Challenging the conventional wisdom on active management: A review of the past 20 years of academic literature on actively managed mutual funds
KJM Cremers, JA Fulkerson, TB Riley - Financial Analysts Journal, 2019 - Taylor & Francis
Just over 20 years have passed since the publication of Mark Carhart's landmark 1997 study
on mutual funds. Its conclusion—that the data did “not support the existence of skilled or …
on mutual funds. Its conclusion—that the data did “not support the existence of skilled or …
Is research on hedge fund performance published selectively? A quantitative survey
F Yang, T Havranek, Z Irsova… - Journal of Economic …, 2023 - Wiley Online Library
We examine whether estimates of hedge fund performance reported in prior empirical
research are affected by publication bias. Using a sample of 1019 intercept terms from …
research are affected by publication bias. Using a sample of 1019 intercept terms from …
Scale and skill in active management
We empirically analyze the nature of returns to scale in active mutual fund management. We
find strong evidence of decreasing returns at the industry level. As the size of the active …
find strong evidence of decreasing returns at the industry level. As the size of the active …
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
We propose several econometric measures of connectedness based on principal-
components analysis and Granger-causality networks, and apply them to the monthly …
components analysis and Granger-causality networks, and apply them to the monthly …
[图书][B] Financial decisions and markets: a course in asset pricing
JY Campbell - 2017 - books.google.com
From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …
Flights to safety
We identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond
returns and a model averaging approach. FTS days comprise less than 2% of the sample …
returns and a model averaging approach. FTS days comprise less than 2% of the sample …
The performance of private equity funds
L Phalippou, O Gottschalg - The Review of Financial Studies, 2009 - academic.oup.com
The performance of private equity funds as reported by industry associations and previous
research is overstated. A large part of performance is driven by inflated accounting valuation …
research is overstated. A large part of performance is driven by inflated accounting valuation …
Misvaluing innovation
We demonstrate that a firm's ability to innovate is predictable, persistent, and relatively
simple to compute, and yet the stock market appears to ignore the implications of past …
simple to compute, and yet the stock market appears to ignore the implications of past …
Macroeconomic risk and hedge fund returns
This paper estimates hedge fund and mutual fund exposure to newly proposed measures of
macroeconomic risk that are interpreted as measures of economic uncertainty. We find that …
macroeconomic risk that are interpreted as measures of economic uncertainty. We find that …
An institutional theory of momentum and reversal
D Vayanos, P Woolley - The Review of Financial Studies, 2013 - academic.oup.com
We propose a theory of momentum and reversal based on flows between investment funds.
Flows are triggered by changes in fund managers' efficiency, which investors either observe …
Flows are triggered by changes in fund managers' efficiency, which investors either observe …