets Group.
  65. Prather, Laurie & Bertin, William J. & Henker, Thomas, 2004. "Mutual fund characteristics, managerial attributes, and fund performance," Review of Financial Economics, Elsevier, vol. 13(4), pages 305-326.
  66. Alexandros Kostakis, 2007. "Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors," Discussion Papers 07/07, Department of Economics, University of York.
  67. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012. "Revisiting Mutual Fund Performance Evaluation," MPRA Paper 36644, University Library of Munich, Germany.
  68. Nguyen, Nhut H. & Lo, Ka Hei, 2013. "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1175-1190.
  69. 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.
  70. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
  71. Eli Beracha & Hilla Skiba, 2013. "Findings from a Cross-Sectional Housing Risk-Factor Model," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 289-309, August.
  72. Chen, Honghui & Nguyen, Hoang Huy & Singal, Vijay, 2011. "The information content of stock splits," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2454-2467, September.
  73. Jonathan B. Berk & Richard C. Green, 2002. "Mutual Fund Flows and Performance in Rational Markets," FAME Research Paper Series rp100, International Center for Financial Asset Management and Engineering.
  74. 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.
  75. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  76. Javier Gil-Bazo & Pablo Ruiz-Verdu, 2005. "When Cheaper Is Better: Fee Determination In The Market For Equity Mutual Funds," Business Economics Working Papers wb054309, Universidad Carlos III, Departamento de Economía de la Empresa.
  77. Eli Beracha & Hilla Skiba, 2011. "Momentum in Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 43(3), pages 299-320, October.
  78. Barber, Brad M. & Lehavy, Reuven & Trueman, Brett, 2007. "Comparing the stock recommendation performance of investment banks and independent research firms," Journal of Financial Economics, Elsevier, vol. 85(2), pages 490-517, August.
  79. Vincent Glode & Burton Hollifield & Marcin Kacperczyk & Shimon Kogan, 2009. "Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry," NBER Working Papers 15038, National Bureau of Economic Research, Inc.
  80. Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013. "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 78-85.
  81. Roger K. Loh & René M. Stulz, 2014. "Is Sell-Side Research More Valuable in Bad Times?," NBER Working Papers 19778, National Bureau of Economic Research, Inc.
  82. Lukas Menkhoff & Ulrich Schmidt, 2005. "The use of trading strategies by fund managers: some first survey evidence," Applied Economics, Taylor & Francis Journals, vol. 37(15), pages 1719-1730.
  83. Chan, Kam Fong & Marsden, Alastair, 2014. "Macro risk factors of credit default swap indices in a regime-switching framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 285-308.
  84. Jean-Sébastien Michel, 2014. "Stock Market Overreaction to Management Earnings Forecasts," Cahiers de recherche 1319, CIRPEE.
  85. Chen, Li-Wen & Yu, Hsin-Yi & Huang, Hsu-Huei, 2015. "Revisiting the earnings–price effect: The importance of future earnings," Finance Research Letters, Elsevier, vol. 13(C), pages 90-96.
  86. Brisker, Eric R. & Autore, Don M. & Colak, Gonul & Peterson, David R., 2014. "Executive compensation structure and the motivations for seasoned equity offerings," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 330-345.
  87. Sheng-Syan Chen & Yong-Chin Liu & I-Ju Chen, 2014. "Long-Run Stock Performance and Its Determinants for Asset Buyers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(5-6), pages 685-716, 06.
  88. Coen, Alain & Racicot, Francois-Eric, 2007. "Capital asset pricing models revisited: Evidence from errors in variables," Economics Letters, Elsevier, vol. 95(3), pages 443-450, June.
  89. Iannotta, Giuliano & Navone, Marco, 2012. "The cross-section of mutual fund fee dispersion," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 846-856.
  90. Zhao, Min (Kevin), 2009. "Short Sale Constraints and Stock Misvaluation: Daily Evidence on the Nasdaq," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 62(4), pages 505-530.
  91. 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.
  92. 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.
