- Amihud, Y. ; Goyenko, R. Mutual fund’s R2 as predictor of performance. 2013 Rev. Financ. Stud.. 26 667-694
Paper not yet in RePEc: Add citation now
Andrikogiannopoulou, A. ; Papakonstantinou, F. Reassessing false discoveries in mutual fund performance: Skill, luck, or lack of power?. 2019 J. Finance. 74 2667-2688
Avramov, D. ; Wermers, R. Investing in mutual funds when returns are predictable. 2006 J. Financ. Econ.. 81 339-377
Barras, L. ; Scaillet, O. ; Wermers, R. False discoveries in mutual fund performance: measuring luck in estimated alphas. 2010 J. Finance. 65 179-216
Berk, J.B. ; van Binsbergen, J.H. Measuring skill in the mutual fund industry. 2015 J. Financ. Econ.. 118 1-20
- Bollen, N.P. ; Busse, J.A. Short-term persistence in mutual fund performance. 2004 Rev. Financ. Stud.. 18 569-597
Paper not yet in RePEc: Add citation now
Carhart, M.M. On persistence in mutual fund performance. 1997 J. Finance. 52 57-82
Chen, J. ; Hong, H. ; Huang, M. ; Kubik, J.D. Does fund size erode mutual fund performance? The role of liquidity and organization. 2004 Amer. Econ. Rev.. 94 1276-1302
Cremers, K.M. ; Petajisto, A. How active is your fund manager? A new measure that predicts performance. 2009 Rev. Financ. Stud.. 22 3329-3365
- Davidson, R. ; MacKinnon, J.G. Econometric Theory and Methods. 2004 Oxford University Press: New-York
Paper not yet in RePEc: Add citation now
Elton, E.J. ; Gruber, M.J. ; Blake, C.R. A first look at the accuracy of the CRSP mutual fund database and a comparison of the CRSP and morningstar mutual fund databases. 2001 J. Finance. 56 2415-2430
Evans, R.B. Mutual fund incubation. 2010 J. Finance. 65 1581-1611
Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 J. Financ. Econ.. 33 3-56
Fama, E.F. ; French, K.R. Luck versus skill in the cross-section of mutual fund returns. 2010 J. Finance. 65 1915-1947
- Ferson, W. ; Chen, Y. How many good and bad fund managers are there, really?. 2015 En : . :
Paper not yet in RePEc: Add citation now
Ferson, W. ; Lin, J. Alpha and performance measurement: the effects of investor disagreement and heterogeneity. 2014 J. Finance. 69 1565-1596
Ferson, W.E. ; Schadt, R.W. Measuring fund strategy and performance in changing economic conditions. 1996 J. Finance. 51 425-461
Glode, V. Why mutual funds “underperformâ€. 2011 J. Financ. Econ.. 99 546-559
- Grønborg, N. ; Lunde, A. ; Timmermann, A. ; Wermers, R. Picking funds with confidence. 2019 J. Financ. Econ.. Forthcoming -
Paper not yet in RePEc: Add citation now
Guercio, D.D. ; Reuter, J. Mutual fund performance and the incentive to generate alpha. 2014 J. Finance. 69 1673-1704
Harvey, C.R. ; Liu, Y. Detecting repeatable performance. 2018 Rev. Financ. Stud.. 31 2499-2552
- Harvey, C.R. ; Liu, Y. False (and missed) discoveries in financial economics. 2019 En : Working Paper. :
Paper not yet in RePEc: Add citation now
- Jarque, C.M. ; Bera, A.K. A test for normality of observations and regression residuals. 1987 Int. Stat. Rev. (Revue Internationale de Statistique). 55 163-172
Paper not yet in RePEc: Add citation now
Jensen, M.C. The performance of mutual funds in the period 1945–1964. 1968 J. Finance. 23 389-416
- Jones, R.C. ; Wermers, R. Active management in mostly efficient markets. 2010 Financ. Anal. J.. 67 29-45
Paper not yet in RePEc: Add citation now
Kacperczyk, M. ; Nieuwerburgh, S.V. ; Veldkamp, L. Time-varying fund manager skill. 2014 J. Finance. 69 1455-1484
Kacperczyk, M. ; Sialm, C. ; Zheng, L. On the industry concentration of actively managed equity mutual funds. 2005 J. Finance. 60 1983-2012
Kacperczyk, M. ; Sialm, C. ; Zheng, L. Unobserved actions of mutual funds. 2008 Rev. Financ. Stud.. 21 2379-2416
Kosowski, R. ; Timmermann, A. ; Wermers, R. ; White, H. Can mutual fund “stars†really pick stocks? New evidence from a bootstrap analysis. 2006 J. Finance. 61 -
- Ljung, G.M. ; Box, G.E.P. On a measure of lack of fit in time series models. 1978 Biometrika. 65 297-303
Paper not yet in RePEc: Add citation now
Mamaysky, H. ; Spiegel, M. ; Zhang, H. Estimating the dynamics of mutual fund alphas and betas. 2008 Rev. Financ. Stud.. 21 233-264
Newey, W.K. ; West, K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 703-708
- Politis, D. ; Romano, J. The stationary bootstrap. 1994 J. Amer. Statist. Assoc.. 89 1303-1313
Paper not yet in RePEc: Add citation now
Storey, J.D. A direct approach to false discovery rates. 2002 J. R. Stat. Soc. Ser. B Stat. Methodol.. 64 479-498
- Uppal, R. ; Zaffaroni, P. Portfolio choice with model misspecification: a foundation for alpha and beta portfolios. 2016 En : Working paper. :
Paper not yet in RePEc: Add citation now
Wermers, R. Mutual fund herding and the impact on stock prices. 1999 J. Finance. 54 581-622
White, H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. 1980 Econometrica. 48 817-838
Yan, C. ; Cheng, T. In search of the optimal number of fund subgroups. 2019 J. Empir. Financ.. 50 78-92