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Citations for "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios"

by Jensen, Michael C

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  1. Chiang, I-Hsuan Ethan, 2015. "Modern portfolio management with conditioning information," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 114-134.
  2. Gallo, John G. & Swanson, Peggy E., 1996. "Comparative measures of performance for U.S.-based international equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1635-1650, December.
  3. Thomas Lagoarde-Segot & Brian M. Lucey, 2007. "Capital Market Integration in the Middle East and North Africa," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 43(3), pages 34-57, June.
  4. 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.
  5. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc.
  6. Holland, Daniel M. (Daniel Mark), 1920- & Myers, Stewart C., 1978. "Trends in corporate profitability and capital costs," Working papers 999-78., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  7. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," SCAPE Policy Research Working Paper Series 0706, National University of Singapore, Department of Economics, SCAPE.
  8. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 573-637, December.
  9. Ephraim Clark & Zhuo Qiao & Wing-Keung Wong, 2016. "Theories Of Risk: Testing Investor Behavior On The Taiwan Stock And Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, vol. 54(2), pages 907-924, 04.
  10. Manescu, Cristiana, 2009. "Stock returns in relation to environmental, social and governance performance: mispricing or compensation for risk?," Working Papers in Economics 376, University of Gothenburg, Department of Economics, revised 01 Mar 2010.
  11. Chen, Andrew N.K. & Wang, Shin-Yun & Yu, Po-Lung, 2014. "Evaluating multi-criteria ratings of financial investment options," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 46-58.
  12. Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
  13. Semushin, Anton & Parshakov, Petr, 2012. "Data frequency and mutual fund performance measures," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 25(1), pages 95-114.
  14. Lean, H.H. & McAleer, M.J. & Wong, W-K., 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," Econometric Institute Research Papers EI 2010-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  15. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 36-58.
  16. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January.
  17. Morey, Matthew R. & Morey, Richard C., 1999. "Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking," Omega, Elsevier, vol. 27(2), pages 241-258, April.
  18. Simon Stevenson, 2004. "A performance evaluation of portfolio managers: tests of micro and macro forecasting," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 391-411.
  19. 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.
  20. Wermers, Russ & Yao, Tong & Zhao, Jane, 2007. "The investment value of mutual fund portfolio disclosure," CFR Working Papers 06-09, University of Cologne, Centre for Financial Research (CFR).
  21. Sun, Changyou & Liao, Xianchun, 2011. "Effects of litigation under the Endangered Species Act on forest firm values," Journal of Forest Economics, Elsevier, vol. 17(4), pages 388-398.
  22. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," KIER Working Papers 718, Kyoto University, Institute of Economic Research.
  23. Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance icma-dp2011-12, Henley Business School, Reading University.
  24. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Documentos de Trabajo del ICAE 2013-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Aug 2013.
  25. Farah, N. & Satchell, S.E., 2003. "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics 0333, Faculty of Economics, University of Cambridge.
  26. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CIRJE F-Series CIRJE-F-744, CIRJE, Faculty of Economics, University of Tokyo.
  27. 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.
  28. Tomasz Potocki & Tomasz Świst, 2009. "The Strong Informative Efficiency of The Stock-Exchange in Warsaw-the Myth and the Reality," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 23.
  29. Elton, Edwin J. & Gruber, Martin J., 1997. "Modern portfolio theory, 1950 to date," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1743-1759, December.
  30. Jacqueline Henn Overbeck & Iwan Meier, 2005. "Performance Analysis of Hedge Fonds," Working papers 2005/06, Faculty of Business and Economics - University of Basel.
  31. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
  32. Avramov, Doron & Wermers, Russ, 2005. "Investing in mutual funds when returns are predictable," CFR Working Papers 05-13, University of Cologne, Centre for Financial Research (CFR).
  33. Bowden, Roger J., 2000. "The ordered mean difference as a portfolio performance measure," Journal of Empirical Finance, Elsevier, vol. 7(2), pages 195-223, August.
  34. Pastor, Lubos & Stambaugh, Robert F., 2002. "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, Elsevier, vol. 63(3), pages 315-349, March.
  35. Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
  36. Alex Kane & Alan J. Marcus, 1986. "The Valuation of Security Analysis," NBER Working Papers 1958, National Bureau of Economic Research, Inc.
  37. Harless, David W. & Peterson, Steven P., 1998. "Investor behavior and the persistence of poorly-performing mutual funds," Journal of Economic Behavior & Organization, Elsevier, vol. 37(3), pages 257-276, November.
  38. Raza, Muhammad Wajid & Mohsin, Hassan Mohammad, 2014. "Portfolio Tilting Hunt for Positive Alpha Through Style Tilts," MPRA Paper 70622, University Library of Munich, Germany, revised 01 Sep 2014.
  39. Chaudhury, M. M. & Lee, C. F., 1997. "Functional form of stock return model: Some international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(1), pages 151-183.
  40. Jacques Pézier, 2007. "Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory," ICMA Centre Discussion Papers in Finance icma-dp2008-05, Henley Business School, Reading University, revised Dec 2008.
  41. 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.
  42. 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.
  43. 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.
  44. Frankfurter, George M. & Phillips, Herbert E., 1996. "Normative implications of equilibrium models: Homogeneous expectations and other artificialities," Journal of Economic Behavior & Organization, Elsevier, vol. 31(1), pages 67-83, October.
