Measuring Fund Strategy and Performance in Changing Economic Conditions

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964

1968 • 4,463 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

On estimating the expected return on the market

1980 • 2,932 citations

Asset returns and inflation

1977 • 2,770 citations

The Conditional CAPM and the Cross‐Section of Expected Returns

1996 • 2,497 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Asset allocation

1992 • 1,628 citations

Returns from Investing in Equity Mutual Funds 1971 to 1991

1995 • 1,493 citations

Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings

1989 • 1,430 citations

On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

2015 • 1,341 citations

On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills

1981 • 1,280 citations

Survivorship Bias in Performance Studies

1992 • 1,161 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Data-Snooping Biases in Tests of Financial Asset Pricing Models

1990 • 1,155 citations

The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

1987 • 1,016 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

Predictability of Stock Returns: Robustness and Economic Significance

1995 • 921 citations

Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios

1993 • 911 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Aggregate mutual fund flows and security returns

1995 • 770 citations

Performance Persistence

1995 • 675 citations

Market Timing and Mutual Fund Performance: An Empirical Investigation

1984 • 669 citations

Efficiency With Costly Information: A Study of Mutual Fund Performance, 1965-1984

1989 • 664 citations

The Risk and Predictability of International Equity Returns

1993 • 662 citations

Intertemporal asset pricing

1990 • 647 citations

Portfolio Performance Evaluation: Old Issues and New Insights

1989 • 622 citations

Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons

1987 • 612 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques

1994 • 500 citations

Market Timing and Mutual Fund Investment Performance

1984 • 458 citations

AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE

1978 • 408 citations

Evaluating the Performance of International Mutual Funds

1990 • 396 citations

Assessing the Market Training Performance of Managed Portfolios

1986 • 384 citations

Differential Information and Performance Measurement Using a Security Market Line

1985 • 365 citations

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

1995 • 358 citations

On Timing and Selectivity

1986 • 285 citations

A contingent claim approach to performance evaluation

1994 • 273 citations

Measuring Investment Performance in a Rational Expectations Equilibrium Model

1985 • 244 citations

An Unconditional Asset‐Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

1988 • 243 citations

Assessing Goodness‐of‐Fit of Asset Pricing Models: The Distribution of the Maximal R2

1997 • 223 citations

Mathematical Methods in Investment and Finance

1975 • 210 citations

Returns and Volatility of Low‐Grade Bonds 1977–1989

1991 • 198 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

Measuring portfolio performance and the empirical content of asset pricing models

1979 • 125 citations

PORTFOLIO PERFORMANCE AND THE “COST” OF TIMING DECISIONS

1977 • 105 citations

Expected Returns, Time‐varying Risk, and Risk Premia

1994 • 103 citations

Temporal Aggregation and the Continuous‐Time Capital Asset Pricing Model

1989 • 78 citations

Arbitrage pricing with information

1983 • 73 citations

Testing international asset pricing : models with mutual fund data

1997 • 2 citations