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Citations for "Presidential Address: The Cost of Active Investing"

by Kenneth R. French

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  1. Barker, Richard & Hendry, John & Roberts, John & Sanderson, Paul, 2012. "Can company-fund manager meetings convey informational benefits? Exploring the rationalisation of equity investment decision making by UK fund managers," Accounting, Organizations and Society, Elsevier, vol. 37(4), pages 207-222.
  2. David Thesmar & Mathias Thoenig, 2011. "Contrasting Trends in Firm Volatility," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(4), pages 143-80, October.
  3. Nicolae B. Gârleanu & Lasse H. Pedersen, 2015. "Efficiently Inefficient Markets for Assets and Asset Management," NBER Working Papers 21563, National Bureau of Economic Research, Inc.
  4. Barrot, Jean-Noël & Kaniel, Ron & Sraer, David, 2015. "Are retail traders compensated for providing liquidity?," CEPR Discussion Papers 10820, C.E.P.R. Discussion Papers.
  5. Annamaria Lusardi & Olivia S. Mitchell, 2013. "The Economic Importance of Financial Literacy: Theory and Evidence," CeRP Working Papers 134, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  6. van Rooij, Maarten & Lusardi, Annamaria & Alessie, Rob J. M., 2011. "Financial literacy, retirement planning, and household wealth," CFS Working Paper Series 2011/21, Center for Financial Studies (CFS).
  7. Alvarez-Ramírez, José & Rodríguez, Eduardo, 2012. "Temporal variations of serial correlations of trading volume in the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4128-4135.
  8. Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2012. "Money Doctors," NBER Working Papers 18174, National Bureau of Economic Research, Inc.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2015. "Money Doctors," Journal of Finance, American Finance Association, vol. 70(1), pages 91-114, 02.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2012. "Money doctors," Economics Working Papers 1355, Department of Economics and Business, Universitat Pompeu Fabra.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, . "Money Doctors," Working Paper 228501, Harvard University OpenScholar.
    • Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert W., 2014. "Money Doctors," Scholarly Articles 12965657, Harvard University Department of Economics.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2012. "Money Doctors," Working Papers 464, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    • Nicola Gennaioli & Andrei Shleifer & Robert Vishny, . "Money Doctors," Working Paper 69721, Harvard University OpenScholar.
  9. Diane Del Guercio & Jonathan Reuter, 2014. "Mutual Fund Performance and the Incentive to Generate Alpha," Journal of Finance, American Finance Association, vol. 69(4), pages 1673-1704, 08.
  10. John H. Cochrane, 2013. "Finance: Function Matters, Not Size," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
  11. Rydqvist, Kristian & Spizman, Joshua & Strebulaev, Ilya, 2011. "The evolution of aggregate stock ownership," CFS Working Paper Series 2011/18, Center for Financial Studies (CFS).
  12. Buffa, Andrea & Vayanos, Dimitri & Woolley, Paul, 2014. "Asset Management Contracts and Equilibrium Prices," CEPR Discussion Papers 10152, C.E.P.R. Discussion Papers.
  13. Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2013. "Finance and the Preservation of Wealth," NBER Working Papers 19117, National Bureau of Economic Research, Inc.
  14. 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.
  15. Kent Daniel & David Hirshleifer, 2016. "Overconfident Investors, Predictable Returns, and Excessive Trading," NBER Working Papers 21945, National Bureau of Economic Research, Inc.
  16. 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.
  17. 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.
  18. Taylor, Daniel J. & Verrecchia, Robert E., 2015. "Delegated trade and the pricing of public and private information," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 8-32.
  19. Rydqvist, Kristian & Spizman, Joshua & Strebulaev, Ilya, 2009. "The Evolution of Aggregate Stock Ownership---A Unified Explanation," CEPR Discussion Papers 7356, C.E.P.R. Discussion Papers.
