Academic Papers (336)

StepAuthorYearTitle*Publication
01 Active InvestorsTversky, Amos1994The Psychology of Decision MakingICFA Continuing Education, 7
01 Active InvestorsLewellen, W. G., R. C. Lease and G. G. Schlarbaum1978Investment performance and investor behavior.Journal of Financial and Quantitative Analysis 14(1), 29-5 8.
01 Active InvestorsZweig, Jason2001Is Your Brain Wired for Wealth, An owner's manual for the investor's brain: From hunting sloths to picking stocks.Money Magazine, September 27, 2002
02 Nobel LaureatesMartin Sewell2010History of the Efficient Market HypothesisUCL Department of Computer Science
02 Nobel LaureatesAlfred Cowles1957Liquidity Preference as Behavior Towards RiskReprinted from The Review of Economic Studies, No. 67, Feb. 1958
02 Nobel LaureatesHarry Markowitz, Nobel Laureate1951Portfolio Selection Nobel Prize Winning ResearchThe Journal of Finance: Volume VII, Number 1, March 1952
02 Nobel LaureatesSamuelson, Paul A., Nobel Laureate1973Challenge to JudgementThe Journal of Portfolio Management, 1974
02 Nobel LaureatesSamuelson, Paul A., Nobel Laureate1964Proof that Properly Anticipated Prices Fluctuate RandomlyIndustrial Management Review, 1965, Spring, p. 41
02 Nobel LaureatesSamuelson, Paul A., Nobel Laureate1972Proof that Properly Discounted Present Values of Assets Vibrate RandomlyThe Bell Journal of Economics and Management Science, Vol. 4, No. 2 (Autumn, 1973), pp. 369-374
02 Nobel LaureatesWan, Dr. Siaw-Peng1999Modern Portfolio Theory (Textbook Version of above)Business 442:Investments,Chapter 5-5
02 Nobel LaureatesFranco Modigliani and Merton H. Miller1957The Cost of Capital, Corporation Finance and the Theory of InvestmentThe American Economic Review, Vol. 48, No. 3 (Jun., 1958), pp. 261-297
02 Nobel LaureatesSharpe, William F. Nobel Laureate1990The Arithmetic of Active ManagementThe Financial Analysts' Journal Vol 47, No 1, Jan/Feb 1991. pp7-9
02 Nobel LaureatesSharpe, William F. Nobel Laureate1965Mutual fund performance.Journal of Business 39(1), 119-138.
02 Nobel LaureatesSharpe, William F. Nobel Laureate1967Mutual fund performance and the theory of capital asset pricing: Reply.Journal of Business 41(2), 235-236.
02 Nobel LaureatesDavis, Jim L.2000Explaining Stock Market Returns Dimensional Fund Advisor's Library
02 Nobel LaureatesElroy Dimson, London Business School, Massoud Mussavian, London Business School1999Three Centuries Of Asset PricingLondon Business School Accounting Subject Area, January, 2000
02 Nobel LaureatesElroy Dimson, London Business School, Massoud Mussavian, London Business School1997A Brief History of Market EfficiencyEuropean Financial Management, Volume 4, Number 1, March 1998, pp 91-193
02 Nobel LaureatesFama, Eugene1969Efficient capital markets: A review of the theory and empirical work. Journal of Finance, 25 (1970) (2), 383-417
02 Nobel LaureatesFama, Eugene1964The Behavior of Stock Market Prices - LANDMARK PAPERJournal of Business, Vol 38, Issue 1, Jan 1965, p. 34-105
02 Nobel LaureatesCourtault, Jean-Michel1999LOUIS BACHELIER ON THE CENTENARY OF THEORIE DE LA SPECULATION (english)Mathematical Finance, Vol.10, No.3 (July 2000), 341–353, Copyright Blackwell Publishers, Inc.
02 Nobel LaureatesTaqqu, Murad S., Boston University2000Bachelier and his Times: A Conversation with Bernard BruMathematical Finance - Bachelier Congress 2000, H. Geman, D. Madan, S.R. Pliska, T. Vorst (Eds.), Springer (July 9, 2001)) Copyright Springer-Verlag (also see Bachelier) (BFS#1,2000) (BFS#2, 2002)
02 Nobel LaureatesDr. Edward E. Yardeni and David A. Moss1989The Triumph of Adam SmithPrudential-Bache, Economics, July 17, 1990
02 Nobel LaureatesWelch, Ivo2000The Top Achievements, Challenges, and Failures of FinanceYale School of Management
03 Stock PickersBrad M. Barber and Terrance Odean2002All That Glitters3-Oct
03 Stock PickersFama, Eugene1964Random Walks in Stock Market PricesThe Financial Analysts Journal; Sep/Oct 1965: 55-59 (1)
03 Stock PickersOdean, T. & Barber, B. M.1999Trading Is Hazardous to Your Wealth: The Common Stock Performance of Individual InvestorsJournal of Finance 55 (2) April 2000
03 Stock PickersSharpe, William F.1990The Arithmetic of Active ManagementThe Financial Analysts' Journal Vol 47, No 1, Jan/Feb 1991. pp7-9
03 Stock PickersFama, Eugene F., Jensen, Michael C., Fisher, Lawrence and Roll, Richard W.1968The Adjustment of Stock Prices to New InformationInternational Economic Review, Vol. 10, February, 1969; STRATEGIC ISSUES IN FINANCE, Available at SSRN: http://ssrn.com/abstract=321524 or doi:10.2139/ssrn.321524
03 Stock PickersCowles, Alfred1932Can Stock Market Forecasters Forecast?Econometrica, 1, July 1933, pp. 309-324
03 Stock PickersCowles, Alfred1943Stock Market ForecastingEconometrica, 12, 1944
03 Stock PickersCowles, Alfred1959A Revision of Previous Conclusions Regarding Stock Price BehaviorEconometrica, 28(4), 1960
03 Stock PickersBarber, Lehavy2000Phophets and Losses: Reassessing the Returns to Analysts' Stock RecommendationsWorking Paper as of July 2001
03 Stock PickersBarber, Lehavy2000Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock ReturnsThe Journal of Finance: Volume LVI, Number 2, April 2001
03 Stock PickersKritzman, M1985How to detect skill in management performance.Journal of Portfolio Management 12(2), 16-20.
