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Portfolio Performance Evaluation: Old Issues and New Insights
Citations
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Cited by:
- Chevalier, Judith & Ellison, Glenn, 1997.
"Risk Taking by Mutual Funds as a Response to Incentives,"
Journal of Political Economy, University of Chicago Press, vol. 105(6), pages 1167-1200, December.
- Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc.
- Chevalier, J. & Ellison, G., 1996. "Risk Taking by Mutual Funds as a Response to Incentives," Working papers 96-3, Massachusetts Institute of Technology (MIT), Department of Economics.
- Jonathan Fletcher & David Forbes, 2002. "U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 21(3), pages 195-218, June.
- Hayne E. Leland., 1996. "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies," Research Program in Finance Working Papers RPF-263-rev, University of California at Berkeley.
- Lubos Pastor & Robert F. Stambaugh, "undated".
"Evaluating and Investing in Equity Mutual Funds,"
Rodney L. White Center for Financial Research Working Papers
10-00, Wharton School Rodney L. White Center for Financial Research.
- Lubos Pastor & Robert F. Stambaugh, 2000. "Evaluating and Investing in Equity Mutual Funds," NBER Working Papers 7779, National Bureau of Economic Research, Inc.
- Lubos Pastor & Robert F. Stambaugh, "undated". "Evaluating and Investing in Equity Mutual Funds," CRSP working papers 516, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Graham, John R. & Harvey, Campbell R., 1996.
"Market timing ability and volatility implied in investment newsletters' asset allocation recommendations,"
Journal of Financial Economics, Elsevier, vol. 42(3), pages 397-421, November.
- John R. Graham & Campbell R. Harvey, 1994. "Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations," NBER Working Papers 4890, National Bureau of Economic Research, Inc.
- J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002. "The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/160, Ghent University, Faculty of Economics and Business Administration.
- Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York.
- Jondeau, E. & Rockinger, M., 2002.
"Asset Allocation in Transition Economies,"
Working papers
90, Banque de France.
- Michael Rockinger & Eric Jondeau, 2002. "Asset Allocation in Transition Economies," Working Papers hal-00597773, HAL.
- Gordon Gemmill & Soosung Hwang & Mark Salmon, 2006.
"Performance measurement with loss aversion,"
Journal of Asset Management, Palgrave Macmillan, vol. 7(3), pages 190-207, September.
- Salmon, Mark & Gemmill, Gordon T & Hwang, Soosung, 2005. "Performance Measurement with Loss Aversion," CEPR Discussion Papers 5173, C.E.P.R. Discussion Papers.
- 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.
- Amisano, Gianni & Savona, Roberto, 2008. "Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk," Working Paper Series 881, European Central Bank.
- Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance 9307001, University Library of Munich, Germany, revised 18 Apr 1994.
- D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.
- Eduardo Walker, 1993. "Desempeño Financiero de las Carteras Accionarias 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 35-76.
- Joel Owen & Ramón Rabinovitch, 1999. "Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test," Journal of Applied Economics, Universidad del CEMA, vol. 2, pages 97-130, May.
- Tao Chen, 2009. "Informational Efficiency: Which Institutions Matter?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 141-168, June.
- Farah, N. & Satchell, S.E., 2003. "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics 0333, Faculty of Economics, University of Cambridge.
- Pinto, Cristian F. & Acuña, Andres A., 2011. "Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza [Consistency in the evaluation of financial investment perform," MPRA Paper 31301, University Library of Munich, Germany.
- Pastor, Lubos & Stambaugh, Robert F., 2002.
"Investing in equity mutual funds,"
Journal of Financial Economics, Elsevier, vol. 63(3), pages 351-380, March.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Investing in Equity Mutual Funds," CRSP working papers 532, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Glosten, L. R. & Jagannathan, R., 1994.
"A contingent claim approach to performance evaluation,"
Journal of Empirical Finance, Elsevier, vol. 1(2), pages 133-160, January.
- Lawrence R. Glosten & Ravi Jagannathan, 1993. "A contingent claim approach to performance evaluation," Staff Report 159, Federal Reserve Bank of Minneapolis.
- Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc.
- J. C. Matallin & A. Fernandez-Izquierdo, 2003. "Passive timing effect in portfolio management," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1829-1837.
- Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004.
"The Performance of International Equity Portfolios,"
International Finance Discussion Papers
817, Board of Governors of the Federal Reserve System (U.S.).
- Charles P. Thomas, 2006. "The Performance of International Equity Portfolios," The Institute for International Integration Studies Discussion Paper Series iiisdp162, IIIS.
- Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006. "The Performance of International Equity Portfolios," NBER Working Papers 12346, National Bureau of Economic Research, Inc.
- 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.
- Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998.
"Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance,"
The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
- Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
- Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January.
- Anandi Sahu & Robert Kleiman & Joseph Callaghan, 1998. "The Timing and Stock Selection Abilities of Bank Funds: Evidence Based on Meta-Analysis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(2), pages 137-152, April.
- 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.
- 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.
- 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.
- Jonathan Fletcher & Andrew Marshall, 2005. "An Empirical Examination of U.K. International Unit Trust Performance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 27(2), pages 183-206, April.
- Ahmed A. El-Masry, 2004. "The Exchange Rate Exposure of UK Nonfinancial Companies: Industry-Level Analysis," International Finance 0401001, University Library of Munich, Germany.
- Wayne Ferson & Kenneth Khang, 2002. "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers 8790, National Bureau of Economic Research, Inc.
- Sergey Iskoz & Jiang Wang, 2003. "How to Tell if a Money Manager Knows More?," NBER Working Papers 9791, National Bureau of Economic Research, Inc.
- Engström, Stefan, 2004. "Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions," SSE/EFI Working Paper Series in Economics and Finance 553, Stockholm School of Economics.