  93. Schröder, Michael, 2003. "Socially Responsible Investments in Germany, Switzerland and the United States: An Analysis of Investment Funds and Indices," ZEW Discussion Papers 03-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  94. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.
  95. Bradley, Daniel & Choi, Hyung-Suk & Clarke, Jonathan, 2011. "Working for the enemy? The impact of investment banker job changes on deal flow," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 585-596, September.
  96. Pei-I Chou & Chia-Hao Lee, 2012. "Is Concentration a Good Idea? Evidence from Active Fund Management," Asia-Pacific Financial Markets, Springer, vol. 19(1), pages 23-41, March.
  97. Khorana, Ajay & Tufano, Peter & Wedge, Lei, 2007. "Board structure, mergers, and shareholder wealth: A study of the mutual fund industry," Journal of Financial Economics, Elsevier, vol. 85(2), pages 571-598, August.
  98. Ulf von Lilienfeld-Toal & Stefan Ruenzi, 2007. "Why Managers Hold Shares of Their Firms: An Empirical Analysis," SFB 649 Discussion Papers SFB649DP2007-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  99. Francis, Jennifer & Olsson, Per & Schipper, Katherine, 2005. "Call Options and Accruals Quality," SIFR Research Report Series 34, Institute for Financial Research.
  100. Balakrishnan, Karthik & Bartov, Eli & Faurel, Lucile, 2010. "Post loss/profit announcement drift," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 20-41, May.
  101. Agarwal, Vikas & Ma, Linlin, 2013. "Managerial multitasking in the mutual fund industry," CFR Working Papers 13-10, University of Cologne, Centre for Financial Research (CFR).
  102. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
  103. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
  104. Jim Kyung-Soo Liew & Zhechao Zhou, 2014. "Initial Investigations of Intra-Day News Flow of S&P500 Constituents," Risks, MDPI, Open Access Journal, vol. 2(2), pages 89-102, April.
  105. Koji KANAO & Shigeyuki HAMORI, 2010. "The size of the underground economy in Japan," Economics Bulletin, AccessEcon, vol. 30(1), pages 893-902.
  106. Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.
  107. Santos, André A.P. & Moura, Guilherme V., 2014. "Dynamic factor multivariate GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 606-617.
  108. Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003. "Market Timing : A Decomposition of Mutual Fund Returns," Discussion Paper 2003-95, Tilburg University, Center for Economic Research.
  109. 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.
  110. Israel, Ronen & Moskowitz, Tobias J., 2013. "The role of shorting, firm size, and time on market anomalies," Journal of Financial Economics, Elsevier, vol. 108(2), pages 275-301.
  111. Carmichael, Benoît & Coën, Alain, 2008. "Asset pricing models with errors-in-variables," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 778-788, September.
  112. Duarte, Fernando M. & Rosa, Carlo, 2015. "The equity risk premium: a review of models," Staff Reports 714, Federal Reserve Bank of New York.
  113. Laurens Swinkels & Pieter Van Der Sluis, 2006. "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
  114. Paul Lanoie & Stefan Ambec & Iain Scott, 2007. "When and Why Does it Pay to be Green?," CIRANO Burgundy Reports 2007rb-03, CIRANO.
  115. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
  116. Chan, Wesley & Frankel, Richard & Kothari, S.P., 2002. "Testing Behavioral Finance Theories Using Trends and Sequences in Financial Performance," Working papers 4375-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  117. Næs, Randi & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009. "What factors affect the Oslo Stock Exchange?," UiS Working Papers in Economics and Finance 2009/33, University of Stavanger.
  118. Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013. "Asset Pricing in the Dark: The Cross Section of OTC Stocks," NBER Working Papers 19309, National Bureau of Economic Research, Inc.
  119. Jiang, Danling, 2008. "Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns," MPRA Paper 8325, University Library of Munich, Germany.
  120. Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015. "The Real Value of China's Stock Market," NBER Working Papers 20957, National Bureau of Economic Research, Inc.