03 Stock PickersGrinblatt, Mark, Sheridan Titman and Russ Wermers,1994Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior.American Economic Review 85, 1088-1105.
03 Stock PickersJohnson, Melissa2000Overview: Small Cap Alpha MythIndex Fund Advisors, 2001
03 Stock PickersEnnis, Richard M. Sebastian, Michael D.2000The Small Cap Alpha Myth2001, Ennis Knupp & Associates, Inc.
03 Stock PickersHorst, Jenke, et al1997Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample23-Oct-98
03 Stock PickersGood, W. R1983Accountability for pension fund performance.Financial Analysts Journal 40(1), 39-45.
03 Stock PickersCarhart, Mark M.1996Mutual Fund Survivorship15-May-97
03 Stock PickersLiang, Bing1999Hedge Funds: The Living and the DeadJournal of Financial and Quantitative Analysis, Vol. 35, No 3, September 2000 (more)
03 Stock PickersQuigley, Garret, Sinquefield1999Performance of UK Equity Unit TrustsJournal of Asset Management, Vol 1,1
03 Stock PickersLevy, H1983Measuring risk and performance over alternative investment horizons.Financial Analysts Journal 40(2), 61-68.
03 Stock PickersGranatelli, A., and J. D. Martin1983Management quality and investment performance.Financial Analysts Journal 40(6), 72-74.
03 Stock PickersBrinson, G. P., J. J. Diermeier, and G. G. Schlarbaum1985A composite portfolio benchmark for pension plans.Financial Analysts Journal 42(2), 15-24.
03 Stock PickersDietz, Peter1967Pension fund performance.Financial Analysts Journal 24(5), 131-138.
03 Stock PickersSchneider, T. H.1968A worksheet technique for measuring performance.Financial Analysts Journal 25(3), 105-111.
03 Stock PickersGumperz, J., and E. Page1969Misconceptions of pension fund performance.Financial Analysts Journal 26(3), 30-34.
03 Stock PickersBogle, J. C1969Mutual fund performance evaluation.Financial Analysts Journal 26(6), 25-34.
03 Stock PickersLevy, H., and M. Sarnat1971Investment performance in an imperfect securites marke and the case for mutual funds.Financial Analysts Journal 28(2), 77.
03 Stock PickersSpigelman, J. H.1973What basis for superior performance?Financial Analysts Journal 30(3), 32-45.
03 Stock PickersBeebower, G. L., and G. L. Bergstonn1976A performance analysis of pension and profit-sharing portfolios: 1966-1975.Financial Analysts Journal 33(3), 31-42.
03 Stock PickersFerguson, R1979Performance measurement doesn't make sense.Financial Analysts Journal 36(3), 59-70.
03 Stock PickersGood, W. R1982Measuring performance.Financial Analysts Journal 39(3), 19-24.
03 Stock PickersOdean, T. & Barber, B. M.1999Too Many Cooks Spoil the Profits: Investment Club PerformanceFinancial Analysts' Journal January/February 2000
03 Stock PickersOdean, T. & Barber, B. M.1998The Courage of Misguided ConvictionsNov-99
03 Stock PickersGrinblatt, Mark and Sheridan Titman1986How to Evaluate a Portfolio Manager.Financial Markets and Portfolio Management 1(2), 9-20.
03 Stock PickersGrinblatt, Mark and Sheridan Titman1994Performance Evaluation.Handbook in Operations Research and Management Science, Vol. 9: Finance Jarrow, R., Maksimovic, V., and Ziemba, W. (Eds.)(Elsevier Science), 581-609.
03 Stock PickersTreynor, Jack and K. Mazuy1965Can mutual funds outguess the market.Harvard Business Review (45), 131-136.
03 Stock PickersTreynor, Jack1964How to rate management of investment funds.Harvard Business Review (43), 63-75.
03 Stock PickersGrinblatt, Mark and Sheridan Titman,1988How to Avoid Games Portfolio Managers Play.Institutional Investor 23, 14 (Nov), 35-36.
