Publisher Summary The Arbitrage Pricing Theory (APT) of Ross, and extensions of that
theory, constitute an important branch of asset pricing theory and one of the primary …

Mutual funds represent one of the fastest growing type of financial intermediary in the
American economy. The question remains as to why mutual funds and in particular actively …

The relative performance of no‐load, growth‐oriented mutual funds persists in the near term,
with the strongest evidence for a one‐year evaluation horizon. Portfolios of recent poor …

Recent evidence suggests that past mutual fund performance predicts future performance.
We analyze the relationship between volatility and returns in a sample that is truncated by …

We explore performance persistence in mutual funds using absolute and relative
benchmarks. Our sample, largely free of survivorship bias, indicates that relative risk …

We investigate the informational efficiency of mutual fund performance for the period 1965–
84. Results are shown to be sensitive to the measurement of performance chosen. Wefind …

In this article we have reviewed “Modern Portfolio Analysis” and outlined some important
topics for further research. Issues discussed include the history and future of portfolio theory …

Mutual fund attrition can create problems for a researcher because funds that disappear
tend to do so due to poor performance. In this article we estimate the size of the bias by …

Using linear and nonlinear models, we examine two samples of bond funds: one sample
designed to eliminate survivorship bias, and a second much larger sample. Overall and for …

Mutual funds are typically grouped by their investment objectives or the 'style'of their
managers. We propose a new empirical to the determination of manager 'style'. This …