| Step |
Author |
Year |
Title* |
Publication |
| 01 Active Investors |
Tversky,
Amos |
1995 |
The Psychology
of Decision Making |
ICFA Continuing
Education, 7 |
| 03
Stock Pickers |
Odean, T. & Barber, B. M. |
1999 |
The Courage of Misguided Convictions |
November 1999 |
| 01 Active Investors |
Lewellen,
W. G., R. C. Lease and G. G. Schlarbaum |
1979 |
Investment
performance and investor behavior. |
Journal
of Financial and Quantitative Analysis 14(1), 29-5 8. |
| 01
Active Investors |
Zweig, Jason |
2002 |
Is
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 Laureates |
Martin Sewell |
2011 |
History of the Efficient Market Hypothesis |
UCL Department of Computer Science |
| 02
Nobel Laureates |
Alfred
Cowles |
1958 |
Liquidity
Preference as Behavior Towards Risk |
Reprinted
from The Review of Economic Studies, No. 67, Feb. 1958 |
| 02
Nobel Laureates |
Harry Markowitz,
Nobel Laureate |
1952 |
Portfolio
Selection Nobel Prize Winning Research |
The Journal
of Finance: Volume VII, Number 1, March 1952 |
| 02
Nobel Laureates |
Samuelson, Paul A., Nobel Laureate |
1974 |
Challenge to Judgement |
The Journal of Portfolio Management, 1974 |
| 02
Nobel Laureates |
Samuelson, Paul A., Nobel Laureate |
1965 |
Proof that Properly Anticipated Prices Fluctuate Randomly |
Industrial Management Review, 1965, Spring, p. 41 |
| 02
Nobel Laureates |
Samuelson, Paul A., Nobel Laureate |
1973 |
Proof that Properly Discounted Present Values of Assets Vibrate Randomly |
The Bell Journal of Economics and Management Science, Vol. 4, No. 2 (Autumn, 1973), pp. 369-374 |
| 02
Nobel Laureates |
Wan, Dr.
Siaw-Peng |
2000 |
Modern
Portfolio Theory (Textbook Version of above) |
Business
442:Investments,Chapter 5-5 |
| 02
Nobel Laureates |
Franco Modigliani and Merton H. Miller
|
1958 |
The Cost of Capital, Corporation Finance and the Theory of Investment
|
The American Economic Review, Vol. 48, No. 3 (Jun., 1958), pp. 261-297 |
| 02
Nobel Laureates |
Sharpe,
William F. Nobel Laureate |
1991 |
The
Arithmetic of Active Management |
The Financial
Analysts' Journal Vol 47, No 1, Jan/Feb 1991. pp7-9 |
| 02
Nobel Laureates |
Sharpe,
William F. Nobel Laureate |
1966 |
Mutual
fund performance. |
Journal
of Business 39(1), 119-138. |
| 02
Nobel Laureates |
Sharpe,
William F. Nobel
Laureate |
1968 |
Mutual
fund performance and the theory of capital asset pricing: Reply. |
Journal
of Business 41(2), 235-236. |
| 02
Nobel Laureates |
Davis, Jim L. |
2001 |
Explaining
Stock Market Returns |
Dimensional Fund Advisor's
Library |
| 02
Nobel Laureates |
Elroy
Dimson, London Business School, Massoud Mussavian, London Business School |
2000 |
Three
Centuries Of Asset Pricing |
London
Business School Accounting Subject Area, January, 2000 |
| 02
Nobel Laureates |
Elroy
Dimson, London Business School, Massoud Mussavian, London Business School |
1998 |
A
Brief History of Market Efficiency |
European Financial
Management, Volume 4, Number 1, March 1998, pp 91-193 |
| 02
Nobel Laureates |
Fama,
Eugene |
1970 |
Efficient
capital markets: A review of the theory and empirical work. |
Journal
of Finance, 25 (1970) (2), 383-417 (also see review
of Part II) |
| 02
Nobel Laureates |
Fama,
Eugene |
1965 |
The
Behavior of Stock Market Prices - LANDMARK PAPER |
Journal of Business,
Vol 38, Issue 1, Jan 1965, p. 34-105 |
| 02
Nobel Laureates |
Courtault,
Jean-Michel |
2000 |
LOUIS
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 Laureates |
Taqqu,
Murad S., Boston University |
2001 |
Bachelier
and his Times: A Conversation with Bernard Bru |
Mathematical
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 Laureates |
Dr. Edward
E. Yardeni and David A. Moss |
1990 |
The
Triumph of Adam Smith |
Prudential-Bache,
Economics, July 17, 1990 |
| 02
Nobel Laureates |
Welch,
Ivo |
2001 |
The
Top Achievements, Challenges, and Failures of Finance |
Yale School
of Management
Updated June 2001 |
| 03
Stock Pickers |
Brad M.
Barber and Terrance Odean |
2003 |
All
That Glitters |
October
2003 |
| 03
Stock Pickers |
Fama,
Eugene |
1965 |
Random
Walks in Stock Market Prices |
The Financial
Analysts Journal; Sep/Oct 1965: 55-59 (1) |
| 03
Stock Pickers |
Odean
& Barber |
2000 |
Trading
Is Hazardous to Your Wealth: The Common Stock Performance of Individual
Investors |
Journal
of Finance 55 (2) April 2000 |
| 03
Stock Pickers |
Sharpe,
William F. |
1991 |
The
Arithmetic of Active Management |
The Financial
Analysts' Journal Vol 47, No 1, Jan/Feb 1991. pp7-9 |
| 03
Stock Pickers |
Fama, Eugene F., Jensen, Michael C., Fisher, Lawrence and Roll, Richard W. |
1969 |
The Adjustment of Stock Prices to New Information |
International 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 Pickers |
Cowles,
Alfred |
1933 |
Can Stock
Market Forecasters Forecast? |
Econometrica,
1, July 1933, pp. 309-324 |
| 03
Stock Pickers |
Cowles,
Alfred |
1944 |
Stock
Market Forecasting |
Econometrica,
12, 1944 |
| 03
Stock Pickers |
Cowles,
Alfred |
1960 |
A
Revision of Previous Conclusions Regarding Stock Price Behavior |
Econometrica,
28(4), 1960 |
| 03
Stock Pickers |
Barber,
Lehavy |
2001 |
Phophets
and Losses: Reassessing the Returns to Analysts' Stock Recommendations |
Working
Paper as of July 2001 |
| 03
Stock Pickers |
Barber,
Lehavy |
2001 |
Can
Investors Profit from the Prophets? Security Analyst Recommendations and
Stock Returns |
The Journal
of Finance: Volume LVI, Number 2, April 2001 |
| 03
Stock Pickers |
Kritzman,
M |
1986 |
How to
detect skill in management performance. |
Journal
of Portfolio Management 12(2), 16-20. |
| 03
Stock Pickers |
Grinblatt,
Mark, Sheridan Titman and Russ Wermers, |
1995 |
Momentum
investment strategies, portfolio performance, and herding: A study of mutual
fund behavior. |
American
Economic Review 85, 1088-1105. |
| 03
Stock Pickers |
Johnson,
Melissa
|
2001 |
Overview:
Small Cap Alpha Myth
|
Index Fund
Advisors, 2001 |
| 03
Stock Pickers |
Ennis,
Richard M. Sebastian, Michael D. |
2001 |
The
Small Cap Alpha Myth |
2001, Ennis
Knupp & Associates, Inc. |
| 03
Stock Pickers |
Horst,
Jenke, et al |
1998 |
Eliminating
Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample |
October
23, 1998 |
| 03
Stock Pickers |
Good, W.