  45. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
  46. Kinnunen, Jyri, 2013. "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 107-121.
  47. Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia, 2014. "Unveiling the embedded coherence in divergent performance rankings," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 154-165.
  48. Martin Gold, 2010. "Fiduciary Finance," Books, Edward Elgar Publishing, number 13813, May.
  49. Bialkowski, Jedrzej & Otten, Roger, 2011. "Emerging market mutual fund performance: Evidence for Poland," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 118-130, August.
  50. "Kamoike, Osamu", 1981. "Theory of Demand for a Mutual Fund under Asymmetric Information," Economic Review, Hitotsubashi University, vol. 32(4), pages 332-346, January.
  51. Merchant, Hemant, 2005. "The structure-performance relationship in international joint ventures: a comparative analysis," Journal of World Business, Elsevier, vol. 40(1), pages 41-56, February.
  52. Jaffe, Jeffrey & Pedersen, David & Voetmann, Torben, 2013. "Skill differences in corporate acquisitions," Journal of Corporate Finance, Elsevier, vol. 23(C), pages 166-181.
  53. 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.
  54. Joseph Petrick, 2011. "Sustainable Stakeholder Capitalism: A Moral Vision of Responsible Global Financial Risk Management," Journal of Business Ethics, Springer, vol. 99(1), pages 93-109, February.
  55. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, Department of Economics and Business Economics, Aarhus University.
  56. Merchant, Hemant, 2012. "The characteristics and stock-market performance of international joint ventures located in three host-country groups: An extension and empirical validation," International Business Review, Elsevier, vol. 21(6), pages 1173-1189.
  57. Hooi Lean & Kok Phoon & Wing-Keung Wong, 2013. "Stochastic dominance analysis of CTA funds," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 155-170, January.
  58. Eduardo Walker, 1993. "Desempeño Financiero de las Carteras de Renta Fija de los Fondos de Pensiones en Chile. ¿Ha Tenido Desventajas Ser Grandes?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 30(89), pages 1-34.
  59. Modigliani, Franco. & Pogue, G. A., 1973. "An introduction to risk and return concepts and evidence," Working papers 646-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  60. Erindi Allaj, 2013. "The Black–Litterman model: a consistent estimation of the parameter tau," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(2), pages 217-251, June.
  61. Taylor, Jonathan, 2003. "Risk-taking behavior in mutual fund tournaments," Journal of Economic Behavior & Organization, Elsevier, vol. 50(3), pages 373-383, March.
  62. Abdelsalam, Omneya & Duygun, Meryem & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2014. "Do ethics imply persistence? The case of Islamic and socially responsible funds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 182-194.
  63. Hassan, Abul & Antoniou, Antonios & Paudyal, D Krishna, 2005. "Impact Of Ethical Screening On Investment Performance: The Case Of The Dow Jones Islamic Index," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 12, pages 68-97.
  64. Wong, M. C. S., 1997. "Fund management performance, trend-chasing technical analysis and investment horizons: a case study," Omega, Elsevier, vol. 25(1), pages 57-63, February.
  65. Agnesens, Julius, 2013. "A statistically robust decomposition of mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3867-3877.
  66. Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
  67. Sun, Xing & Zhang, Daowei, 2011. "An event analysis of industrial timberland sales on shareholder values of major U.S. forest products firms," Forest Policy and Economics, Elsevier, vol. 13(5), pages 396-401, June.
  68. Galvani, Valentina & Plourde, Andre, 2009. "Portfolio Diversification in Energy Markets," Working Papers 2009-6, University of Alberta, Department of Economics.
  69. Marinelli, Federico, 2008. "Persistence of outstanding performance and shareholder value among diversified firms: The impact of past performance, efficient internal capital market, and relatedness of business segments," IESE Research Papers D/758, IESE Business School.
  70. Tommy Lundgren, 2005. "Assessing the Investment Performance of Swedish Timberland: A Capital Asset Pricing Model Approach," Land Economics, University of Wisconsin Press, vol. 81(3).
  71. Gallo, John G. & Lockwood, Larry J. & Swanson, Peggy E., 1997. "The performance of international bond funds," International Review of Economics & Finance, Elsevier, vol. 6(1), pages 17-35.
  72. Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
  73. Mei, Bin & Sun, Changyou, 2008. "Event analysis of the impact of mergers and acquisitions on the financial performance of the U.S. forest products industry," Forest Policy and Economics, Elsevier, vol. 10(5), pages 286-294, April.
  74. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, EconWPA, revised 23 Jul 2005.
  75. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
  76. Huij, Joop & Derwall, Jeroen, 2011. "Global equity fund performance, portfolio concentration, and the fundamental law of active management," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 155-165, January.
  77. Shukla, Ravi K. & van Inwegen, Gregory B., 1995. "Do locals perform better than foreigners?: An analysis of UK and US mutual fund managers," Journal of Economics and Business, Elsevier, vol. 47(3), pages 241-254, August.
  78. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2015. "Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 204-216.
  79. Thomas Lagoarde-Segot & Brian M. Lucey, 2007. "Capital Market Integration in the Middle East and North Africa," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 43(3), pages 34-57, June.
  80. null Saad, 2010. "A comparative analysis of the performance of conventional and Islamic unit trust companies in Malaysia," International Journal of Managerial Finance, Emerald Group Publishing, vol. 6(1), pages 24-47, February.
  81. Rompotis, Gerasimos G., 2011. "Testing weak-form efficiency of exchange traded funds market," MPRA Paper 36020, University Library of Munich, Germany.
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