  121. Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series rp163, International Center for Financial Asset Management and Engineering.
  122. Goldbaum, David & Mizrach, Bruce, 2008. "Estimating the intensity of choice in a dynamic mutual fund allocation decision," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3866-3876, December.
  123. Luís M.S. Coelho & Ruben M.T. Peixinho & Siri Terjensen, 2011. "The intraindustry effects of going concern audit reports," CEFAGE-UE Working Papers 2011_23, University of Evora, CEFAGE-UE (Portugal).
  124. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  125. Belo, Frederico & Gala, Vito D. & Li, Jun, 2013. "Government spending, political cycles, and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 305-324.
  126. Clemens Sialm & Laura T. Starks & Hanjiang Zhang, 2015. "Defined Contribution Pension Plans: Sticky or Discerning Money?," Journal of Finance, American Finance Association, vol. 70(2), pages 805-838, 04.
  127. Mollet, Janick Christian & Ziegler, Andreas, 2014. "Socially responsible investing and stock performance: New empirical evidence for the US and European stock markets," Review of Financial Economics, Elsevier, vol. 23(4), pages 208-216.
  128. Clemens Sialm & Laura Starks, 2009. "Mutual Fund Tax Clienteles," NBER Working Papers 15327, National Bureau of Economic Research, Inc.
  129. Hau, Harald & Lai, Sandy, 2013. "Real effects of stock underpricing," Journal of Financial Economics, Elsevier, vol. 108(2), pages 392-408.
  130. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
  131. Pasaribu, Rowland Bismark Fernando, 2010. "Pemilihan Model Asset Pricing
    [Asset pricing model selection: Indonesian Stock Exchange]
    ," MPRA Paper 36978, University Library of Munich, Germany.
  132. Gottesman, Aron & Morey, Matthew, 2012. "Mutual fund corporate culture and performance," Review of Financial Economics, Elsevier, vol. 21(2), pages 69-81.
  133. Bessembinder, Hendrik & Zhang, Feng, 2013. "Firm characteristics and long-run stock returns after corporate events," Journal of Financial Economics, Elsevier, vol. 109(1), pages 83-102.
  134. Andrew Ang & Marie Brière & Ombretta Signori, 2012. "Inflation and Individual Equities," NBER Working Papers 17798, National Bureau of Economic Research, Inc.
  135. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information Flows in Dark Markets: Dissecting Customer Currency Trades," BIS Working Papers 405, Bank for International Settlements.
  136. Navone, Marco, 2012. "Investors’ distraction and strategic repricing decisions," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1291-1303.
  137. Daniel Capocci & Albert Corhay & Georges Hubner, 2005. "Hedge fund performance and persistence in bull and bear markets," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 361-392.
  138. 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.
  139. Kirchler, Michael, 2010. "Partial knowledge is a dangerous thing - On the value of asymmetric fundamental information in asset markets," Journal of Economic Psychology, Elsevier, vol. 31(4), pages 643-658, August.
  140. Lütje, Torben, 2004. "Sichtweisen und Anlageverhalten des österreichischen Fondsmanagements," Hannover Economic Papers (HEP) dp-310, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  141. Nusret Cakici & Isil Erol & Dogan Tirtiroglu, 2014. "Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 48(3), pages 415-440, April.
  142. O. Emre Ergungor & C.N.V. Krishnan & Ajai K. Singh & Allan A. Zebedee, 2005. "Offer-price discount of bank seasoned equity offers: do voluntary and involuntary offers convey different information?," Working Paper 0515, Federal Reserve Bank of Cleveland.
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  1063. Wruck, Karen H. & Wu, YiLin, 2009. "Relationships, corporate governance, and performance: Evidence from private placements of common stock," Journal of Corporate Finance, Elsevier, vol. 15(1), pages 30-47, February.
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  1116. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
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  1118. Boldin, Michael & Cici, Gjergji, 2010. "The index fund rationality paradox," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 33-43, January.
  1119. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2013. "Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?," NBER Working Papers 19460, National Bureau of Economic Research, Inc.
