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Citations for "Portfolio Performance Manipulation and Manipulation-Proof Performance Measures"

by William Goetzmann & Jonathan Ingersoll & Matthew Spiegel & Ivo Welch

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  1. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
  2. Buchner, Axel & Wagner, Niklas, 2016. "The betting against beta anomaly: Fact or fiction?," Finance Research Letters, Elsevier, vol. 16(C), pages 283-289.
  3. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011. "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
  4. María O González & Frank Skinner & Samuel Agyei-Ampomah, 2013. "Term structure information and bond strategies," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 53-74, July.
  5. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
  6. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2014. "Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(3), pages 209-231, August.
  7. Bahaji, Hamza & Aberkane, Salah, 2016. "How rational could VIX investing be?," Economic Modelling, Elsevier, vol. 58(C), pages 556-568.
  8. Della Corte, P. & Sarno, L. & Sestieri, G., 2011. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," Working papers 313, Banque de France.
  9. Dominika Paula Gałkiewicz, 2015. "Loss Potential and Disclosures Related to Credit Derivatives – A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation," SFB 649 Discussion Papers SFB649DP2015-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
  11. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
  12. Nicos Koussis & Michalis Makrominas, 2015. "Growth options, option exercise and firms’ systematic risk," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 243-267, February.
  13. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
  14. Auer, Benjamin R., 2015. "Does the choice of performance measure influence the evaluation of commodity investments?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 142-150.
  15. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
  16. Alexander, Gordon J. & Baptista, Alexandre M., 2011. "Portfolio selection with mental accounts and delegation," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2637-2656, October.
  17. Jamie Alcock & John Glascock & Eva Steiner, 2013. "Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 434-465, October.
  18. Anastasia Petraki & Anna Zalewska, 2013. "Jumping over a low hurdle: Personal pension fund performance," The Centre for Market and Public Organisation 13/305, Department of Economics, University of Bristol, UK.
  19. Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017. "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 183-203.
  20. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
  21. Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
  22. Serge Darolles & Christian Gourieroux, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Post-Print halshs-00677727, HAL.
  23. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
  24. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
  25. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
  26. repec:ipg:wpaper:2014-393 is not listed on IDEAS
  27. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
  28. Panopoulou, Ekaterini & Pantelidis, Theologos, 2015. "Speculative behaviour and oil price predictability," Economic Modelling, Elsevier, vol. 47(C), pages 128-136.
  29. Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016. "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, vol. 31(C), pages 25-42.
  30. Schuster, Martin & Auer, Benjamin R., 2012. "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, vol. 116(1), pages 124-128.
  31. Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin, 2015. "On the (Ab)Use of Omega?," Working Papers 2015:02, Department of Economics, University of Venice "Ca' Foscari".
  32. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
  33. 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.
  34. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, vol. 99(3), pages 546-559, March.
  35. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  36. Lynch, Andrew & Puckett, Andy & Yan, Xuemin (Sterling), 2014. "Institutions and the turn-of-the-year effect: Evidence from actual institutional trades," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 56-68.
  37. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
  38. Pfau, Wade Donald, 2011. "Revisiting the Fisher and Statman Study on Market Timing," MPRA Paper 29448, University Library of Munich, Germany.
  39. Antonio Diez de los Rios & René Garcia, 2011. "The option CAPM and the performance of hedge funds," Review of Derivatives Research, Springer, vol. 14(2), pages 137-167, July.
  40. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
  41. 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.
  42. Paolo Guasoni & Gur Huberman & Zhenyu Wang, 2010. "Performance maximization of actively managed funds," Staff Reports 427, Federal Reserve Bank of New York.
  43. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
  44. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011. "Risk Shifting and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2575-2616.
  45. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail risk in hedge funds: A unique view from portfolio holdings," CFR Working Papers 15-07, University of Cologne, Centre for Financial Research (CFR).