  20. Stephen G. Dimmock & William C. Gerken & Zoran Ivković & Scott J. Weisbenner, 2014. "Capital Gains Lock-In and Governance Choices," NBER Working Papers 20176, National Bureau of Economic Research, Inc.
  21. Marcin Kacperczyk & Jaromir B. Nosal & Luminita Stevens, 2014. "Investor Sophistication and Capital Income Inequality," NBER Working Papers 20246, National Bureau of Economic Research, Inc.
  22. Juhani T. Linnainmaa, 2011. "Why Do (Some) Households Trade So Much?," Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1630-1666.
  23. Ugo Panizza, 2015. "Billions on the Sidewalk: Improving Savings by Reducing Investment Mistakes," IHEID Working Papers 18-2015, Economics Section, The Graduate Institute of International Studies.
  24. J. B. Heaton & N. G. Polson & J. H. Witte, 2015. "Why Indexing Works," Papers 1510.03550, arXiv.org.
  25. Hirshleifer, David & Daniel, Kent, 2015. "Overconfident investors, predictable returns, and excessive trading," MPRA Paper 69002, University Library of Munich, Germany.
  26. Wei-Yin Hu & Olivia S. Mitchell & Cynthia Pagliaro & Stephen P. Utkus, 2013. "Evaluating Web-based Savings Interventions: A Preliminary Assessment," Working Papers wp299, University of Michigan, Michigan Retirement Research Center.
  27. Agarwal, Vikas & Jiang, Wei & Tang, Yuehua & Yang, Baozhong, 2011. "Uncovering hedge fund skill from the portfolio holdings they hide," CFR Working Papers 10-09 [rev.], University of Cologne, Centre for Financial Research (CFR).
  28. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
  29. Luca Riccetti, 2012. "Using tracking error volatility to check active management and fee level of investment funds," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 14(3), pages 139-158.
  30. Lubos Pastor & Robert F. Stambaugh, 2010. "On the Size of the Active Management Industry," NBER Working Papers 15646, National Bureau of Economic Research, Inc.
  31. Bailey, Warren & Kumar, Alok & Ng, David, 2010. "Behavioral Biases of Mutual Fund Investors," Working Papers 10-23, University of Pennsylvania, Wharton School, Weiss Center.
  32. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
  33. Eyster, Erik & Rabin, Matthew & Vayanos, Dimitri, 2015. "Financial Markets where Traders Neglect the Informational Content of Prices," CEPR Discussion Papers 10629, C.E.P.R. Discussion Papers.
  34. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
  35. Y. Chung & Thomas Kim, 2015. "The win–loss ratio as an ability signal of mutual fund managers: a measure that is less influenced by luck," Financial Markets and Portfolio Management, Springer, vol. 29(4), pages 301-335, November.
  36. Clemens Sialm & Laura Starks, 2009. "Mutual Fund Tax Clienteles," NBER Working Papers 15327, National Bureau of Economic Research, Inc.
  37. Vincent Bouvatier & Sandra Rigot, 2013. "Pension funds’allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans," EconomiX Working Papers 2013-4, University of Paris West - Nanterre la Défense, EconomiX.
  38. An, Heng & Zhang, Ting, 2013. "Stock price synchronicity, crash risk, and institutional investors," Journal of Corporate Finance, Elsevier, vol. 21(C), pages 1-15.
  39. Eric Belasco & Michael Finke & David Nanigian, 2012. "The impact of passive investing on corporate valuations," Managerial Finance, Emerald Group Publishing, vol. 38(11), pages 1067-1084, November.
  40. Zingales, Luigi, 2015. "Does Finance Benefit Society?," CEPR Discussion Papers 10350, C.E.P.R. Discussion Papers.
  41. Hu, May & Chao, Chi-Chur & Lim, Jin Hao, 2016. "Another explanation of the mutual fund fee puzzle," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 134-152.
  42. Sirnes, Espen, 2011. "Why falling information costs may increase demand for index funds," Review of Financial Economics, Elsevier, vol. 20(1), pages 37-47, January.