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  1121. Do, Viet & Faff, Robert & Wickramanayake, J., 2005. "An empirical analysis of hedge fund performance: The case of Australian hedge funds industry," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 377-393, October.
  1122. Oberndorfer, Ulrich, 2008. "Returns and Volatility of Eurozone Energy Stocks," ZEW Discussion Papers 08-017, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  1123. Li-Wen Chen & Andrew Adams & Richard Taffler, 2010. "What Style-Timing Skills do Mutual Fund “Stars†Possess?," CFI Discussion Papers 1001, Centre for Finance and Investment, Heriot Watt University.
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  1126. Martin Rohleder, 2015. "The Relation between Past Flows and Future Performance: Simple Investment Strategies in the Mutual Fund Sector," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 3(1), pages 3-30, February.
  1127. Frederico Belo & Chen Xue & Lu Zhang, 2013. "A Supply Approach to Valuation," Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 3029-3067.
  1128. Bauer, Rob & Frijns, Bart & Otten, Rogér & Tourani-Rad, Alireza, 2008. "The impact of corporate governance on corporate performance: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 236-251, June.
  1129. Chen, Sheng-Syan & Ho, Kim Wai & Huang, Chia-Wei & Wang, Yanzhi, 2013. "Buyback behavior of initial public offering firms," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 32-42.
  1130. James Choi & David Laibson & Brigitte Madrain & Andrew Metrick, 2007. "Reinforcement Learning in Investment Behavior," Levine's Bibliography 122247000000001737, UCLA Department of Economics.
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  1145. Bianconi, Marcelo & Yoshino, Joe A., 2012. "Firm Market Performance and Volatility in a National Real Estate Sector," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 230-253.
  1146. Luca Benzoni & Carola Schenone, 2007. "Conflict of interest and certification in the U.S. IPO market," Working Paper Series WP-07-09, Federal Reserve Bank of Chicago.
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  1162. Jan Jaap Hazenberg, 2012. "Independence and focus of Luxembourg UCITS fund boards," LSF Research Working Paper Series 12-15, Luxembourg School of Finance, University of Luxembourg.
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  1169. George Cashman & David Harrison & Michael Seiler, 2014. "Advisor Choice in Asia-Pacific Property Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 48(2), pages 271-298, February.
  1170. Jonathan Guryan & Melissa S. Kearney, 2005. "Lucky Stores, Gambling, and Addiction: Empirical Evidence from State Lottery Sales," NBER Working Papers 11287, National Bureau of Economic Research, Inc.
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  1172. Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y., 2013. "Learning and the disappearing association between governance and returns," Journal of Financial Economics, Elsevier, vol. 108(2), pages 323-348.
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  1174. David R Gallagher & Peter A Gardner & Camille H Schmidt & Terry S Walter, 2014. "Quality investing in an Australian context," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 615-643, November.
  1175. Yacine Hammami, 2014. "An empirical investigation of asset pricing models under divergent lending and borrowing rates," Financial Markets and Portfolio Management, Springer, vol. 28(3), pages 263-279, August.
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  1177. Agarwal, Vikas & Mullally, Kevin Andrew & Tang, Yuehua & Yang, Baozhong, 2014. "Mandatory portfolio disclosure, stock liquidity, and mutual fund performance," CFR Working Papers 13-04 [rev.], University of Cologne, Centre for Financial Research (CFR).
  1178. Evgeny Lyandres & Le Sun & Lu Zhang, 2005. "Investment-Based Underperformance Following Seasoned Equity Offerings," NBER Working Papers 11459, National Bureau of Economic Research, Inc.
  1179. Hammami, Yacine & Lindahl, Anna, 2014. "An intertemporal capital asset pricing model with bank credit growth as a state variable," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 14-28.
  1180. Cai, Fang & Zheng, Lu, 2004. "Institutional trading and stock returns," Finance Research Letters, Elsevier, vol. 1(3), pages 178-189, September.
  1181. 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.