03 Stock PickersFisher, L., and R. Weil1970Coping with the risk of interest-rate fluctuations: Returns to bondholders from naive and optimal strategies.Journal of Business 44 (4), 408-431.
03 Stock PickersCohen, K., and J. Pogue1967Some comments concerning mutual fund versus random portfolio performance.Journal of Business 41(2), 180-190.
03 Stock PickersSharpe, William F.1967Mutual fund performance and the theory of capital asset pricing: Reply.Journal of Business 41(2), 235-236.
03 Stock PickersTreynor, J. L., and F. Black1972How to use security analysis to improve portfolio selection.Journal of Business 46(1), 66-86.
03 Stock PickersHorowitz, I1965The "Reward to Variability" ratio and investment performance.Journal of Business 39(4), 485-488.
03 Stock PickersSharpe, William F.1965Mutual fund performance.Journal of Business 39(1), 119-138.
03 Stock PickersCrenshaw, T. E1976Evaluation of investment performance.Journal of Business 50(4), 462-485.
03 Stock PickersMains, N1976Risk, the pricing of capital assets, and the evaluation of investment portfolios: Comment.Journal of Business 50(3), 371-384.
03 Stock PickersHenriksson, R. D., and R. C. Merton1980On market timing and investment performance. II. Statistical procedures for evaluationg forecasting skills.Journal of Business 54(4), 513-533.
03 Stock PickersKon, S. J1982The market-timing performance of mutual fund managers.Journal of Business 56(3), 323-347.
03 Stock PickersAdmati, Anat R., and Stephen A. Ross1984Measuring investment performance in a rational expectations equilibrium model.Journal of Business 58(11), 11-26.
03 Stock PickersGrinblatt, Mark and Sheridan Titman,1988Mutual fund performance: An analysis of quarterly portfolio holdings.Journal of Business 62(3), 393-416.
03 Stock PickersLee, C., and S. Rahman1989Market timing, selectivity, and mutual fund performance: An empirical investigation.Journal of Business 63(2), 261-278.
03 Stock PickersGrinblatt, Mark and Sheridan Titman1992Performance Measurement Without Benchmarks: An Examination Of Mutual Fund Returns.Journal of Business 66(1), 47-68.
03 Stock PickersBlake, Christopher R., Edwin J. Elton and Martin J. Gruber1992The Performance Of Bond Mutual Funds.Journal of Business 66(3), 371-403.
03 Stock PickersElton, Edwin J., Martin J. Gruber and Christopher R. Blake,1995The Persistence Of Risk-Adjusted Mutual Fund Performance.Journal of Business 69(2,Apr), 133-157.
03 Stock PickersWoodward, R. S.1982The peformance of UK closed-end funds: A comparison of the various ranking criteria.Journal of Business Finance and Accounting 10(3), 419-427.
03 Stock PickersOkunev, J1989An alternative measure of mutual fund performance.Journal of Business Finance and Accounting 17(2), 247-264.
03 Stock PickersAshton, D. J1989A problem in the detection of superior investment performance.Journal of Business Finance and Accounting 17(3), 337-350.
03 Stock PickersMatulich, S,1974Portfolio performance with lending or borrowing.Journal of Business Finance and Accounting 2(3), 341-348.
03 Stock PickersPeasnell, K. V., L. C. Skerratt and P. A. Taylor1978An arbitrage rationale for tests of mutual fund performance.Journal of Business Finance and Accounting 6(3), 373-400.
03 Stock PickersMorris, R. C., and, P. F. Pope1980The Jensen measure of portfolio performance in an arbitrage pricing theory context.Journal of Business Finance and Accounting 8(2), 203-220.
03 Stock PickersCalvett, A. L., and J. Lefoll1980Performance and systematic risk stability of Canadian mutual funds under inflation.Journal of Business Finance and Accounting 8(2), 279-290.
03 Stock PickersBelkaoui, A.1981Judgement related issues in performance evaluation.Journal of Business Finance and Accounting 9(4), 489-500.
03 Stock PickersAppleyard, A. R., N. Strong, and M. Walker1981Mutual fund performance in the context of models of equilibrium capital asset pricing.Journal of Business Finance and Accounting 9(3), 289-296.
03 Stock PickersBarnea, A., and D. E. Logue1975Stock trading and portfolio performance.Journal of Business Research (7), 150-157.
03 Stock PickersWest, R.1967Mutual fund performance and the theory of capital asset pricing: Some comments.Journal of Business" 41(2), 230-234.
03 Stock PickersFrancis, J., and F. Fabozzi1979Stability of mutual fund systematic risk statistics.Journal of BusinessResearch (8), 263-275.
03 Stock PickersAlexander, Gordon J., and Roger D. Stover1979Consistency of mutual fund performance during varying market conditionsJournal of Economics and Business (32), 219-226.
03 Stock PickersDybvig, P. H., and S. A. Ross1984The analytics of performance measurement using a security market line.Journal of Finance 40(2), 401-416.
03 Stock PickersDybvig, P. H., and S. A. Ross,1984Differential information and performance measurement using a security market line.Journal of Finance 40(2), 383-400.