R |
1984 |
Accountability
for pension fund performance. |
Financial
Analysts Journal 40(1), 39-45. |
| 03
Stock Pickers |
Carhart,
Mark M. |
1997 |
Mutual
Fund Survivorship |
May 15,
1997 |
| 03
Stock Pickers |
Liang,
Bing |
2000 |
Hedge
Funds: The Living and the Dead |
Journal
of Financial and Quantitative Analysis, Vol. 35, No 3, September 2000 (more) |
| 03
Stock Pickers |
Quigley,
Garret, Sinquefield |
2000 |
Performance
of UK Equity Unit Trusts |
Journal
of Asset Management, Vol 1,1 |
| 03
Stock Pickers |
Levy, H |
1984 |
Measuring
risk and performance over alternative investment horizons. |
Financial
Analysts Journal 40(2), 61-68. |
| 03
Stock Pickers |
Granatelli,
A., and J. D. Martin |
1984 |
Management
quality and investment performance. |
Financial
Analysts Journal 40(6), 72-74. |
| 03
Stock Pickers |
Brinson,
G. P., J. J. Diermeier, and G. G. Schlarbaum |
1986 |
A composite
portfolio benchmark for pension plans. |
Financial
Analysts Journal 42(2), 15-24. |
| 03
Stock Pickers |
Dietz,
Peter |
1968 |
Pension
fund performance. |
Financial
Analysts Journal 24(5), 131-138. |
| 03
Stock Pickers |
Schneider,
T. H. |
1969 |
A worksheet
technique for measuring performance. |
Financial
Analysts Journal 25(3), 105-111. |
| 03
Stock Pickers |
Gumperz,
J., and E. Page |
1970 |
Misconceptions
of pension fund performance. |
Financial
Analysts Journal 26(3), 30-34. |
| 03
Stock Pickers |
Bogle,
J. C |
1970 |
Mutual
fund performance evaluation. |
Financial
Analysts Journal 26(6), 25-34. |
| 03
Stock Pickers |
Levy, H.,
and M. Sarnat |
1972 |
Investment
performance in an imperfect securites marke and the case for mutual funds. |
Financial
Analysts Journal 28(2), 77. |
| 03
Stock Pickers |
Spigelman,
J. H. |
1974 |
What basis
for superior performance? |
Financial
Analysts Journal 30(3), 32-45. |
| 03
Stock Pickers |
Beebower,
G. L., and G. L. Bergstonn |
1977 |
A performance
analysis of pension and profit-sharing portfolios: 1966-1975. |
Financial
Analysts Journal 33(3), 31-42. |
| 03
Stock Pickers |
Ferguson,
R |
1980 |
Performance
measurement doesn't make sense. |
Financial
Analysts Journal 36(3), 59-70. |
| 03
Stock Pickers |
Good, W.
R |
1983 |
Measuring
performance. |
Financial
Analysts Journal 39(3), 19-24. |
| 03
Stock Pickers |
Odean,
T. & Barber, B. M. |
2000 |
Too Many
Cooks Spoil the Profits: Investment Club Performance |
Financial
Analysts’ Journal January/February 2000 |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman |
1987 |
How to
Evaluate a Portfolio Manager. |
Financial
Markets and Portfolio Management 1(2), 9-20. |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman |
1995 |
Performance
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 Pickers |
Treynor,
Jack and K. Mazuy |
1966 |
Can mutual
funds outguess the market. |
Harvard
Business Review (45), 131-136. |
| 03
Stock Pickers |
Treynor,
Jack |
1965 |
How to
rate management of investment funds. |
Harvard
Business Review (43), 63-75. |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman, |
1989 |
How to
Avoid Games Portfolio Managers Play. |
Institutional
Investor 23, 14 (Nov), 35-36. |
| 03
Stock Pickers |
Fisher,
L., and R. Weil |
1971 |
Coping
with the risk of interest-rate fluctuations: Returns to bondholders from
naive and optimal strategies. |
Journal
of Business 44 (4), 408-431. |
| 03
Stock Pickers |
Cohen,
K., and J. Pogue |
1968 |
Some comments
concerning mutual fund versus random portfolio performance. |
Journal
of Business 41(2), 180-190. |
| 03
Stock Pickers |
Sharpe,
William F. |
1968 |
Mutual
fund performance and the theory of capital asset pricing: Reply. |
Journal
of Business 41(2), 235-236. |
| 03
Stock Pickers |
Treynor,
J. L., and F. Black |
1973 |
How to
use security analysis to improve portfolio selection. |
Journal
of Business 46(1), 66-86. |
| 03
Stock Pickers |
Horowitz,
I |
1966 |
The "Reward
to Variability" ratio and investment performance. |
Journal
of Business 39(4), 485-488. |
| 03
Stock Pickers |
Sharpe,
William F. |
1966 |
Mutual
fund performance. |
Journal
of Business 39(1), 119-138. |
| 03
Stock Pickers |
Crenshaw,
T. E |
1977 |
Evaluation
of investment performance. |
Journal
of Business 50(4), 462-485. |
| 03
Stock Pickers |
Mains,
N |
1977 |
Risk, the
pricing of capital assets, and the evaluation of investment portfolios:
Comment. |
Journal
of Business 50(3), 371-384. |
| 03
Stock Pickers |
Henriksson,
R. D., and R. C. Merton |
1981 |
On market
timing and investment performance. II. Statistical procedures for evaluationg
forecasting skills. |
Journal
of Business 54(4), 513-533. |
| 03
Stock Pickers |
Kon, S.