  1182. Paola Brighi & Stefano d’Addona & Antonio Carlo Francesco Della Bina, 2010. "Too Small or too Low? New Evidence on the 4-Factor Model," Working Paper Series 31_10, The Rimini Centre for Economic Analysis.
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  1184. Fecht, Falko & Hackethal, Andreas & Karabulut, Yigitcan, 2013. "Is proprietary trading detrimental to retail investors?," Discussion Papers 42/2013, Deutsche Bundesbank, Research Centre.
  1185. Shan, Liwei & Gong, Stephen X., 2012. "Investor sentiment and stock returns: Wenchuan Earthquake," Finance Research Letters, Elsevier, vol. 9(1), pages 36-47.
  1186. 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.
  1187. Jo-Hui Chen, 2010. "Gender difference and job replacement for mutual fund," Quality & Quantity: International Journal of Methodology, Springer, vol. 44(4), pages 661-671, June.
  1188. Olsson, Rickard, 2007. "Portfolio performance and environmental risk," Sustainable Investment and Corporate Governance Working Papers 2007/4, Sustainable Investment Research Platform.
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  1195. Suranjita Mukherjee & Carol Padgett, 2006. "Return Differences Between Family and Non-Family Firms: Absolute and Index Differences," ICMA Centre Discussion Papers in Finance icma-dp2006-11, Henley Business School, Reading University.
  1196. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers 2015-06, School of Economics and Management, University of Aarhus.
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  1198. L'Her, Jean-Francois & Masmoudi, Tarek & Suret, Jean-Marc, 2004. "Evidence to support the four-factor pricing model from the Canadian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 313-328, October.
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  1211. Białkowski, Jędrzej & Bohl, Martin T. & Kaufmann, Philipp & Wisniewski, Tomasz P., 2013. "Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey," Emerging Markets Review, Elsevier, vol. 15(C), pages 211-232.
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  1213. Susan E.K. Christoffersen, 2000. "Fee Waivers in Money Market Mutual Funds," Center for Financial Institutions Working Papers 97-46, Wharton School Center for Financial Institutions, University of Pennsylvania.
  1214. 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.
  1215. Emanuela Giacomini & David Ling & Andy Naranjo, 2015. "Leverage and Returns: A Cross-Country Analysis of Public Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 125-159, August.
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  1222. Bruce D. Grundy & J. Spencer Martin, . "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers 13-98, Wharton School Rodney L. White Center for Financial Research.
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  1226. Choi, Jong-Seo & Kwak, Young-Min & Choe, Chongwoo, 2010. "Corporate Social Responsibility and Corporate Financial Performance: Evidence from Korea," MPRA Paper 22159, University Library of Munich, Germany.
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  1235. Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2012. "The cross-section of conditional mutual fund performance in European stock markets," CFR Working Papers 09-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
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  1238. Sebastian Rathner, 2013. "The Influence of Primary Study Characteristics on the Performance Differential Between Socially Responsible and Conventional Investment Funds: A Meta-Analysis," Journal of Business Ethics, Springer, vol. 118(2), pages 349-363, December.
  1239. Paul Goebel & David Harrison & Jeffrey Mercer & Ryan Whitby, 2013. "REIT Momentum and Characteristic-Related REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 564-581, October.
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  1242. Chien-Wei Chen & Min-Hsien Chiang & Chi-Lin Yang, 2014. "New product preannouncements, advertising investments, and stock returns," Marketing Letters, Springer, vol. 25(2), pages 207-218, June.
  1243. Lean, Hooi Hooi & Ang, Wei Rong & Smyth, Russell, 2014. "Performance and Performance Persistence of Socially Responsible Investment Funds in Europe and North America," MPRA Paper 59119, University Library of Munich, Germany.
  1244. Eugene F. Fama, 2014. "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, vol. 104(6), pages 1467-85, June.
  1245. M. Kabir Hassan & Yasser Alhenawi & Hesham Merdad, 2011. "The Relative Performance of Debt-restricted Real Estate Investment Trusts (REITs): Does Faith Matter?," NFI Working Papers 2011-WP-16, Indiana State University, Scott College of Business, Networks Financial Institute.