03 Stock PickersGreen, R1985Benchmark portfolio inefficiency and deviations from the security market line.Journal of Finance 41(3), 295-312.
03 Stock PickersElton, E. J., M. J. Gruber, and S. Grossman1985Discrete expectational data and portfolio performance.Journal of Finance 41(3), 699-712.
03 Stock PickersCadsby, C. B1985Performance hypothesis testing with the Sharpe and Treynor measures.Journal of Finance 41(5), 1175-1176.
03 Stock PickersLehmann, B., and D. Modest1986Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons.Journal of Finance 42(2), 233-265.
03 Stock PickersCumby, R. E., and J. D. Glen1989Evaluating the performance of international mutual funds.Journal of Finance 45(2), 497-521.
03 Stock PickersGrinblatt, Mark and Sheridan Titman1991The persistence of mutual fund performance.Journal of Finance Vol 47, 1977-1984.
03 Stock PickersChopra, Navin, Charles M. C. Lee, Andrei Shleifer and Richard H. Thaler1992Yes, Discounts On Closed-End Funds Are A Sentiment Index.Journal of Finance 48(2), 801-808.
03 Stock PickersDaniel, Kent, Mark Grinblatt, Sheridan Titman and Russ Wermers1996Measuring mutual fund performance with characteristic-based benchmarks.Journal of Finance 1035-1058(52), .
03 Stock PickersDietz, Peter1967Components of a measurement model: Rate of return, risk and timing.Journal of Finance 23(2), 267-275.
03 Stock PickersBauman, W. S.1967Evaluation of prospective investment performance.Journal of Finance 23(2), 276-295.
03 Stock PickersRobinson, R. S1969Measuring the risk dimension of investment performance.Journal of Finance 25(2), 455-468.
03 Stock PickersGaumintz, J1969Appraising performance of investment portfolios.Journal of Finance 25(3), 555-560.
03 Stock PickersMills, H. D1969On the measurement of fund performance.Journal of Finance 25(5), 1125-1132.
03 Stock PickersSarnat, M.1971A note on the prediction of portfolio performance from ex post data.Journal of Finance 27(4), 903-906.
03 Stock PickersFama, E. F1971Components of investment performance.Journal of Finance 27(3), 551-567.
03 Stock PickersMcDonald, J1972French mutual fund performance: Evaluation of internationally-diversified portfolios.Journal of Finance 28(5), 1161-1180.
03 Stock PickersShashua, L., and Y. Goldschmidt1973An index for evaluating financial performance.Journal of Finance 29(3), 797-814.
03 Stock PickersFabozzi, F., and J. Francis,1978Mutual fund systematic risk for bull and bear markets: An empirical examination.Journal of Finance 34(5), 1243-1250.
03 Stock PickersRoll, R.1977Ambiguity when performance is measured by the securities market line.Journal of Finance 33(4), 1051-1069.
03 Stock PickersGuy, J.R1977The performance of the British investment trust industry.Journal of Finance 33(2), 443-455.
03 Stock PickersKon, Stanley J., and Frank C. Jen1977Estimation of time-varying systematic risk and performance for mutual fund portfolios: An application of switching regression.Journal of Finance 33(2), 457-475.
03 Stock PickersTehranian, H.1979Empirical studies in portfolio performance using higher degrees of stochastic dominance.Journal of Finance 35(1), 159-220.
03 Stock PickersPeterson, D., and M. L. Rice1979A note on ambiguity in portfolio performance measures.Journal of Finance 35(5), 1251-1256.
03 Stock PickersJobson, J. D., and B. M. Korkie1980Performance hypothesis testing with the Sharpe and Treynor measures.Journal of Finance 36(4), 889-908.
03 Stock PickersNagorniak, J. J1981Risk adjusted equity performance measurement.Journal of Finance 37(2), 555-561.
03 Stock PickersChua, J. H., and R. S. Woodward1982J.M. Keynes's investment performance: A note.Journal of Finance 38(1), 232-236.
03 Stock PickersJobson, J. D., and B. Korkie1983On the Jensen measure and marginal improvements in portfolio performance.Journal of Finance 39(1), 245-252.
03 Stock PickersFriend, I., and D. Vickers,1964Portfolio selection and investment performance.Journal of Finance 39(1), 391-415.
03 Stock PickersMalkiel, Burton G1994Returns From Investing In Equity Mutual Funds 1971 To 1991.Journal of Finance 50(2), 549-572.
03 Stock PickersBrown, Stephen J., William N. Goetzmann and Stephen A. Ross1994Survival.Journal of Finance 50(3), 853-873.
03 Stock PickersChevalier, Judith and Glenn Ellison1998Are Some Mutual Fund Managers Better than Others? Cross-Sectional Patterns in Behavior and PerformanceJournal of Finance 54(3) 875-899.
03 Stock PickersFalkenstein, Eric G,1995Preferences For Stock Characteristics As Revealed By Mutual Fund Portfolio Holdings.Journal of Finance 51(1,Mar), 111-135.
03 Stock PickersBrown, Keith C., W. V. Harlow and Laura T. Starks1995Of Tournaments And Temptations: An Analysis Of Managerial Incentives In The Mutual Fund Industry.Journal of Finance 51(1,Mar), 85-110.