J |
1983 |
The market-timing
performance of mutual fund managers. |
Journal
of Business 56(3), 323-347. |
| 03
Stock Pickers |
Admati,
Anat R., and Stephen A. Ross |
1985 |
Measuring
investment performance in a rational expectations equilibrium model. |
Journal
of Business 58(11), 11-26. |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman, |
1989 |
Mutual
fund performance: An analysis of quarterly portfolio holdings. |
Journal
of Business 62(3), 393-416. |
| 03
Stock Pickers |
Lee, C.,
and S. Rahman |
1990 |
Market
timing, selectivity, and mutual fund performance: An empirical investigation. |
Journal
of Business 63(2), 261-278. |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman |
1993 |
Performance
Measurement Without Benchmarks: An Examination Of Mutual Fund Returns. |
Journal
of Business 66(1), 47-68. |
| 03
Stock Pickers |
Blake,
Christopher R., Edwin J. Elton and Martin J. Gruber |
1993 |
The Performance
Of Bond Mutual Funds. |
Journal
of Business 66(3), 371-403. |
| 03
Stock Pickers |
Elton,
Edwin J., Martin J. Gruber and Christopher R. Blake, |
1996 |
The Persistence
Of Risk-Adjusted Mutual Fund Performance. |
Journal
of Business 69(2,Apr), 133-157. |
| 03
Stock Pickers |
Woodward,
R. S. |
1983 |
The 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 Pickers |
Okunev,
J |
1990 |
An alternative
measure of mutual fund performance. |
Journal
of Business Finance and Accounting 17(2), 247-264. |
| 03
Stock Pickers |
Ashton,
D. J |
1990 |
A problem
in the detection of superior investment performance. |
Journal
of Business Finance and Accounting 17(3), 337-350. |
| 03
Stock Pickers |
Matulich,
S, |
1975 |
Portfolio
performance with lending or borrowing. |
Journal
of Business Finance and Accounting 2(3), 341-348. |
| 03
Stock Pickers |
Peasnell,
K. V., L. C. Skerratt and P. A. Taylor |
1979 |
An arbitrage
rationale for tests of mutual fund performance. |
Journal
of Business Finance and Accounting 6(3), 373-400. |
| 03
Stock Pickers |
Morris,
R. C., and, P. F. Pope |
1981 |
The Jensen
measure of portfolio performance in an arbitrage pricing theory context. |
Journal
of Business Finance and Accounting 8(2), 203-220. |
| 03
Stock Pickers |
Calvett,
A. L., and J. Lefoll |
1981 |
Performance
and systematic risk stability of Canadian mutual funds under inflation. |
Journal
of Business Finance and Accounting 8(2), 279-290. |
| 03
Stock Pickers |
Belkaoui,
A. |
1982 |
Judgement
related issues in performance evaluation. |
Journal
of Business Finance and Accounting 9(4), 489-500. |
| 03
Stock Pickers |
Appleyard,
A. R., N. Strong, and M. Walker |
1982 |
Mutual
fund performance in the context of models of equilibrium capital asset pricing. |
Journal
of Business Finance and Accounting 9(3), 289-296. |
| 03
Stock Pickers |
Barnea,
A., and D. E. Logue |
1976 |
Stock trading
and portfolio performance. |
Journal
of Business Research (7), 150-157. |
| 03
Stock Pickers |
West, R. |
1968 |
Mutual
fund performance and the theory of capital asset pricing: Some comments. |
Journal
of Business" 41(2), 230-234. |
| 03
Stock Pickers |
Francis,
J., and F. Fabozzi |
1980 |
Stability
of mutual fund systematic risk statistics. |
Journal
of BusinessResearch (8), 263-275. |
| 03
Stock Pickers |
Alexander,
Gordon J., and Roger D. Stover |
1980 |
Consistency
of mutual fund performance during varying market conditions |
Journal
of Economics and Business (32), 219-226. |
| 03
Stock Pickers |
Dybvig,
P. H., and S. A. Ross |
1985 |
The analytics
of performance measurement using a security market line. |
Journal
of Finance 40(2), 401-416. |
| 03
Stock Pickers |
Dybvig,
P. H., and S. A. Ross, |
1985 |
Differential
information and performance measurement using a security market line. |
Journal
of Finance 40(2), 383-400. |
| 03
Stock Pickers |
Green,
R |
1986 |
Benchmark
portfolio inefficiency and deviations from the security market line. |
Journal
of Finance 41(3), 295-312. |
| 03
Stock Pickers |
Elton,
E. J., M. J. Gruber, and S. Grossman |
1986 |
Discrete
expectational data and portfolio performance. |
Journal
of Finance 41(3), 699-712. |
| 03
Stock Pickers |
Cadsby,
C. B |
1986 |
Performance
hypothesis testing with the Sharpe and Treynor measures. |
Journal
of Finance 41(5), 1175-1176. |
| 03
Stock Pickers |
Lehmann,
B., and D. Modest |
1987 |
Mutual
fund performance evaluation: A comparison of benchmarks and benchmark comparisons. |
Journal
of Finance 42(2), 233-265. |
| 03
Stock Pickers |
Cumby,
R. E., and J. D. Glen |
1990 |
Evaluating
the performance of international mutual funds. |
Journal
of Finance 45(2), 497-521. |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman |
1992 |
The persistence
of mutual fund performance. |
Journal
of Finance Vol 47, 1977-1984. |
| 03
Stock Pickers |
Chopra,
Navin, Charles M. C. Lee, Andrei Shleifer and Richard H. Thaler |
1993 |
Yes, Discounts
On Closed-End Funds Are A Sentiment Index. |
Journal
of Finance 48(2), 801-808. |
| 03
Stock Pickers |
Daniel,
Kent, Mark Grinblatt, Sheridan Titman and Russ Wermers |
1997 |
Measuring
mutual fund performance with characteristic-based benchmarks. |
Journal
of Finance 1035-1058(52), . |
| 03
Stock Pickers |
Dietz,
Peter |
1968 |
Components
of a measurement model: Rate of return, risk and timing. |
Journal
of Finance 23(2), 267-275. |
| 03
Stock Pickers |
Bauman,
W. S. |
1968 |
Evaluation
of prospective investment performance. |
Journal
of Finance 23(2), 276-295. |
| 03
Stock Pickers |
Robinson,
R. S |
1970 |
Measuring
the risk dimension of investment performance. |
Journal
of Finance 25(2), 455-468. |
| 03
Stock Pickers |
Gaumintz,
J |
1970 |
Appraising
performance of investment portfolios. |
Journal
of Finance 25(3), 555-560. |
| 03
Stock Pickers |
Mills,
H. D |
1970 |
On the
measurement of fund performance. |
Journal
of Finance 25(5), 1125-1132. |
| 03
Stock Pickers |
Sarnat,
M. |
1972 |
A note
on the prediction of portfolio performance from ex post data. |
Journal
of Finance 27(4), 903-906. |
| 03
Stock Pickers |
Fama, E.