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  1254. 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.
  1255. Christopher Armstrong & David Larcker & Che-Lin Su, 2007. "Stock Options and Chief Executive Compensation," Discussion Papers 1447, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  1256. Datta, Sudip & Gruskin, Mark & Iskandar-Datta, Mai, 2015. "On post-IPO stock price performance: A comparative analysis of RLBOs and IPOs," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 187-203.
  1257. Benoît Dewaele & Hugues Pirotte & N. Tuchschmid & E. Wallerstein, 2011. "Assessing the Performance of Funds of Hedge Funds," Working Papers CEB 11-041, ULB -- Universite Libre de Bruxelles.
  1258. Daniel Perez Liston & Gökçe Soydemir, 2010. "Faith-based and sin portfolios: An empirical inquiry into norm-neglect vs norm-conforming investor behavior," Managerial Finance, Emerald Group Publishing, vol. 36(10), pages 876-885, October.
  1259. Jiang, Danling, 2013. "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3974-3992.
  1260. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  1261. Francesco Gangi & Carmen Trotta, 2015. "The ethical finance as a response to the financial crises: an empirical survey of European SRFs performance," Journal of Management and Governance, Springer, vol. 19(2), pages 371-394, May.
  1262. Friesen, Geoffrey C. & Sapp, Travis R.A., 2007. "Mutual fund flows and investor returns: An empirical examination of fund investor timing ability," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2796-2816, September.
  1263. Hu, Jianfeng, 2014. "Does option trading convey stock price information?," Journal of Financial Economics, Elsevier, vol. 111(3), pages 625-645.
  1264. Nandkumar Nayar & Ajai Singh & Wen Yu, 2011. "Unraveling a puzzle: the case of value line timeliness rank upgrades," Financial Markets and Portfolio Management, Springer, vol. 25(4), pages 379-409, December.
  1265. Massa, Massimo & Reuter, Jonathan & Zitzewitz, Eric, 2010. "When should firms share credit with employees? Evidence from anonymously managed mutual funds," Journal of Financial Economics, Elsevier, vol. 95(3), pages 400-424, March.
  1266. Bouslah, Kais & Kryzanowski, Lawrence & M’Zali, Bouchra, 2013. "The impact of the dimensions of social performance on firm risk," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1258-1273.
  1267. Roncalli, Thierry & Weisang, Guillaume, 2012. "Risk Parity Portfolios with Risk Factors," MPRA Paper 44017, University Library of Munich, Germany.
  1268. Andrés Mauricio Gómez Sánchez & José Gabriel Astaiza Gómez, 2015. "Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters," REVISTA FINANZAS Y POLÍTICA ECONÓMICA, UNIVERSIDAD CATOLICA DE COLOMBIA.
  1269. Ronald Bremer & Bonnie Buchanan & Philip English, 2011. "The advantages of using quarterly returns for long-term event studies," Review of Quantitative Finance and Accounting, Springer, vol. 36(4), pages 491-516, May.
  1270. Ciccotello, Conrad & Greene, Jason & Ling, Leng & Rakowski, David, 2011. "Capacity and factor timing effects in active portfoliomanagement," Journal of Financial Markets, Elsevier, vol. 14(2), pages 277-300, May.
  1271. Uysal, Vahap B., 2011. "Deviation from the target capital structure and acquisition choices," Journal of Financial Economics, Elsevier, vol. 102(3), pages 602-620.
  1272. Liang, Woan-lih, 2012. "Information content of repurchase signals: Tangible or intangible information?," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 261-274.
  1273. Clifford, Christopher P., 2008. "Value creation or destruction? Hedge funds as shareholder activists," Journal of Corporate Finance, Elsevier, vol. 14(4), pages 323-336, September.
  1274. Imbierowicz, Björn & Wahrenburg, Mark, 2013. "Wealth transfer effects between stockholders and bondholders," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 23-43.