03 Stock PickersFerson, Wayne E. and Rudi W. Schadt1995Measuring Fund Strategy And Performance In Changing Economic Conditions.Journal of Finance 51(2,Jun), 425-461.
03 Stock PickersGruber, Martin J1995Presidential Address: Another Puzzle: The Growth In Actively Managed Mutual Funds.Journal of Finance 51(3,Jul), 783-810.
03 Stock PickersSmith, K., and D. Tito.1968Risk-return measures of ex-post portfolio performance.Journal of Financial and Quantitative Analysis 4(4), 449-47 1.
03 Stock PickersYoung, W. E., and R. H. Trent1968Geometric mean approximations of individual security and portfolio performance.Journal of Financial and Quantitative Analysis 4(2), 179-200.
03 Stock PickersAng, James S., and Jess H. Chua1978Composite measures for the evaluation of investment performance.Journal of Financial and Quantitative Analysis 14(2), 361-384.
03 Stock PickersShick, R., and J. Trieschmann1977Some further evidence on the performance of property-liability insurance companies' stock portfolios.Journal of Financial and Quantitative Analysis 13(1), 157-166.
03 Stock PickersLee, C., and F. Jen1977Effects of measurement error on systematic risk and performance measurement.Journal of Financial and Quantitative Analysis 13(2), 299-312.
03 Stock PickersKim, T,1977An assessment of the performance of mutual fund management: 1969-1975.Journal of Financial and Quantitative Analysis 13(3), 385-406.
03 Stock PickersAng, James S.1977A note on the leverage effects on portfolio performance measures.Journal of Financial and Quantitative Analysis 13(3), 567-572.
03 Stock PickersMiller, R. E., and A. K. Gehr,1977Sample size bias and Sharpe's performance measure: A note.Journal of Financial and Quantitative Analysis 13(5), 943-946.
03 Stock PickersSaunders, A., C. Ward, and R. Woodward1979Stochastic dominance and the performance of U.K. unit trusts.Journal of Financial and Quantitative Analysis 15(2), 323-330.
03 Stock PickersMiller, T. W., and N. Gressis1979Nonstationarity and evaluation of mutual fund returns.Journal of Financial and Quantitative Analysis 15(3), 639-654.
03 Stock PickersFabozzi, F., J. Francis, and C. Lee,1979Generalized functional form for mutual fund returns.Journal of Financial and Quantitative Analysis 15(5), 1107-1120.
03 Stock PickersGrinblatt, Mark and Sheridan Titman1993A Study Of Monthly Mutual Fund Returns And Performance Evaluation Techniques.Journal of Financial and Quantitative Analysis 29(3), 419-444.
03 Stock PickersLevy, R. A1967Measurement of investment performance.Journal of Financial and Quantitative Analysis 3(1), 35-58.
03 Stock PickersCarlson, R1969Aggregate performance of mutual funds, 1948-1967.Journal of Financial and Quantitative Analysis 5(1), 1-32.
03 Stock PickersArditti, F1970Another look at mutual fund performance.Journal of Financial and Quantitative Analysis 6(3), 909-912.
03 Stock PickersRothstein, M.1971On geometric and arithmetic portfolio performance indices.Journal of Financial and Quantitative Analysis 7(4), 1983-1992.
03 Stock PickersMonroe, R., and, J. Trieschmann1971Portfolio performance of property-liability insurance companies.Journal of Financial and Quantitative Analysis 7(2), 1595-1611.
03 Stock PickersSwadener, P.1972Portfolio performance of property-liability insurance companies: CommentJournal of Financial and Quantitative Analysis 7(2), 1619-1623.
03 Stock PickersKlemkosky, R1972The bias in composite performance measures.Journal of Financial and Quantitative Analysis 8(3), 505-514.
03 Stock PickersJoy, M., and B. Porter,1973Stochastic dominance and mutual fund performance.Journal of Financial and Quantitative Analysis 9(1), 25-3 1.
03 Stock PickersSchlarbaum, G.1973The investment performance of the common stock portfolios of property-liability insurance companies.Journal of Financial and Quantitative Analysis 9(1), 89-106.
03 Stock PickersMcDonald, J1973Objectives and performance of mutual funds, 1960-1969.Journal of Financial and Quantitative Analysis 9(3), 311-333.
03 Stock PickersChordia, Tarun1995The Structure Of Mutual Fund Charges.Journal of Financial Economics 41(1,May), 3-39.
03 Stock PickersJobson, J. D., and B. Korkie1981Potential performance and tests of portfolio efficiency.Journal of Financial Economics 10(4), 433-466.
03 Stock PickersCopeland, T. E., and D. Mayers1981The Value Line enigma (1965-1978): A case study of performance measurement issues.Journal of Financial Economics 10(3), 289-322.
03 Stock PickersConnor, G., and R. A. Korajczyk1985Performance measurement with the arbitrage pricing theory: A new framework for analysis.Journal of Financial Economics 15(3), 373-394.
03 Stock PickersPontiff, Jeffrey1993Closed-End Fund Premia And Returns: Implications For Financial Market Equilibrium.Journal of Financial Economics 37(3), 341-370.