F |
1972 |
Components
of investment performance. |
Journal
of Finance 27(3), 551-567. |
| 03
Stock Pickers |
McDonald,
J |
1973 |
French
mutual fund performance: Evaluation of internationally-diversified portfolios. |
Journal
of Finance 28(5), 1161-1180. |
| 03
Stock Pickers |
Shashua,
L., and Y. Goldschmidt |
1974 |
An index
for evaluating financial performance. |
Journal
of Finance 29(3), 797-814. |
| 03
Stock Pickers |
Fabozzi,
F., and J. Francis, |
1979 |
Mutual
fund systematic risk for bull and bear markets: An empirical examination. |
Journal
of Finance 34(5), 1243-1250. |
| 03
Stock Pickers |
Roll, R. |
1978 |
Ambiguity
when performance is measured by the securities market line. |
Journal
of Finance 33(4), 1051-1069. |
| 03
Stock Pickers |
Guy, J.R |
1978 |
The performance
of the British investment trust industry. |
Journal
of Finance 33(2), 443-455. |
| 03
Stock Pickers |
Kon, Stanley
J., and Frank C. Jen |
1978 |
Estimation
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 Pickers |
Tehranian,
H. |
1980 |
Empirical
studies in portfolio performance using higher degrees of stochastic dominance. |
Journal
of Finance 35(1), 159-220. |
| 03
Stock Pickers |
Peterson,
D., and M. L. Rice |
1980 |
A note
on ambiguity in portfolio performance measures. |
Journal
of Finance 35(5), 1251-1256. |
| 03
Stock Pickers |
Jobson,
J. D., and B. M. Korkie |
1981 |
Performance
hypothesis testing with the Sharpe and Treynor measures. |
Journal
of Finance 36(4), 889-908. |
| 03
Stock Pickers |
Nagorniak,
J. J |
1982 |
Risk adjusted
equity performance measurement. |
Journal
of Finance 37(2), 555-561. |
| 03
Stock Pickers |
Chua, J.
H., and R. S. Woodward |
1983 |
J.M. Keynes's
investment performance: A note. |
Journal
of Finance 38(1), 232-236. |
| 03
Stock Pickers |
Jobson,
J. D., and B. Korkie |
1984 |
On the
Jensen measure and marginal improvements in portfolio performance. |
Journal
of Finance 39(1), 245-252. |
| 03
Stock Pickers |
Friend,
I., and D. Vickers, |
1965 |
Portfolio
selection and investment performance. |
Journal
of Finance 39(1), 391-415. |
| 03
Stock Pickers |
Malkiel,
Burton G |
1995 |
Returns
From Investing In Equity Mutual Funds 1971 To 1991. |
Journal
of Finance 50(2), 549-572. |
| 03
Stock Pickers |
Brown,
Stephen J., William N. Goetzmann
and Stephen A. Ross |
1995 |
Survival. |
Journal
of Finance 50(3), 853-873. |
| 03
Stock Pickers |
Chevalier,
Judith and Glenn Ellison |
1999 |
Are Some
Mutual Fund Managers Better than Others? Cross-Sectional Patterns in Behavior
and Performance |
Journal
of Finance 54(3) 875-899. |
| 03
Stock Pickers |
Falkenstein,
Eric G, |
1996 |
Preferences
For Stock Characteristics As Revealed By Mutual Fund Portfolio Holdings. |
Journal
of Finance 51(1,Mar), 111-135. |
| 03
Stock Pickers |
Brown,
Keith C., W. V. Harlow and Laura T. Starks |
1996 |
Of Tournaments
And Temptations: An Analysis Of Managerial Incentives In The Mutual Fund
Industry. |
Journal
of Finance 51(1,Mar), 85-110. |
| 03
Stock Pickers |
Ferson,
Wayne E. and Rudi W. Schadt |
1996 |
Measuring
Fund Strategy And Performance In Changing Economic Conditions. |
Journal
of Finance 51(2,Jun), 425-461. |
| 03
Stock Pickers |
Gruber,
Martin J |
1996 |
Presidential
Address: Another Puzzle: The Growth In Actively Managed Mutual Funds. |
Journal
of Finance 51(3,Jul), 783-810. |
| 03
Stock Pickers |
Smith,
K., and D. Tito. |
1969 |
Risk-return
measures of ex-post portfolio performance. |
Journal
of Financial and Quantitative Analysis 4(4), 449-47 1. |
| 03
Stock Pickers |
Young,
W. E., and R. H. Trent |
1969 |
Geometric
mean approximations of individual security and portfolio performance. |
Journal
of Financial and Quantitative Analysis 4(2), 179-200. |
| 03
Stock Pickers |
Ang, James
S., and Jess H. Chua |
1979 |
Composite
measures for the evaluation of investment performance. |
Journal
of Financial and Quantitative Analysis 14(2), 361-384. |
| 03
Stock Pickers |
Shick,
R., and J. Trieschmann |
1978 |
Some further
evidence on the performance of property-liability insurance companies' stock
portfolios. |
Journal
of Financial and Quantitative Analysis 13(1), 157-166. |
| 03
Stock Pickers |
Lee, C.,
and F. Jen |
1978 |
Effects
of measurement error on systematic risk and performance measurement. |
Journal
of Financial and Quantitative Analysis 13(2), 299-312. |
| 03
Stock Pickers |
Kim, T, |
1978 |
An assessment
of the performance of mutual fund management: 1969-1975. |
Journal
of Financial and Quantitative Analysis 13(3), 385-406. |
| 03
Stock Pickers |
Ang, James
S. |
1978 |
A note
on the leverage effects on portfolio performance measures. |
Journal
of Financial and Quantitative Analysis 13(3), 567-572. |
| 03
Stock Pickers |
Miller,
R. E., and A. K. Gehr, |
1978 |
Sample
size bias and Sharpe's performance measure: A note. |
Journal
of Financial and Quantitative Analysis 13(5), 943-946. |
| 03
Stock Pickers |
Saunders,
A., C. Ward, and R. Woodward |
1980 |
Stochastic
dominance and the performance of U.K. unit trusts. |
Journal
of Financial and Quantitative Analysis 15(2), 323-330. |
| 03
Stock Pickers |
Miller,
T. W., and N. Gressis |
1980 |
Nonstationarity
and evaluation of mutual fund returns. |
Journal
of Financial and Quantitative Analysis 15(3), 639-654. |
| 03
Stock Pickers |
Fabozzi,
F., J. Francis, and C. Lee, |
1980 |
Generalized
functional form for mutual fund returns. |
Journal
of Financial and Quantitative Analysis 15(5), 1107-1120. |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman |
1994 |
A Study
Of Monthly Mutual Fund Returns And Performance Evaluation Techniques. |
Journal
of Financial and Quantitative Analysis 29(3), 419-444. |
| 03
Stock Pickers |
Levy, R.
