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Efficiently Inefficient Markets for Assets and Asset Management
Citations
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Cited by:
- Charlotte Christiansen & Ran Xing & Yue Xu, 2020. "Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies," CREATES Research Papers 2020-14, Department of Economics and Business Economics, Aarhus University.
- Charles Cao & Grant Farnsworth & Hong Zhang, 2021. "The Economics of Hedge Fund Startups: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 76(3), pages 1427-1469, June.
- John Fender, 2020. "Beyond the efficient markets hypothesis: Towards a new paradigm," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 333-351, July.
- Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2022.
"Asset Management Contracts and Equilibrium Prices,"
Journal of Political Economy, University of Chicago Press, vol. 130(12), pages 3146-3201.
- Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2014. "Asset Management Contracts and Equilibrium Prices," NBER Working Papers 20480, National Bureau of Economic Research, Inc.
- Buffa, Andrea & Vayanos, Dimitri & Woolley, Paul, 2014. "Asset management contracts and equilibrium prices," LSE Research Online Documents on Economics 119026, London School of Economics and Political Science, LSE Library.
- Vayanos, Dimitri & Woolley, Paul & ,, 2014. "Asset Management Contracts and Equilibrium Prices," CEPR Discussion Papers 10152, C.E.P.R. Discussion Papers.
- Buffa, Andrea M. & Vayanos, Dimitri & Woolley, Paul, 2022. "Asset management contracts and equilibrium prices," LSE Research Online Documents on Economics 113889, London School of Economics and Political Science, LSE Library.
- Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
- Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
- Song, Ziyu & Wu, Shan, 2023. "Post financial forecasting game theory and decision making," Finance Research Letters, Elsevier, vol. 58(PA).
- Hitzemann, Steffen & Sokolinski, Stanislav & Tai, Mingzhu, 2022. "Paying for beta: Leverage demand and asset management fees," Journal of Financial Economics, Elsevier, vol. 145(1), pages 105-128.
- Rousse, Olivier & Sévi, Benoît, 2016.
"Informed Trading in Oil-Futures Market,"
ESP: Energy Scenarios and Policy
249788, Fondazione Eni Enrico Mattei (FEEM).
- Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
- Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
- Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
- Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089758, HAL.
- Olivier Rousse & Benoît Sévi, 2017. "Informed trading in oil futures markets," Post-Print hal-02089772, HAL.
- Bjerksund, Petter & Stensland, Gunnar, 2017. "Profitable Robot Strategies in Pari-Mutuel Betting," Discussion Papers 2017/6, Norwegian School of Economics, Department of Business and Management Science.
- Jérôme Dugast & Thierry Foucault, 2020.
"Equilibrium Data Mining and Data Abundance,"
Working Papers
hal-03053967, HAL.
- Jérôme Dugast & Thierry Foucault, 2023. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04390474, HAL.
- Jérôme Dugast & Thierry Foucault, 2020. "Equilibrium Data Mining and Data Abundance," Post-Print hal-02933315, HAL.
- Jérome Dugast & Thierry Foucault, 2020. "Equilibrium Data Mining and Data Abundance," Post-Print hal-02933316, HAL.
- Jérome Dugast & Thierry Foucault, 2023. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04390540, HAL.
- Dugast, Jerome & Foucault, Thierry, 2021. "Equilibrium Data Mining and Data Abundance," HEC Research Papers Series 1393, HEC Paris.
- Jérôme Dugast & Thierry Foucault, 2023. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04505144, HAL.
- Mattia Landoni & Stephen P. Zeldes, 2020. "Should the Government be Paying Investment Fees on $3 Trillion of Tax-Deferred Retirement Assets?," NBER Working Papers 26700, National Bureau of Economic Research, Inc.
- Beggs, William & Harvison, Thuong, 2023. "Fraud and abuse in the paycheck protection program? Evidence from investment advisory firms," Journal of Banking & Finance, Elsevier, vol. 147(C).
- Janssen, Dirk-Jan & Li, Jiangyan & Qiu, Jianying & Weitzel, Utz, 2020. "The disposition effect and underreaction to private information," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
- Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2020.
"Fund tradeoffs,"
Journal of Financial Economics, Elsevier, vol. 138(3), pages 614-634.
- Pástor, Luboš & Stambaugh, Robert F. & Taylor, Lucian, 2017. "Fund Tradeoffs," CEPR Discussion Papers 12513, C.E.P.R. Discussion Papers.
- Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2017. "Fund Tradeoffs," NBER Working Papers 23670, National Bureau of Economic Research, Inc.