03 Stock PickersWarther, Vincent A.1994Aggregate Mutual Fund Flows And Security Returns.Journal of Financial Economics 39(2/3), 209-235.
03 Stock PickersCornell, Brad2007Luck, Skill and Investment PerformanceCurrent version not published
03 Stock PickersCornell, B1978Asymmetric information and portfolio performance measurement.Journal of Financial Economics 7(4), 381-390.
03 Stock PickersRoll, R.1977Measuring portfolio performance and the empirical content of asset pricing models: A reply.Journal of Financial Economics 7(4), 391-400.
03 Stock PickersMayers, D., and E. M. Rice1978Measureing portfolio performance and the empirical content of asset pricing models.Journal of Financial Economics 7(1), 3-28.
03 Stock PickersVerrecchia, R. E.1979The Meyers-Rice conjecture: A counterexample.Journal of Financial Economics 8(1), 87-100.
03 Stock PickersChang, E., and W. Lewellen1984An arbitrage pricing approach to evaluating mutual fund performance.Journal of Financial Research 8(1), 15-30.
03 Stock PickersChevalier, Judith and Glenn Ellison1996Risk Taking by Mutual Funds as a Response to IncentivesJournal of Political Economy 114() 389-432.
03 Stock PickersGrinblatt, Mark and Sheridan Titman1986How Clients Can Win the Gaming Game.Journal of Portfolio Management (Summer), 14-23.
03 Stock PickersSmidt, S.1977Investment horizons and performance measurement.Journal of Portfolio Management 4(2), 18-22.
03 Stock PickersLitzenberger, R., and H. B. Sosin1977The performance and potential of dual purpose funds.Journal of Portfolio Management 4(3), 56-68.
03 Stock PickersPohlman, R., J. Ang, and R. Hollinger1977Performance and timing: A test of hedge funds.Journal of Portfolio Management 4(3), 69-72.
03 Stock PickersFrench D. W., and G. V. Henderson,1984How well does performance evaluation perform?Journal of Portfolio Management 1 1(2), 15-18.
03 Stock PickersBrinson, G. P., and N. Fachler1984Measuring non-U.S. equity portfolio performance.Journal of Portfolio Management 1 1(3), 73-76.
03 Stock PickersSharpe, William F.1974Adjusting for risk in performance measurement.Journal of Portfolio Management 1(2), 29-34.
03 Stock PickersFerguson, R1985The trouble with performance measurement.Journal of Portfolio Management 12(3), 4-9.
03 Stock PickersMoses, E. A., J. M. Cheney, and E. T. Viet1986A new and more complete performance measure.Journal of Portfolio Management 13(4), 24-33.
03 Stock PickersHagigi, M., and B. Kluger1986Safety first: An alternative performance measure.Journal of Portfolio Management 13(4), 34-40.
03 Stock PickersZbesko, J1988Determinants of performance in the bull market.Journal of Portfolio Management 15(2), 38-44.
03 Stock PickersTsetsekos, G. P., and R. Defusco1989Portfolio performance, managerial ownership, and the size effect.Journal of Portfolio Management 16(3), 33-39.
03 Stock PickersBogle, J1991Selecting equity mutual funds.Journal of Portfolio Management 18(), 94-100.
03 Stock PickersJeffrey, Robert H. and Robert D. Arnott1992Is Your Alpha Big Enough To Cover Its Taxes?Journal of Portfolio Management 19(3), 15-26.
03 Stock PickersGarcia, C. B. and F. J. Gould,1992Survivorship Bias.Journal of Portfolio Management 19(3), 52-56.
03 Stock PickersArmstrong, D1975Were mutual funds worth the candle?.Journal of Portfolio Management 2(4), 46-51.
03 Stock PickersJeffrey, Robert H. and Robert D. Arnott1993Is Your Alpha Big Enough To Cover Its Taxes?: Reply.Journal of Portfolio Management 20(4), 96-97.
03 Stock PickersFung, William and David A. Hsieh,1996Survivorship bias and investment style in the returns of CTAs: The information content of performance track records.Journal of Portfolio Management 24(), 30-41.
03 Stock PickersFisher, Kenneth L. and Meir Statman,1996Investment Advice From Mutual Fund Companies.Journal of Portfolio Management 24(1,Fall), 9-25.
03 Stock PickersGarcia, C. B., F. J. Gould and Christopher K. Ma1994Survivorship Bias: Reply.Journal of Portfolio Management 21(2), 105-107.
03 Stock PickersBeckers, Stan1996Manager Skills And Investment Performance: How Strong Is The Link?Journal of Portfolio Management 23(4,Summer), 9-23.
03 Stock PickersFielitz, B. D., and M. T. Greene1979Shortcomings in portfolio evaluation via MPT.Journal of Portfolio Management 6(4), 13-19.
03 Stock PickersRoll, R.1979Performance evaluation and benchmark errors(I).Journal of Portfolio Management 6(4), 5-12.
03 Stock PickersRoll, R.1980Performance evaluation and benchmark errors (II).Journal of Portfolio Management 7(2), 17-22.
03 Stock PickersFerri, M. G., and H. D. Oberhelman1980How well do money market funds perform?Journal of Portfolio Management 7(3), 18-26.