A |
1968 |
Measurement
of investment performance. |
Journal
of Financial and Quantitative Analysis 3(1), 35-58. |
| 03
Stock Pickers |
Carlson,
R |
1970 |
Aggregate
performance of mutual funds, 1948-1967. |
Journal
of Financial and Quantitative Analysis 5(1), 1-32. |
| 03
Stock Pickers |
Arditti,
F |
1971 |
Another
look at mutual fund performance. |
Journal
of Financial and Quantitative Analysis 6(3), 909-912. |
| 03
Stock Pickers |
Rothstein,
M. |
1972 |
On geometric
and arithmetic portfolio performance indices. |
Journal
of Financial and Quantitative Analysis 7(4), 1983-1992. |
| 03
Stock Pickers |
Monroe,
R., and, J. Trieschmann |
1972 |
Portfolio
performance of property-liability insurance companies. |
Journal
of Financial and Quantitative Analysis 7(2), 1595-1611. |
| 03
Stock Pickers |
Swadener,
P. |
1973 |
Portfolio
performance of property-liability insurance companies: Comment |
Journal
of Financial and Quantitative Analysis 7(2), 1619-1623. |
| 03
Stock Pickers |
Klemkosky,
R |
1973 |
The bias
in composite performance measures. |
Journal
of Financial and Quantitative Analysis 8(3), 505-514. |
| 03
Stock Pickers |
Joy, M.,
and B. Porter, |
1974 |
Stochastic
dominance and mutual fund performance. |
Journal
of Financial and Quantitative Analysis 9(1), 25-3 1. |
| 03
Stock Pickers |
Schlarbaum,
G. |
1974 |
The investment
performance of the common stock portfolios of property-liability insurance
companies. |
Journal
of Financial and Quantitative Analysis 9(1), 89-106. |
| 03
Stock Pickers |
McDonald,
J |
1974 |
Objectives
and performance of mutual funds, 1960-1969. |
Journal
of Financial and Quantitative Analysis 9(3), 311-333. |
| 03
Stock Pickers |
Chordia,
Tarun |
1996 |
The Structure
Of Mutual Fund Charges. |
Journal
of Financial Economics 41(1,May), 3-39. |
| 03
Stock Pickers |
Jobson,
J. D., and B. Korkie |
1982 |
Potential
performance and tests of portfolio efficiency. |
Journal
of Financial Economics 10(4), 433-466. |
| 03
Stock Pickers |
Copeland,
T. E., and D. Mayers |
1982 |
The Value
Line enigma (1965-1978): A case study of performance measurement issues. |
Journal
of Financial Economics 10(3), 289-322. |
| 03
Stock Pickers |
Connor,
G., and R. A. Korajczyk |
1986 |
Performance
measurement with the arbitrage pricing theory: A new framework for analysis. |
Journal
of Financial Economics 15(3), 373-394. |
| 03
Stock Pickers |
Pontiff,
Jeffrey |
1994 |
Closed-End
Fund Premia And Returns: Implications For Financial Market Equilibrium. |
Journal
of Financial Economics 37(3), 341-370. |
| 03
Stock Pickers |
Warther,
Vincent A. |
1995 |
Aggregate
Mutual Fund Flows And Security Returns. |
Journal
of Financial Economics 39(2/3), 209-235. |
| 03
Stock Pickers |
Cornell,
Brad |
2008 |
Luck, Skill and Investment Performance |
Current version not published |
| 03
Stock Pickers |
Cornell,
B |
1979 |
Asymmetric
information and portfolio performance measurement. |
Journal
of Financial Economics 7(4), 381-390. |
| 03
Stock Pickers |
Roll, R. |
1978 |
Measuring
portfolio performance and the empirical content of asset pricing models:
A reply. |
Journal
of Financial Economics 7(4), 391-400. |
| 03
Stock Pickers |
Mayers,
D., and E. M. Rice |
1979 |
Measureing
portfolio performance and the empirical content of asset pricing models. |
Journal
of Financial Economics 7(1), 3-28. |
| 03
Stock Pickers |
Verrecchia,
R. E. |
1980 |
The Meyers-Rice
conjecture: A counterexample. |
Journal
of Financial Economics 8(1), 87-100. |
| 03
Stock Pickers |
Chang,
E., and W. Lewellen |
1985 |
An arbitrage
pricing approach to evaluating mutual fund performance. |
Journal
of Financial Research 8(1), 15-30. |
| 03
Stock Pickers |
Chevalier,
Judith and Glenn Ellison |
1997 |
Risk Taking
by Mutual Funds as a Response to Incentives |
Journal
of Political Economy 114() 389-432. |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman |
1987 |
How Clients
Can Win the Gaming Game. |
Journal
of Portfolio Management (Summer), 14-23. |
| 03
Stock Pickers |
Smidt,
S. |
1978 |
Investment
horizons and performance measurement. |
Journal
of Portfolio Management 4(2), 18-22. |
| 03
Stock Pickers |
Litzenberger,
R., and H. B. Sosin |
1978 |
The performance
and potential of dual purpose funds. |
Journal
of Portfolio Management 4(3), 56-68. |
| 03
Stock Pickers |
Pohlman,
R., J. Ang, and R. Hollinger |
1978 |
Performance
and timing: A test of hedge funds. |
Journal
of Portfolio Management 4(3), 69-72. |
| 03
Stock Pickers |
French
D. W., and G. V. Henderson, |
1985 |
How well
does performance evaluation perform? |
Journal
of Portfolio Management 1 1(2), 15-18. |
| 03
Stock Pickers |
Brinson,
G. P., and N. Fachler |
1985 |
Measuring
non-U.S. equity portfolio performance. |
Journal
of Portfolio Management 1 1(3), 73-76. |
| 03
Stock Pickers |
Sharpe,
William F. |
1975 |
Adjusting
for risk in performance measurement. |
Journal
of Portfolio Management 1(2), 29-34. |
| 03
Stock Pickers |
Ferguson,
R |
1986 |
The trouble
with performance measurement. |
Journal
of Portfolio Management 12(3), 4-9. |
| 03
Stock Pickers |
Moses,
E. A., J. M. Cheney, and E. T. Viet |
1987 |
A new and
more complete performance measure. |
Journal
of Portfolio Management 13(4), 24-33. |
| 03
Stock Pickers |
Hagigi,
M., and B. Kluger |
1987 |
Safety
first: An alternative performance measure. |
Journal