  1275. Mercedes Alda & Luis Ferruz, 2012. "The Role of Fees in Pension Fund Performance. Evidence from Spain," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 518-535, December.
  1276. Carlos F. alves & Victor Mendes, 2005. "Institutional Investor Activism: Does the Portfolio Management Skill Matter?," FEP Working Papers 184, Universidade do Porto, Faculdade de Economia do Porto.
  1277. Banerjee, Prithviraj S. & Doran, James S. & Peterson, David R., 2007. "Implied volatility and future portfolio returns," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3183-3199, October.
  1278. Abhay Kaushik & Anita Pennathur, 2010. "Market timing and the determinants of performance of sector funds over the business cycle," Managerial Finance, Emerald Group Publishing, vol. 36(7), pages 583-602, July.
  1279. Stoyu I. Ivanov, 2012. "Analysis of Firm Risk around S&P 500 Index Changes," Economics Bulletin, AccessEcon, vol. 32(2), pages 1576-1589.
  1280. van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
  1281. Porter, Gary E. & Trifts, Jack W., 1998. "Performance Persistence of Experienced Mutual Fund Managers," Financial Services Review, Elsevier, vol. 7(1), pages 57-68.
  1282. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
  1283. Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian, 2010. "Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes," MPRA Paper 34185, University Library of Munich, Germany.
  1284. 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.
  1285. Frino, Alex & Lepone, Andrew & Wong, Brad, 2009. "Derivative use, fund flows and investment manager performance," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 925-933, May.
  1286. Jesus Sierra, 2012. "Consumer Interest Rates and Retail Mutual Fund Flows," Working Papers 12-39, Bank of Canada.
  1287. 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.
  1288. Kanellos Toudas & Athanasios Bellas, 2014. "Corporate Governance and its Effect on Firm Value and Stock Returns of Listed Companies on the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 58-80.
  1289. Qiang Gong & Ming Liu & Qianqiu Liu, 2011. "Is Momentum Really Momentum? International Evidence," Working Papers EMS_2011_22, Research Institute, International University of Japan.
  1290. Charles Knoeber & Mark Walker, 2013. "On political connectedness and the arrest of Ivan Boesky," Public Choice, Springer, vol. 157(1), pages 41-50, October.
  1291. Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "Socially responsible investments: Institutional aspects, performance, and investor behavior," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1723-1742, September.
  1292. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
  1293. Jaehyung Choi, 2012. "Physical approach to price momentum and its application to momentum strategy," Papers 1208.2775, arXiv.org, revised Aug 2014.
  1294. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.
  1295. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Equity Portfolio Management Using Option Price Information," CREATES Research Papers 2015-05, School of Economics and Management, University of Aarhus.
  1296. Ziegler, Andreas & Busch, Timo & Hoffmann, Volker H., 2011. "Disclosed corporate responses to climate change and stock performance: An international empirical analysis," Energy Economics, Elsevier, vol. 33(6), pages 1283-1294.
  1297. Jones, Jeffrey S. & Lee, Wayne Y. & Yeager, Timothy J., 2012. "Opaque banks, price discovery, and financial instability," Journal of Financial Intermediation, Elsevier, vol. 21(3), pages 383-408.
  1298. SeungHan Ro & Alan Ziobrowski, 2011. "Does Focus Really Matter? Specialized vs. Diversified REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 42(1), pages 68-83, January.
  1299. Nefedova, Tamara & Parise, Gianpaolo & Eisele, Alexander, 2015. "Are Star Funds Really Shining? Cross-trading And Performance Shifting In Mutual Fund Families," Economics Papers from University Paris Dauphine 123456789/15218, Paris Dauphine University.
  1300. Zeng Liujing & Yong Hue Hwa Au & Treepongkaruna Sirimon & Faff Robert, 2014. "Is there a Banking Risk Premium in the US Stock Market?," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 27-42, July.