- Grønborg, Niels S. & Lunde, Asger & Timmermann, Allan & Wermers, Russ, 2021.
"Picking funds with confidence,"
Journal of Financial Economics, Elsevier, vol. 139(1), pages 1-28.
- Niels S. Grønborg & Asger Lunde & Allan Timmermann & Russ Wermers, 2017. "Picking Funds with Confidence," CREATES Research Papers 2017-13, Department of Economics and Business Economics, Aarhus University.
- Timmermann, Allan & Lunde, Asger & Groenborg, Niels & Wermers, Russ, 2017. "Picking Funds with Confidence," CEPR Discussion Papers 11896, C.E.P.R. Discussion Papers.
- Dumitrescu, Ariadna & Gil-Bazo, Javier, 2018. "Market frictions, investor sophistication, and persistence in mutual fund performance," Journal of Financial Markets, Elsevier, vol. 40(C), pages 40-59.
- Corum, Adrian Aycan & Malenko, Andrey & Malenko, Nadya, 2020.
"Corporate Governance in the Presence of Active and Passive Delegated Investment,"
OSF Preprints
8n6xj, Center for Open Science.
- Corum, Adrian Aycan & Malenko, Andrey & Malenko, Nadya, 2022. "Corporate governance in the presence of active and passive delegated investment," CEPR Discussion Papers 15230, C.E.P.R. Discussion Papers.
- Massa, Massimo & Cheng, Si & Zhang, Hong, 2021. "Tax Evasion and Market Efficiency: Evidence from the FATCA and Offshore Mutual Funds," CEPR Discussion Papers 15747, C.E.P.R. Discussion Papers.
- 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).
- David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2020. "Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified," Swiss Finance Institute Research Paper Series 20-82, Swiss Finance Institute, revised May 2023.
- Nikolai Roussanov & Hongxun Ruan & Yanhao Wei & Stijn Van Nieuwerburgh, 2021.
"Marketing Mutual Funds,"
The Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 3045-3094.
- Nikolai Roussanov & Hongxun Ruan & Yanhao Wei, 2018. "Marketing Mutual Funds," NBER Working Papers 25056, National Bureau of Economic Research, Inc.
- Csóka, Péter & Havran, Dániel & Váradi, Kata, 2016. "Konferencia a pénzügyi piacok likviditásáról. Sixth Annual Financial Market Liquidity Conference, 2015 [Conference on the liquidity of financial markets. Sixth Annual Financial Market Liquidity Con," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 461-469.
- Andrew Y. Chen & Alejandro Lopez-Lira & Tom Zimmermann, 2022.
"Does Peer-Reviewed Research Help Predict Stock Returns?,"
Papers
2212.10317, arXiv.org, revised Jun 2024.
- Chen, Andrew Y. & Lopez-Lira, Alejandro & Zimmermann, Tom, 2024. "Does peer-reviewed research help predict stock returns?," CFR Working Papers 24-02, University of Cologne, Centre for Financial Research (CFR).
- Jordi Mondria & Xavier Vives & Liyan Yang, 2022.
"Costly Interpretation of Asset Prices,"
Management Science, INFORMS, vol. 68(1), pages 52-74, January.
- Vives, Xavier & Yang, Liyan & Mondria, Jordi, 2017. "Costly Interpretation of Asset Prices," CEPR Discussion Papers 12360, C.E.P.R. Discussion Papers.
- Dugast, Jérôme & Foucault, Thierry, 2018.
"Data abundance and asset price informativeness,"
Journal of Financial Economics, Elsevier, vol. 130(2), pages 367-391.
- Foucault, Thierry & Dugast, Jérôme, 2016. "Data Abundance and Asset Price Informativeness," CEPR Discussion Papers 11190, C.E.P.R. Discussion Papers.
- Savitar Sundaresan & Jaromir Nosal & Marcin Kacperczyk, 2017. "Market Power and Informational Efficiency," 2017 Meeting Papers 356, Society for Economic Dynamics.
- Shiyang Huang & Yan Xiong & Liyan Yang, 2022. "Skill Acquisition and Data Sales," Management Science, INFORMS, vol. 68(8), pages 6116-6144, August.
- Acharya, Viral V. & Pedersen, Lasse Heje, 2019. "Economics with Market Liquidity Risk," Critical Finance Review, now publishers, vol. 8(1-2), pages 111-125, December.
- Itay Goldstein & Liyan Yang, 2022. "Commodity Financialization and Information Transmission," Journal of Finance, American Finance Association, vol. 77(5), pages 2613-2667, October.
