Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?
暂无分享,去创建一个
[1] Cliff C. J. Huang,et al. Likelihood ratio tests for model selection of stochastic frontier models , 2010 .
[2] Kristiaan Kerstens,et al. Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator , 2009 .
[3] Scott W. Barnhart,et al. Do mutual funds with few holdings outperform the market? , 2009 .
[4] S. Ramos. The Size and Structure of the World Mutual Fund Industry , 2009 .
[5] Joshua Pollet,et al. How Does Size Affect Mutual Fund Behavior , 2008 .
[6] Joshua Pollet,et al. Average Correlation and Stock Market Returns , 2008 .
[7] F. T. Magiera. Diversification in Portfolios of Individual Stocks: 100 Stocks Are Not Enough , 2008 .
[8] Xuemin (Sterling) Yan,et al. Security Concentration and Active Fund Management: Do Focused Funds Offer Superior Performance? , 2007 .
[9] William H. Sackley. Firm Value and Managerial Incentives: A Stochastic Frontier Approach , 2006 .
[10] Yoon Choi. Relative Portfolio Performance Evaluation and Incentive Structure , 2006 .
[11] Sergio Da Silva,et al. Evaluating Brazilian mutual funds with stochastic frontiers , 2005 .
[12] Hany A. Shawky,et al. Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance , 2005 .
[13] K. Cuthbertson,et al. Mutual Fund Performance: Skill or Luck? , 2005 .
[14] Marcin T. Kacperczyk,et al. On the Industry Concentration of Actively Managed Equity Mutual Funds , 2004 .
[15] M. Statman,et al. The Diversification Puzzle , 2004 .
[16] Marie D. Racine,et al. PORTFOLIO DIVERSIFICATION FOR LONG HOLDING PERIODS: HOW MANY STOCKS DO INVESTORS NEED? , 2003 .
[17] A. Lo. The Statistics of Sharpe Ratios , 2002 .
[18] Hung-Jen Wang,et al. Heteroscedasticity and Non-Monotonic Efficiency Effects of a Stochastic Frontier Model , 2002 .
[19] M. Lettau,et al. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk , 2000 .
[20] Roger G. Ibbotson,et al. Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance? , 2000 .
[21] Jerold B. Warner,et al. Evaluating Mutual Fund Performance , 1997 .
[22] Wayne E. Ferson,et al. Measuring Fund Strategy and Performance in Changing Economic Conditions , 1996 .
[23] G. D. Newbould,et al. Portfolio Risk, Portfolio Performance, and the Indvidual Investor , 1996 .
[24] G. Battese,et al. Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data , 1988 .
[25] John L. Evans,et al. DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS , 1968 .
[26] C. Lovell,et al. Stochastic Frontier Analysis: Frontmatter , 2000 .
[27] Subal C. Kumbhakar,et al. Stochastic frontier analysis , 2000 .
[28] J. Annaert. Determinants of Mutual Fund Performance: A Bayesian Stochastic Frontier Approach , 1999 .
[29] Ivan E. Brick,et al. How Many Stocks Make a Diversified Portfolio , 1987 .