  1301. Timotej Jagric & Boris Podobnik & Sebastian Strasek & Vita Jagric, 2007. "Risk-Adjusted Performance of Mutual Funds: Some Tests," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 5(2), pages 233-244.
  1302. Radnai, Márton & Szatmári, Alexandra, 2006. "A magyar pénzpiaci alapok összehasonlító elemzése
    [A comparative analysis of Hungarian money-market funds]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 389-407.
  1303. Carpentier, Cécile & Suret, Jean-Marc, 2015. "Stock market and deterrence effect: A mid-run analysis of major environmental and non-environmental accidents," Journal of Environmental Economics and Management, Elsevier, vol. 71(C), pages 1-18.
  1304. Inchauspe, Julian & Ripple, Ronald D. & Trück, Stefan, 2015. "The dynamics of returns on renewable energy companies: A state-space approach," Energy Economics, Elsevier, vol. 48(C), pages 325-335.
  1305. Jonathan Fletcher & David Forbes, 2002. "U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?," Journal of Financial Services Research, Springer, vol. 21(3), pages 195-218, June.
  1306. Horan, Stephen M. & Johnsen, D. Bruce, 2008. "Can third-party payments benefit the principal?: The case of soft dollar brokerage," International Review of Law and Economics, Elsevier, vol. 28(1), pages 56-77, March.
  1307. Sehgal, Sanjay & Gupta, Priyanshi & Deisting, Florent, 2014. "Assessing Time-Varying Stock Market Integration in EMU for Normal and Crisis Periods," MPRA Paper 64078, University Library of Munich, Germany.
  1308. Clare, Andrew & Motson, Nick & Sapuric, Svetlana & Todorovic, Natasa, 2014. "What impact does a change of fund manager have on mutual fund performance?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 167-177.
  1309. Maffett, Mark, 2012. "Financial reporting opacity and informed trading by international institutional investors," Journal of Accounting and Economics, Elsevier, vol. 54(2), pages 201-220.
  1310. Evangelos Benos & Marek Jochec, 2011. "Short term persistence in mutual fund market timing and stock selection abilities," Annals of Finance, Springer, vol. 7(2), pages 221-246, May.
  1311. Ando, Tomohiro & Bai, Jushan, 2014. "A simple new test for slope homogeneity in panel data models with interactive effects," MPRA Paper 60795, University Library of Munich, Germany.
  1312. Oberndorfer, Ulrich, 2009. "Energy prices, volatility, and the stock market: Evidence from the Eurozone," Energy Policy, Elsevier, vol. 37(12), pages 5787-5795, December.
  1313. Schröder, David & Esterer, Florian, 2012. "A new measure of equity duration: The duration-based explanation of the value premium revisited," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62077, Verein für Socialpolitik / German Economic Association.
  1314. Iqbal, Abdullah & Akbar, Saeed & Shiwakoti, Radha K., 2013. "The long run performance of UK firms making multiple rights issues," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 156-165.
  1315. Jern, Benny, 2005. "Swedish Premium Pension Funds: Attributes and Performance," Working Papers 509, Hanken School of Economics.
  1316. repec:luc:wpaper:13-8 is not listed on IDEAS
  1317. Derwall, Jeroen & Koedijk, Kees & Ter Horst, Jenke, 2011. "A tale of values-driven and profit-seeking social investors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2137-2147, August.
  1318. Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
  1319. Alex Frino & David R. Gallagher, 2002. "Is Index Performance Achievable? An Analysis of Australian Equity Index Funds," Abacus, Accounting Foundation, University of Sydney, vol. 38(2), pages 200-214.
  1320. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
  1321. Atakan Yalcin & Lerzan Aksoy & Timothy L. Keiningham & Bart Larivière & Sunil Mithas & Forrest V. Morgeson III, 2012. "The Satisfaction, Repurchase Intention and Shareholder Value Linkage: A Longitudinal Examination of Fixed and Firm Specific Effects," EcoMod2012 4543, EcoMod.
  1322. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
  1323. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.).
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.