- Han, Min-Yeon & Jun, Sang-Gyung & Oh, Ji Yeol Jimmy & Kang, Hyoung-Goo, 2023. "Who should choose the money managers? Institutional sponsors' equity manager performance," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
- George O. Aragon & Ji-Woong Chung & Byoung Uk Kang, 2023. "Do Prime Brokers Matter in the Search for Informed Hedge Fund Managers?," Management Science, INFORMS, vol. 69(8), pages 4932-4952, August.
- Beggs, William & DeVault, Luke, 2022. "Mutual fund (sub)advisor connections and crowds," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 231-252.
- Alan Crane & Kevin Crotty & Tarik Umar, 2023. "Hedge Funds and Public Information Acquisition," Management Science, INFORMS, vol. 69(6), pages 3241-3262, June.
- Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2017. "Hedge Fund Replication: A Model Combination Approach," Review of Finance, European Finance Association, vol. 21(4), pages 1767-1804.
- David Lagziel & Ehud Lehrer, 2021.
"Transferable deposits as a screening mechanism,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(2), pages 483-504, March.
- David Lagziel & Ehud Lehrer, 2018. "Transferable Deposits as a Screening Mechanism," Working Papers 1808, Ben-Gurion University of the Negev, Department of Economics.
- Immo Stadtmüller & Benjamin R. Auer & Frank Schuhmacher, 2024. "Core-satellite investing with commodity futures momentum," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 261-287, May.
- Cici, Gjergji & Zhang, Pei (Alex), 2021. "On the valuation skills of corporate bond mutual funds," CFR Working Papers 21-05, University of Cologne, Centre for Financial Research (CFR).
- Evans, Richard Burtis & Prado, Melissa Porras & Zambrana, Rafael, 2020. "Competition and cooperation in mutual fund families," Journal of Financial Economics, Elsevier, vol. 136(1), pages 168-188.
- You, Yu & Yu, Zongdai & Zhang, Wenqiao & Lu, Lei, 2023. "FinTech platforms and mutual fund markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
- Michael Sockin & Mindy Z Xiaolan, 2023. "Delegated Learning and Contract Commonality in Asset Management," Review of Finance, European Finance Association, vol. 27(6), pages 1931-1975.
- Bucher, Melk C., 2017. "Investor Attention and Sentiment: Risk or Anomaly?," Working Papers on Finance 1712, University of St. Gallen, School of Finance.
- Ailie Charteris & Conrad Alexander Steyn, 2023. "The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 225-240, May.
- Rilwan Sakariyahu & Mohamed Sherif & Audrey Paterson & Eleni Chatzivgeri, 2021. "Sentiment‐Apt investors and UK sector returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3321-3351, July.
- Reher, Michael & Sokolinski, Stanislav, 2024. "Robo advisors and access to wealth management," Journal of Financial Economics, Elsevier, vol. 155(C).
- Bjarne Florentsen & Ulf Nielsson & Peter Raahauge & Jesper Rangvid, 2022. "How Important is Affiliation Between Mutual Funds and Distributors for Fund Flows? [Is unbiased financial advice to retail investors sufficient? Answers from a large field study]," Review of Finance, European Finance Association, vol. 26(4), pages 971-1009.
- 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.
- Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021. "Skill, scale, and value creation in the mutual fund industry," Working Papers unige:150822, University of Geneva, Geneva School of Economics and Management.
- Joseph Gerakos & Juhani T. Linnainmaa & Adair Morse, 2021. "Asset Managers: Institutional Performance and Factor Exposures," Journal of Finance, American Finance Association, vol. 76(4), pages 2035-2075, August.
- Beggs, William, 2022. "The company you keep: Investment adviser clientele and mutual fund performance✰," Journal of Financial Intermediation, Elsevier, vol. 50(C).
- Jiliang Sheng & Yanyan Yang & Xiaoting Wang & Jun Yang, 2024. "How nonlinear benchmark in delegation contract can affect asset price and price informativeness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 78(4), pages 1117-1168, December.
- Wang, Yang & Xiuping, Sui & Zhang, Qi, 2021. "Can fintech improve the efficiency of commercial banks? —An analysis based on big data," Research in International Business and Finance, Elsevier, vol. 55(C).
- Yue Xu, 2021. "Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability," CREATES Research Papers 2022-03, Department of Economics and Business Economics, Aarhus University.
- Robert F. Stambaugh, 2019. "Skill and Profit in Active Management," NBER Working Papers 26027, National Bureau of Economic Research, Inc.