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Citations for "Mutual fund styles"

by Brown, Stephen J. & Goetzmann, William N.

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  1. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, . "Mutual fund trading costs," Rodney L. White Center for Financial Research Working Papers 27-99, Wharton School Rodney L. White Center for Financial Research.
  2. 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.
  3. 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.
  4. 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.
  5. Kim, Tae-Hwan & White, Halbert & Stone, Douglas, 2000. "Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights," University of California at San Diego, Economics Working Paper Series qt5h98h28m, Department of Economics, UC San Diego.
  6. Matvos, Gregor & Ostrovsky, Michael, 2006. "Strategic Proxy Voting," Research Papers 1964, Stanford University, Graduate School of Business.
  7. 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.
  8. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.
  9. 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.
  10. 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.
  11. José M. Marín & Francesco Franzoni, 2005. "Portable alphas from pension mispricing," Economics Working Papers 894, Department of Economics and Business, Universitat Pompeu Fabra.
  12. Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008. "Sector classification through non-Gaussian similarity," Working Papers CEB 08-032.RS, ULB -- Universite Libre de Bruxelles.
  13. 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.
  14. Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm24, Yale School of Management.
  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. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. Barberis, Nicholas & Shleifer, Andrei, 2003. "Style investing," Journal of Financial Economics, Elsevier, vol. 68(2), pages 161-199, May.
  27. 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.
  28. 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.
  29. Geetesh Bhardwaj & Gary Gorton & K. Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," Yale School of Management Working Papers amz2429, Yale School of Management.
  30. 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.
  31. 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.
  32. 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.
  33. ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004. "Evaluating style analysis," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 29-53, January.
  34. 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.
  35. 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.
  36. William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2002. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm306, Yale School of Management.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. Horst, Jenke ter & Salganik, Galla, 2014. "Style chasing by hedge fund investors," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 29-42.
  42. 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.
  43. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc.
  44. 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.
  45. 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.
  46. repec:onb:oenbwp:y:2005:i:9:b:1 is not listed on IDEAS
  47. Ahmed, Parvez, 2001. "Forecasting correlation among equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1187-1208, June.
  48. 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.
  49. 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.
  50. 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.
  51. DeLong, Gayle L., 2001. "Stockholder gains from focusing versus diversifying bank mergers," Journal of Financial Economics, Elsevier, vol. 59(2), pages 221-252, February.
  52. 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.
  53. 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.
  54. ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno, 2001. "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 345-373, September.
  55. 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.
  56. 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.
  57. 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.
  58. 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.
  59. 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.
  60. 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.
  61. 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.
  62. 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.
  63. 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.
  64. 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.
  65. 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.
  66. 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.
  67. 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.
  68. Kim, Moon & Shukla, Ravi & Tomas, Michael, 2000. "Mutual fund objective misclassification," Journal of Economics and Business, Elsevier, vol. 52(4), pages 309-323.
  69. 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.
  70. 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.
  71. 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.
  72. 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.
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