  43. Aglietta, Michel & Brière, Marie & Rigot, Sandra & Signori, Ombretta, 2012. "Rehabilitating the role of active management for pension funds," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2565-2574.
  44. Clemens Sialm & Hanjiang Zhang, 2015. "Tax-Efficient Asset Management: Evidence from Equity Mutual Funds," NBER Working Papers 21060, National Bureau of Economic Research, Inc.
  45. Robert F. Stambaugh, 2014. "Investment Noise and Trends," NBER Working Papers 20072, National Bureau of Economic Research, Inc.
  46. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers 2012-56, Department of Economics and Business Economics, Aarhus University.
  47. 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.
  48. Wilson Sy, 2009. "Towards a national default option for low-cost superannuation," Accounting Research Journal, Emerald Group Publishing, vol. 22(1), pages .46-67, July.
  49. Trianti, Nikoletta, 2015. "Portfolio Management in Public Pension Reserve Funds/Gestión de carteras en los Fondos de Reserva de las Pensiones Públicas," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 33, pages 985-1008, Septiembr.
  50. Altınkılıç, Oya & Hansen, Robert S. & Ye, Liyu, 2016. "Can analysts pick stocks for the long-run?," Journal of Financial Economics, Elsevier, vol. 119(2), pages 371-398.
  51. 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.
  52. Jakub W. Jurek & Erik Stafford, 2013. "The Cost of Capital for Alternative Investments," NBER Working Papers 19643, National Bureau of Economic Research, Inc.
  53. Kourtis, Apostolos, 2014. "On the distribution and estimation of trading costs," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 104-117.
  54. Burton G. Malkiel, 2013. "Asset Management Fees and the Growth of Finance," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 97-108, Spring.
  55. Friedrich-Carl Franz & Tobias Regele, 2016. "Beating the DAX, MDAX, and SDAX: investment strategies in Germany," Financial Markets and Portfolio Management, Springer, vol. 30(2), pages 161-204, May.
  56. Pástor, Luboš & Stambaugh, Robert F. & Taylor, Lucian, 2014. "Scale and Skill in Active Management," CEPR Discussion Papers 9854, C.E.P.R. Discussion Papers.
  57. Thomas Philippon, 2015. "Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," American Economic Review, American Economic Association, vol. 105(4), pages 1408-38, April.
  58. Berk, Jonathan B. & van Binsbergen, Jules H., 2016. "Assessing asset pricing models using revealed preference," Journal of Financial Economics, Elsevier, vol. 119(1), pages 1-23.
  59. Kristian Rydqvist & Joshua Spizman & Ilya A. Strebulaev, 2011. "Government Policy and Ownership of Financial Assets," NBER Working Papers 17522, National Bureau of Economic Research, Inc.
  60. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  61. Giovanni Ferri & Matteo Ploner & Matteo Rizzolli, 2016. "Trading Fast and Slow: The Role Of Deliberation In Experimental Financial Markets," CERBE Working Papers wpC07, CERBE Center for Relationship Banking and Economics.
  62. Hao, Ying & Chou, Robin K. & Ho, Keng-Yu & Weng, Pei-Shih, 2015. "The impact of foreign institutional traders on price efficiency: Evidence from the Taiwan futures market," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 24-42.
  63. Walkshäusl, Christian & Lobe, Sebastian, 2010. "Fundamental indexing around the world," Review of Financial Economics, Elsevier, vol. 19(3), pages 117-127, August.
  64. Heimer, Rawley & Simon, David, 2015. "Facebook Finance: How Social Interaction Propagates Active Investing," Working Paper 1522, Federal Reserve Bank of Cleveland.
  65. 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.
  66. Georgy Chabakauri & Oleg Rytchkov, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
  67. 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.
  68. 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.
  69. Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2014. "Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?," Journal of Accounting and Economics, Elsevier, vol. 58(1), pages 41-58.
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