of Portfolio Management 13(4), 34-40. |
| 03
Stock Pickers |
Zbesko,
J |
1989 |
Determinants
of performance in the bull market. |
Journal
of Portfolio Management 15(2), 38-44. |
| 03
Stock Pickers |
Tsetsekos,
G. P., and R. Defusco |
1990 |
Portfolio
performance, managerial ownership, and the size effect. |
Journal
of Portfolio Management 16(3), 33-39. |
| 03
Stock Pickers |
Bogle,
J |
1992 |
Selecting
equity mutual funds. |
Journal
of Portfolio Management 18(), 94-100. |
| 03
Stock Pickers |
Jeffrey,
Robert H. and Robert D. Arnott |
1993 |
Is
Your Alpha Big Enough To Cover Its Taxes? |
Journal
of Portfolio Management 19(3), 15-26. |
| 03
Stock Pickers |
Garcia,
C. B. and F. J. Gould, |
1993 |
Survivorship
Bias. |
Journal
of Portfolio Management 19(3), 52-56. |
| 03
Stock Pickers |
Armstrong,
D |
1976 |
Were mutual
funds worth the candle?. |
Journal
of Portfolio Management 2(4), 46-51. |
| 03
Stock Pickers |
Jeffrey,
Robert H. and Robert D. Arnott |
1994 |
Is Your
Alpha Big Enough To Cover Its Taxes?: Reply. |
Journal
of Portfolio Management 20(4), 96-97. |
| 03
Stock Pickers |
Fung, William
and David A. Hsieh, |
1997 |
Survivorship
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 Pickers |
Fisher,
Kenneth L. and Meir Statman, |
1997 |
Investment
Advice From Mutual Fund Companies. |
Journal
of Portfolio Management 24(1,Fall), 9-25. |
| 03
Stock Pickers |
Garcia,
C. B., F. J. Gould and Christopher K. Ma |
1995 |
Survivorship
Bias: Reply. |
Journal
of Portfolio Management 21(2), 105-107. |
| 03
Stock Pickers |
Beckers,
Stan |
1997 |
Manager
Skills And Investment Performance: How Strong Is The Link? |
Journal
of Portfolio Management 23(4,Summer), 9-23. |
| 03
Stock Pickers |
Fielitz,
B. D., and M. T. Greene |
1980 |
Shortcomings
in portfolio evaluation via MPT. |
Journal
of Portfolio Management 6(4), 13-19. |
| 03
Stock Pickers |
Roll, R. |
1980 |
Performance
evaluation and benchmark errors(I). |
Journal
of Portfolio Management 6(4), 5-12. |
| 03
Stock Pickers |
Roll, R. |
1981 |
Performance
evaluation and benchmark errors (II). |
Journal
of Portfolio Management 7(2), 17-22. |
| 03
Stock Pickers |
Ferri,
M. G., and H. D. Oberhelman |
1981 |
How well
do money market funds perform? |
Journal
of Portfolio Management 7(3), 18-26. |
| 03
Stock Pickers |
Shawky,
H. A. |
1982 |
An update
on mutual funds: Better grades. . |
Journal
of Portfolio Management 8(2), 29-34 |
| 03
Stock Pickers |
Burns,
W. L., and D. R. Epley |
1982 |
The performance
of portfolios of REITS + stocks. |
Journal
of Portfolio Management 8(3), 37-42. |
| 03
Stock Pickers |
Dunn, P.
C., and R. D. Theisen |
1983 |
How consistently
do active managers win? |
Journal
of Portfolio Management 9(4), 47-53. |
| 03
Stock Pickers |
Kritzman,
M |
1983 |
Can bond
managers perform consistently?. |
Journal
of Portfolio Management 9(4), 54-56. |
| 03
Stock Pickers |
Christopherson,
J. A., W. E. Ferson and A. L. Turner |
1999 |
Performance
Evaluations Using Conditional Alphas and Betas |
Journal
of Portfolio Management, Fall 1999 |
| 03
Stock Pickers |
Stewart,
Scott D. |
1998 |
Is Consistency
of Performance a Good Measure of Manager Skill? |
Journal
of Portfolio Management, Spring 1998 |
| 03
Stock Pickers |
Levy, H |
1972 |
Portfolio
performance and the investment horizon. |
Management
Science 18(12), B645-B652. |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman |
1989 |
Adverse
Risk Incentives and the Design of Performance-Based Contracts. |
Management
Science 35, 807-822. |
| 03
Stock Pickers |
Jensen,
Michael, G.P. Szego and K. Shell (eds.), . |
1972 |
Optimal
utilization of market forecasts and the evaluation of investment performance. |
Mathematical
Methods in Investment and Finance (Elsevier, Amsterdam) |
| 03
Stock Pickers |
Ippolito,
R. A. |
1989 |
Efficiency
with costly information: A study of mutual fund performance. |
Quarterly
Journal of Economics 104(), 1-23. |
| 03
Stock Pickers |
Chevalier,
Judith and Glenn Ellison |
1999 |
Career
Concerns of Mutual Fund Managers. |
Quarterly
Journal of Economics 105(6), 1167-1200. |
| 03
Stock Pickers |
Brown,
Stephen J., William N. Goetzmann
Roger Ibbotson and Stephen A. Ross |
1997 |
Rejoinder:
The J-Shape of Performance Persistence Given Survivorship Bias. |
Review
of Economics and Statistics Vol. 79(2), 167-170. |
| 03
Stock Pickers |
Fung, William
and David A. Hsieh, |
1997 |
Empirical
characteristics of dynamic trading strategies: The case of hedge funds. |
Review
of Financial Studies 10(), 275-302. |
| 03
Stock Pickers |
Christopherson,
J. A., W. E. Ferson and D. A. Glassman |
1998 |
Conditioning
manager alphers on economic information: Another look at persistence of
performance. |
Review
of Financial Studies 11(), 111-142. |
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman |
1989 |
Portfolio
performance evaluation: Old issues and new insights. |
Review
of Financial Studies 2(), 393-421. |
| 03
Stock Pickers |
Brown,
Stephen J., William N. Goetzmann
Roger Ibbotson and Stephen A. Ross |
1992 |
Survivorship
bias in performance studies. |
Review
of Financial Studies 5(4), 553-580. |
| 03
Stock Pickers |
Elton,
Edwin J., Martin J. Gruber, Sanjiv Das and Matthew Hlavka |
1993 |
Efficiency
With Costly Information: A Reinterpretation Of Evidence From Managed Portfolios. |
Review
of Financial Studies 6(1), 1-22. |
| 03
Stock Pickers |
Chen, Z.