03 Stock PickersShawky, H. A.1981An update on mutual funds: Better grades. .Journal of Portfolio Management 8(2), 29-34
03 Stock PickersBurns, W. L., and D. R. Epley1981The performance of portfolios of REITS + stocks.Journal of Portfolio Management 8(3), 37-42.
03 Stock PickersDunn, P. C., and R. D. Theisen1982How consistently do active managers win?Journal of Portfolio Management 9(4), 47-53.
03 Stock PickersKritzman, M1982Can bond managers perform consistently?.Journal of Portfolio Management 9(4), 54-56.
03 Stock PickersChristopherson, J. A., W. E. Ferson and A. L. Turner1998Performance Evaluations Using Conditional Alphas and BetasJournal of Portfolio Management, Fall 1999
03 Stock PickersStewart, Scott D.1997Is Consistency of Performance a Good Measure of Manager Skill?Journal of Portfolio Management, Spring 1998
03 Stock PickersLevy, H1971Portfolio performance and the investment horizon.Management Science 18(12), B645-B652.
03 Stock PickersGrinblatt, Mark and Sheridan Titman1988Adverse Risk Incentives and the Design of Performance-Based Contracts.Management Science 35, 807-822.
03 Stock PickersJensen, Michael, G.P. Szego and K. Shell (eds.), .1971Optimal utilization of market forecasts and the evaluation of investment performance.Mathematical Methods in Investment and Finance (Elsevier, Amsterdam)
03 Stock PickersIppolito, R. A.1988Efficiency with costly information: A study of mutual fund performance.Quarterly Journal of Economics 104(), 1-23.
03 Stock PickersChevalier, Judith and Glenn Ellison1998Career Concerns of Mutual Fund Managers.Quarterly Journal of Economics 105(6), 1167-1200.
03 Stock PickersBrown, Stephen J., William N. Goetzmann Roger Ibbotson and Stephen A. Ross1996Rejoinder: The J-Shape of Performance Persistence Given Survivorship Bias. Review of Economics and Statistics Vol. 79(2), 167-170.
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05 Manager PickersPrem C. Jain; A. B. Freeman School of Business, Tulane University; Joanna Shuang Wu; William E. Simon Graduate School of Business Administration, University of Rochester1999Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows (abstract)The Journal of Finance; Volume 55: Issue 2; April, 2000; p. 937 - 958
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06 Style DriftersKeith C. Brown, Department of Finance, University of Texas; W. V. Harlow, Fidelity Investments2001Staying the Course: The Impact of Investment Style Consistency on Mutual Fund PerformanceThis Draft: March 8, 2002
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07 Silent PartnersThelander2000Netting Out Capital Gains and Losses on Schedule DThe MotleyFool, 2000
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08 Riskese™Able, Andrew B.1990The Equity Premium PuzzleBusiness Review, Federal Reserve Bank of Philadelphia, Sept/Oct 1991, pp. 1-14
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08 Riskese™Kocherlakota, Narayana R.1995The Equity Premium: It's Still a PuzzleJournal of Economics Literature, 32 (March 1996), pp.42-71
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08 Riskese™Robert D. Arnott and Peter L. Bernstein2001What Risk Premium Is Normal?First Quadrant's Reflections Investment Management Reflections
08 Riskese™Chen, Nai-fu., Thomas E. Copeland, and David Mayers1986A comparison of single and multifactor portfolio performance methodologies.Journal of Financial and Quantitative Analysis 22(4), 401-417.
08 Riskese™Mehra, Rajneesh, and Edward C. Prescott1984The Equity Risk Premium: A PuzzleJournal of Monetary Economics, 15 (March , 1985) pp. 145-161
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08 Riskese™Siegel, Jeremy J.1998Shrinking Equity PremiumJournal of Portfolio Management, Fall 1999 pp. 10-17
08 Riskese™Smith, Adam1775Employment of CapitalsThe Wealth of Nations, 1776
08 Riskese™Fama, Eugene F., and French, Kenneth R.1991The Cross-Section of Expected Stock ReturnsJournal of Finance, Vol. XLVII, No 2, June, 1992
08 Riskese™Eugene F. Fama and Kenneth R. French*2013A Five-Factor Asset Pricing ModelFama, Eugene F. and French, Kenneth R., A Five-Factor Asset Pricing Model (September 2014). Fama-Miller Working Paper, Available at SSRN: https://ssrn.com/abstract=2287202
08 Riskese™Fama, Eugene F., and French, Kenneth R.2000The Equity PremiumCRSP, 2001
08 Riskese™Jim Davis, Fama, Eugene F., and French, Kenneth R.1998Fama French Three Factor Model in U.S.,unpublished research paper (February 1999)
08 Riskese™James L. Davis, Eugene F. Fama, and Kenneth R. French1998Characteristics, Covariances, and Average Returns: 1929-1997unpublished research paper (February 1999)
08 Riskese™Gaunt, Clive2003Size and Book to Market Effects and the Fama French Three Factor Asset Pricing Model: Evidence from the Australian StockmarketAccounting and Finance, Vol. 44, pp. 27-44, March 2004
08 Riskese™Conner, Gregory and Sehgal, Sanjay2000Fama French Three Factor Model in IndiaMay, 2001, London School of Economics and Univ. of Dehli
08 Riskese™Eugene Fama, Jr.1997Asset Management: Engineering Portfolios for Better ReturnsPCT Publishing, 1998
08 Riskese™Yu Zhifeng Zeng--Fama French Three Factor Model in ChinaSchool of Management Fudan University Shidian (abstract)
08 Riskese™Quigley, Garret, Sinquefield1999Fama French Three Factor Model in England, Performance of UK Equity Unit TrustsJournal of Asset Management, Vol 1,1
08 Riskese™Roger J. Bos, CFA, Senior Index Analyst Standard & Poor’s, Michele Ruotolo Domestic Index Manager Standard & Poor's1999General Criteria for S&P U.S. Index Membership© 2000 The McGraw-Hill Companies
08 Riskese™Andrew W. Lo2001The Statistics of Sharpe RatiosFinancial Analysts Journal, Vol. 58, No. 4, July/August 2002. Available at SSRN: http://ssrn.com/abstract=377260
08 Riskese™Fama, Eugene F., and French, Kenneth R.1996Industry Costs of EquityEconomics, 1997
08 Riskese™Chen, S. N. and C. F. Lee1980The sampling relationship between Sharpe's performance measure and its risk proxy: Sample size, investment horizon and market conditions.Management Science 27(6), 607-618.