  46. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
  47. Dean Foster & Rakesh Vohra, 2011. "Calibration: Respice, Adspice, Prospice," Discussion Papers 1537, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  48. Aragon, George O. & Spencer Martin, J., 2012. "A unique view of hedge fund derivatives usage: Safeguard or speculation?," Journal of Financial Economics, Elsevier, vol. 105(2), pages 436-456.
  49. Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
  50. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2014. "Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 95-109.
  51. Tim Adam & Andre Guettler, 2015. "Pitfalls and Perils of Financial Innovation: The Use of CDS by Corporate Bond Funds," SFB 649 Discussion Papers SFB649DP2015-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  52. Haggard, K. Stephen & Witte, H. Douglas, 2010. "The Halloween effect: Trick or treat?," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 379-387, December.
  53. 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.
  54. Tirapat, Sunti & Visaltanachoti, Nuttawat, 2013. "Opportunistic insider trading," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1046-1061.
  55. Joenväärä, Juha & Kosowski, Robert, 2015. "Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds," CEPR Discussion Papers 10577, C.E.P.R. Discussion Papers.
  56. Marcella Lucchetta & Michele Costola & Lorenzo Frattarolo & Antonio Paradiso, 2016. "Do we need a stochastic trend in cay estimation? Yes," Working Papers 2016:24, Department of Economics, University of Venice "Ca' Foscari".
  57. Mario Cerrato & John Crosby & Muhammad Kaleem, 2011. "Measuring the economic significance of structural exchange rate models," Working Papers 2011_17, Business School - Economics, University of Glasgow.
  58. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
  59. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.
  60. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
  61. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance 1508, University of St. Gallen, School of Finance.
  62. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
  63. Jiahan Li & Ilias Tsiakas & Wei Wang, 2014. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Working Paper Series 05_14, The Rimini Centre for Economic Analysis.
  64. Cheol S. Eun & Sandy Lai & Frans A. de Roon & Zhe Zhang, 2010. "International Diversification with Factor Funds," Management Science, INFORMS, vol. 56(9), pages 1500-1518, September.
  65. Aivaliotis, Georgios & Palczewski, Jan, 2014. "Investment strategies and compensation of a mean–variance optimizing fund manager," European Journal of Operational Research, Elsevier, vol. 234(2), pages 561-570.
  66. Jose Faias & Pedro Santa-Clara, 2011. "Optimal Option Portfolio Strategies," EcoMod2011 3041, EcoMod.
  67. 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.
  68. Michel Verlaine, 2010. "Risk Governance for funds," Cahiers du CEREFIGE 1003, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2010.
  69. Christopher J. Neely & Paul A. Weller, 2011. "Lessons from the evolution of foreign exchange trading strategies," Working Papers 2011-021, Federal Reserve Bank of St. Louis.
  70. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  71. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
  72. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
  73. Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
  74. 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.
  75. Vigile Marie Fabella & Georgi Kocharkov, 2016. "From planning to chaos to market: Ethnic inequality in Bulgaria," Working Paper Series of the Department of Economics, University of Konstanz 2016-08, Department of Economics, University of Konstanz.
  76. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
  77. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.
  78. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, vol. 234(2), pages 469-480.
  79. Auer, Benjamin R. & Schuhmacher, Frank, 2016. "Do socially (ir)responsible investments pay? New evidence from international ESG data," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 51-62.
  80. Alexandros Kostakis, 2007. "Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors," Discussion Papers 07/07, Department of Economics, University of York.
  81. Adam, Tim & Guettler, Andre, 2015. "Pitfalls and perils of financial innovation: The use of CDS by corporate bond funds," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 204-214.
  82. Mark Flood & George Korenko, 2013. "Systematic Scenario Selection," Working Papers 13-02, Office of Financial Research, US Department of the Treasury.
  83. Carole Comerton-Forde & Tālis J. Putniņš, 2014. "Stock Price Manipulation: Prevalence and Determinants," Review of Finance, European Finance Association, vol. 18(1), pages 23-66.
  84. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
  85. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
  86. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
  87. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
  88. Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2185-2197, September.
  89. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.