and P. Knez |
1996 |
Portfolio
performance measurement: Theory and evidence. |
Review
of Financial Studies 9(), 551-556. |
| 03
Stock Pickers |
Elton,
Edwin J., Martin J. Gruber and Christopher R. Blake, |
1996 |
Survivorship
Bias And Mutual Fund Performance. |
Review
of Financial Studies 9(4,Winter), 1097-1120. |
| 03
Stock Pickers |
Connor,
G., and R. A. Korajczyk |
1991 |
The attributes,
behavior and performance of US mutual funds. |
Review
of Quantitative Finance and Accounting 1(), 5-26. |
| 03
Stock Pickers |
Vos, Ed,
Padrig Brown and Sean Christie, New Zealand |
2000 |
A
Test of Persistence in the Performance of New Zealand and Australian Equity
Mutual Funds |
|
| 03
Stock Pickers |
Grinblatt,
Mark and Sheridan Titman |
1992 |
Performance
Evaluation. |
The New
Palgrave Dictionary of Money and Finance Newman, P., Milgate, M., and Eatwell,
J. (Eds.)(Stockton Press, Volume 3 (N-Z)), 133-135. |
| 03
Stock Pickers |
Simonson,
D. |
1972 |
The speculative
behavior of mutual funds. |
Journal
of Finance 27(2), 381-391. |
| 03
Stock Pickers |
Simon,
J. |
1969 |
Does "good
portfolio management" exist? |
Management
Science 15(6), B308-B324. |
| 03
Stock Pickers |
Jensen,
Michael, |
1968 |
The performance
of mutual funds in the period 1945-1964. |
Journal
of Finance 23(2), 389-416. |
| 03
Stock Pickers |
Kon, Stanley
J., and Frank C. Jen |
1979 |
The investment
performance of mutual funds: An empirical investigation of timing, selectivity,
and market efficiency. |
Journal
of Business 52(2), 263-289. |
| 03
Stock Pickers |
Carhart,
Mark |
1997 |
Persistence
in mutual fund performance. |
Journal
of Finance 52(), 57-82. |
| 03
Stock Pickers |
Admati,
Anat R. and Paul Pfleiderer |
1997 |
Does It
All Add Up? Benchmarks And The Compensation Of Active Portfolio Managers |
Journal
of Business 70(3,Jul), 323-350. |
| 03
Stock Pickers |
Ellis, Charles D. |
1975 |
The Loser's Game |
The Financial Analysts Journal, Vol 31, No. 4, July/Aug 1975, 19-26. New York: Financial Analysts Federation. |
| 04
Market Timers |
Professor
H. Nejat Seyhun, University of Michigan |
1994 |
Stock
Market Extremes and Portfolio Performance
|
©
Copyright 1994, Towneley Capital Management, Inc. |
| 04
Market Timers |
Chua, J.
H., R. S. Woodward. and E. C. To |
1987 |
Potential
gains from stock market timing in Canada. |
Financial
Analysts Journal 43(5), 50-56. |
| 04
Market Timers |
Riepe,
Mark, Peterson, James |
2000 |
The
Costs and Benefits of Waiting to Invest |
Schwab
Center for Investment Research, Vol. III, Issue I, Jan 2000 |
| 04
Market Timers |
Beebower,
G. L., and A. -P. Varikooty |
1991 |
Measuring
market timing strategies. |
Financial
Analysts Journal 47(6), 78-92. |
| 04
Market Timers |
William
N. Goetzmann, Jonathan Ingersoll Jr., and Zoran Ivkovich |
2000 |
Monthly
Measurement of Daily Timers (see abstract # 8) |
Journal
of Financial and Quantitative Analysis Vol. 35, No. 3, September 2000 |
| 04
Market Timers |
Sharpe,
William F. |
1975 |
Likely
gains from market timing. |
Financial
Analysts Journal 31(), 60-69. |
| 04
Market Timers |
Merton,
R. C |
1981 |
On market
timing and investment performance. I. An equilibrium theory of value for
market forecasts. |
Journal
of Business 54(3), 363-406. |
| 04
Market Timers |
Chang,
E., and W. Lewellen |
1984 |
Market
timing and mutual fund investment performance. |
Journal
of Business 57(1), 57-72. |
| 04
Market Timers |
Henriksson,
R. D |
1984 |
Market
timing and mutual fund performance: An empirical investigation. |
Journal
of Business 57(1), 73-96. |
| 04
Market Timers |
Breen,
W., R. Jagannathan, and A. R. Ofer |
1986 |
Correcting
for heteroscedasticity in tests for market timing ability. |
Journal
of Business 59(4(1)), 585-598. |
| 04
Market Timers |
Jagannathan,
R., and R. A. Korajczyk, |
1986 |
Assessing
the market timing performance of managed portfolios. |
Journal
of Business 59(2(1)), 217-235. |
| 04
Market Timers |
Grant,
D |
1977 |
Portfolio
performance and the "cost" of timing decisions. |
Journal
of Finance 32(3), 837-838. |
| 04
Market Timers |
Grant,
D |
1978 |
Market
timing and portfolio management. |
Journal
of Finance 33(4), 1119-1131. |
| 04
Market Timers |
Alexander,
Gordon J., P. George Benson, and Carol E. Eger |
1982 |
Timing
decisions and the behavior of mutual fund systematic risk. |
Journal
of Financial and Quantitative Analysis 17(4), 579-622. |
| 04
Market Timers |
Kane, A
and S. G. Marks |
1988 |
Performance
evaluation of market timers: Theory and evidence. |
Journal
of Financial and Quantitative Analysis 23(4), 425-435. |
| 04
Market Timers |
Cumby,
R. E., and D. M. Modest |
1987 |
Testing
for market timing ability. |
Journal
of Financial Economics 19(), 169-189. |
| 04
Market Timers |
Vandell,
R. F., and J. L. Steven, |
1989 |
Evidence
of superior performance from timing. |
Journal
of Portfolio Management 15(3), 38-42;. |
| 04
Market Timers |
Larsen,
Glen A., Jr. and Gregory D. Wozniak |
1995 |
Market
Timing Can Work In The Real World. |
Journal
of Portfolio Management 21(3), 74-81. |
| 04
Market Timers |
Viet, E.
T., and J. M. Cheney |
1982 |
Are mutual
funds market timers?. |
Journal
of Portfolio Management 8(2), 35-42. |
| 04
Market Timers |
Admati
Anat, Sudipto Bhattacharya, Paul Pfliederer, and Stephen Ross |
1986 |
On timing
and selectivity |
Journal
of Finance 41(3), 715-730. |
| 05
Manager Pickers |
Kahn, Ronald
N., & Rudd, A. |
1995 |
Does Historical
Performance Predict Future Performance? |
Financial
Analysts’ Journal, November/December 1995. |
| 05
Manager Pickers |
Prem C. Jain; A. B.