08 Riskese™Fama, Eugene F. and French, Kenneth R.2004The Anatomy of Value and Growth Stock ReturnsCRSP Working Paper
08 Riskese™Fama, Eugene F. and French, Kenneth R.2004The Value Premium and the CAPMWorking Paper
08 Riskese™Eugene Fama, Jr.2005Multifactor InvestingDimensional Fund Advisors, July, 2006
09 HistoryRoger G. Ibbotson, Yale University, Peng Chen Ibbotson Associates, Inc.2000The Supply of Stock Market ReturnsYale International Center for Finance [more]
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09 HistoryIbbotson, Roger G., and Rex Sinquefield1975Stocks, Bonds and Bills, and Inflation: Year-by-Year Historical Returns (1926-74)Journal of Business, 49 (Jan 1976), pp. 313-338
09 HistoryG. William Schwert1989Indexes of United States Stock Prices from 1802 to 1987Journal of Business 63 (1990) 399-426
09 HistoryElroy Dimson, Paul Marsh and Mike Staunton1999Risk and Return in the 20th and 21st CenturiesBusiness Strategy Review, 2000, Volume 11 Issue 2, pp 1-18
09 HistoryElroy Dimson, London Business School, Stefan Nagel, London Business School, Garrett Quigley2000Value versus Growth in the UK Stock Market, 1955 to 2000Work in progress
09 HistoryChen, S. N. and C.F. Lee1985The effects of the sample size, the investment horizon and market conditions on the validity of composite performance measures: A generalization.Management Science 32(11), 1410-1421.
10 Risk Capacity™Economics New School--The Theory of Risk AversionThe History of Economic Thought
10 Risk Capacity™Markowitz, Harry1951The Ultility of WealthThe Rand Corporation
10 Risk Capacity™Kimberly Lankford2001Step Right UpBloomberg Wealth Manger, 2002
10 Risk Capacity™Baker, H. and J. Haslem1973Toward the Development of Client-Specified Valuation Models.Journal of Finance, September 1974: 1,255-1,263
10 Risk Capacity™Cohen, R. A., W. G. Lewellen, R. C. Lease and G. G. Schlarbaum1974Individual Investor Risk Aversion and Investment Portfolio Composition.Journal of Finance. 30 (1975): 605 - 620
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10 Risk Capacity™Fan, Jessie X. and Xiao, Jing Jian2004A Cross-Cultural Study in Risk Tolerance: Comparing Chinese and AmericansWorking Paper Series Available at SSRN: http://ssrn.com/abstract=939438
10 Risk Capacity™Sunden, A. E. and B. J. Surette1997Gender Differences in the Allocation of Assets in Retirement Savings Plans.American Economic Review. 88 (1998): 207-211.
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10 Risk Capacity™Cordell, D. M2001Risk Tolerance in Two Dimensions.Journal of Financial Planning. May 2002, 30-35
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10 Risk Capacity™Victor J Callan PhD FAIM FAICD2001Some Guidelines For Financial Planners In Measuring And AdvisingJournal of Personal Finance (2002)
--Clients About Their Levels Of Risk Tolerance
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11 Risk ExposureBloomberg Wealth Manager1999Market Volatility and Its Impact on DiversificationBloomberg Wealth Manager, July/August 2000
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401k PlansHamilton, Brooks, and Burns, Scott2000Reinventing Retirement Income in AmericaNCPA Policy Report No. 248, December 2001, ISBN #1-56808-112-X
401k PlansWaring, Barton2000It’s 11 P.M.—do you know where your employees’ assets are?Investment Insights, Volume 4, Number 2, October 2001
401k PlansSharpe, William F.1996Financial Planning in FantasylandProfessor Finance, Stanford University, Expanded version of speech.
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