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Mutual fund performance with learning across funds

Citations

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Cited by:

  1. Keith Cuthbertson & Dirk Nitzsche & Niall O’Sullivan, 2023. "UK mutual funds: performance persistence and portfolio size," Journal of Asset Management, Palgrave Macmillan, vol. 24(4), pages 284-298, July.
  2. David Hunter & Zhen Sun & Karen Benson, 2020. "The Exclusive Role of Centralized Fund Family Management," Journal of Financial Services Research, Springer;Western Finance Association, vol. 58(2), pages 199-236, December.
  3. Chang Liu & Bowen Deng, 2023. "Is it really paid for sustainable development? The economic significance of firms' green practice," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(2), pages 908-925, April.
  4. Fisher, Mark & Jensen, Mark J., 2022. "Bayesian nonparametric learning of how skill is distributed across the mutual fund industry," Journal of Econometrics, Elsevier, vol. 230(1), pages 131-153.
  5. Fisher, Mark & Jensen, Mark J., 2019. "Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors," Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
  6. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
  7. Erragragui, Elias & Revelli, Christophe, 2016. "Is it costly to be both shariah compliant and socially responsible?," Review of Financial Economics, Elsevier, vol. 31(C), pages 64-74.
  8. Petr Parshakov, 2014. "Russian Mutual Funds: Skill vs. Luck," HSE Working papers WP BRP 40/FE/2014, National Research University Higher School of Economics.
  9. Victor DeMiguel & Javier Gil-Bazo & Francisco J. Nogales & André A. P. Santos, 2021. "Can Machine Learning Help to Select Portfolios of Mutual Funds?," Working Papers 1245, Barcelona School of Economics.
  10. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2022. "Mutual fund performance persistence: Factor models and portfolio size," International Review of Financial Analysis, Elsevier, vol. 81(C).
  11. Gianni Amisano & Roberto Savona, 2007. "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers 0706, University of Brescia, Department of Economics.
  12. MacLean, Leonard C. & Foster, Michael E. & Ziemba, William T., 2007. "Covariance complexity and rates of return on assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3503-3523, November.
  13. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023. "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
  14. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
  15. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
  16. Huang, Haitao & Jiang, Lei & Leng, Xuan & Peng, Liang, 2023. "Bootstrap analysis of mutual fund performance," Journal of Econometrics, Elsevier, vol. 235(1), pages 239-255.
  17. Elias Erragragui & Christophe Revelli, 2016. "Is it costly to be both shariah compliant and socially responsible?," Review of Financial Economics, John Wiley & Sons, vol. 31(1), pages 64-74, November.
  18. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  19. Avramov, Doron & Wermers, Russ, 2006. "Investing in mutual funds when returns are predictable," Journal of Financial Economics, Elsevier, vol. 81(2), pages 339-377, August.
  20. Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
  21. Korteweg, Arthur & Sorensen, Morten, 2017. "Skill and luck in private equity performance," Journal of Financial Economics, Elsevier, vol. 124(3), pages 535-562.
  22. Ardia, David & Barras, Laurent & Gagliardini, Patrick & Scaillet, Olivier, 2024. "Is it alpha or beta? Decomposing hedge fund returns when models are misspecified," Journal of Financial Economics, Elsevier, vol. 154(C).
  23. Huij, Joop & Verbeek, Marno, 2007. "Cross-sectional learning and short-run persistence in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 973-997, March.
  24. 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).
  25. Elias, Erragragui, 2017. "Is it Costly to Introduce SRI into Islamic Portfolios?," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 25, pages 23-54.
  26. Laurent Barras & Olivier Scaillet & Russ Wermers, 2010. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Journal of Finance, American Finance Association, vol. 65(1), pages 179-216, February.
  27. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
  28. Laurent Barras & Patrick Gagliardini & O. Scaillet, 2018. "The Cross-Sectional Distribution of Fund Skill Measures," Swiss Finance Institute Research Paper Series 18-66, Swiss Finance Institute.
  29. Hunter, David & Kandel, Eugene & Kandel, Shmuel & Wermers, Russ, 2014. "Mutual fund performance evaluation with active peer benchmarks," Journal of Financial Economics, Elsevier, vol. 112(1), pages 1-29.
  30. F. Douglas Foster & Geoffrey J. Warren, 2015. "Why Might Investors Choose Active Management?," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 16(1), pages 20-39, January.
  31. Huij, Joop & Derwall, Jeroen, 2008. ""Hot Hands" in bond funds," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 559-572, April.
  32. Zhongzhi Lawrence He, 2018. "Generalized Information Ratio," Papers 1803.01381, arXiv.org, revised Apr 2018.
  33. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  34. Ľuboš Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, August.
  35. DeMiguel, Victor & Gil-Bazo, Javier & Nogales, Francisco J. & Santos, André A.P., 2023. "Machine learning and fund characteristics help to select mutual funds with positive alpha," Journal of Financial Economics, Elsevier, vol. 150(3).
  36. Samuel L. Tibbs & Deborah L. Harrell & Ronald E. Shrieves, 2011. "Do Shareholders Benefit from Corporate Misconduct? A Long‐Run Analysis," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 8(3), pages 449-476, September.
  37. Keith Hooper & Howard Davey & Roger Su & Dani A.C. Foo, 2006. "Persistence in Mutual Fund Returns: New Zealand Evidence," Accounting Research Journal, Emerald Group Publishing, vol. 19(2), pages 105-121, September.
  38. Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
  39. Randolph B. Cohen & Joshua D. Coval & Ľuboš Pástor, 2005. "Judging Fund Managers by the Company They Keep," Journal of Finance, American Finance Association, vol. 60(3), pages 1057-1096, June.
  40. Daniel R. Cavagnaro & Berk A. Sensoy & Yingdi Wang & Michael S. Weisbach, 2016. "Measuring Institutional Investors’ Skill from Their Investments in Private Equity," NBER Working Papers 22547, National Bureau of Economic Research, Inc.
  41. Derwall, J. & Günster, N.K. & Bauer, R. & Koedijk, C.G., 2004. "The Eco-Efficiency Premium Puzzle," ERIM Report Series Research in Management ERS-2004-043-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.
  42. Gillen, Benjamin J., 2014. "An empirical Bayesian approach to stein-optimal covariance matrix estimation," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 402-420.
  43. Nik Tuzov & Frederi Viens, 2011. "Mutual fund performance: false discoveries, bias, and power," Annals of Finance, Springer, vol. 7(2), pages 137-169, May.
  44. Urbi Garay & Enrique Ter Horst & German Molina & Abel Rodriguez, 2016. "Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns," Econometrics, MDPI, vol. 4(1), pages 1-23, March.
  45. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.
  46. Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2007. "Do hedge funds deliver alpha? A Bayesian and bootstrap analysis," Journal of Financial Economics, Elsevier, vol. 84(1), pages 229-264, April.
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