Freeman School of Business, Tulane University; Joanna Shuang Wu; William
E. Simon Graduate School of Business Administration, University of Rochester |
2000 |
Truth
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 |
| 05
Manager Pickers |
Brown,
Stephen J. and William N. Goetzmann |
1995 |
Performance
Persistence. |
Journal
of Finance 50(2), 679-698. |
| 05
Manager Pickers |
Hendricks,
Darryll, Jayendu Patel and Richard Zeckhauser |
1993 |
Hot Hands
In Mutual Funds: Short-Run Persistence Of Relative Performance, 1974-1988. |
Journal
of Finance 48(1), 93-130. |
| 05
Manager Pickers |
Professors David Blake and Allan Timmermann |
2003 |
Performance Persistence in Mutual Funds: An Independent Assessment of the Studies Prepared by Charles River Associates for the Investment Management Association |
Prepared for Financial Services Authority, April 2003. |
| 05
Manager Pickers |
Nitzsche, Dirk, Cuthbertson, Keith and O'Sullivan, Niall |
2006 |
Mutual Fund Performance |
Working Paper Series (2006) |
| 05
Manager Pickers |
Fama, Eugene F. and French, Kenneth R. |
2008 |
Mutual Fund Performance
|
Working Paper Series (August 18, 2008) |
| 05
Manager Pickers |
Davis, James L. |
2003 |
Mutual Fund Performance and Manager Style |
Financial Analysts Journal, Vol. 57, No. 1, January/February 2001. |
| 06
Style Drifters |
Keith C.
Brown, Department of Finance, University of Texas; W. V. Harlow, Fidelity
Investments |
2002 |
Staying
the Course: The Impact of Investment Style Consistency on Mutual Fund Performance |
This Draft:
March 8, 2002 |
| 06
Style Drifters |
Brown,
Stephen J. and William N. Goetzmann |
1997 |
Mutual
Fund Styles. |
Journal
of Financial Economics 43(3,Mar), 373-399. |
| 06
Style Drifters |
Tierney,
D. E., and K. Winston |
1991 |
Using generic
benchmarks to present manager styles. |
Journal
of Portfolio Management 17(), 33-36. |
| 06
Style Drifters |
Lucas,
Lori and Riepe, Mark |
1996 |
The
Role of Returns Based Style Analysis |
Ibbotson
Associates, May 9, 1996 |
| 06
Style Drifters |
Lebaron,
Dean |
1994 |
Universal
Model Of Equity Styles. |
Journal
of Portfolio Management 21(1), 85-88. |
| 06
Style Drifters |
Clark,
Davis and Rasmusen |
2001 |
Style Analysis:
Easy to Use - and Misuse |
Dimensional
Fund Advisors, October, 2001 |
| 06
Style Drifters |
Gallo,
John G. and Lockwood, Larry J. |
1997 |
Benefits
Of Proper Style Classification Of Equity Portfolio Managers. |
Journal
of Portfolio Management 23(3,Spring), 47-56. |
| 06
Style Drifters |
William F. Sharpe. |
1999 |
Setting the Record Straight on Style Analysis |
Barry Vinocur - Dow-Jones Fee Advisor |
| 06
Style Drifters |
Gallo,
John G. and Lockwood, Larry J. |
1999 |
Fund Management
Changes and Equity Style Shifts |
Financial
Analysts Journal 55, 44-52 |
| 07
Silent Partners |
Unkown |
1998 |
The
great annuity rip-off. |
Forbes.com |
| 07
Silent Partners |
Davanzo,
L. E., and S. L. Nesbitt |
1987 |
Performance
fees for investment management. |
Financial
Analysts Journal 43(1), 14-20. |
| 07
Silent Partners |
Arnott,
Robert, Andrew L. Berkin, Ph.D., and Jia Ye, Ph.D |
Misc. |
Seven
articles on Tax Managed Investing |
various |
| 07
Silent Partners |
Frank W.
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Robert D. Arnott and
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Weil, Philippe |
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The Equity
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| 08
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French Three Factor Model in U.S.,
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Size and Book to Market Effects and the Fama French Three Factor Asset Pricing Model: Evidence from the Australian Stockmarket |
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Conner,
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Fama
French Three Factor Model in India |
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Eugene Fama, Jr. |
1998 |
Asset
Management: Engineering Portfolios for Better Returns |
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Zeng |
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Fama
French Three Factor Model in China |
School
of Management Fudan University Shidian (abstract) |
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Fama
French Three Factor Model in England, Performance of UK Equity Unit Trusts |
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Roger J.
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Andrew W. Lo |
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The Statistics of Sharpe Ratios |
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| 08 Riskese™ |
Eugene Fama, Jr. |
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Indexes
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Risk
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History |
Elroy
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Value
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Markowitz,
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The
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Cohen,
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Individual
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Snelbecker,
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Journal of Behavioral Economics. 1990: 377-393 |
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Fan, Jessie X. and Xiao, Jing Jian |
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A Cross-Cultural Study in Risk Tolerance: Comparing Chinese and Americans |
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Sciortino,
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Harlow,
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Understanding
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Thaler,
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The
Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test. |
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Journal of Economics. May 1997: 647-660 |
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Bernheim,
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The
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from a Survey of Households |
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Risk
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RiskPACK:
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Victor J Callan PhD
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Some
Guidelines For Financial Planners In Measuring And Advising
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| 11
Risk Exposure |
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Portfolio
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Risk Exposure |
Surz, Stevens
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Investment
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| 11
Risk Exposure |
Ibbotson,
Roger G., and Kaplan, Paul D. |
2000 |
Does
Asset Allocation Policy Explain 40, 90, 100 Percent of Performance? |
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Bekaert,
Geert and Michael S. Urias |
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Sharpe,
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Asset allocation:
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Risk Exposure |
Bloomberg
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2000 |
Market
Volatility and Its Impact on Diversification |
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Wealth Manager, July/August 2000 |
| 11
Risk Exposure |
Markowitz,
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Invest & Relax |
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| 401k
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Hamilton,
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| 401k
Plans |
Waring,
Barton |
2001 |
It’s
11 P.M.—do you know where your employees’ assets are? |
Investment
Insights, Volume 4, Number 2, October 2001 |
| 401k
Plans |
Sharpe,
William F. |
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Financial
Planning in Fantasyland |
Professor
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| 401k
Plans |
Bernstein,
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1998 |
The
Retirement Calculator from Hell |
Efficient
Frontier |
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