Evaluating Mutual Fund Performance

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

On Persistence in Mutual Fund Performance

1997 • 16,085 citations

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

1987 • 15,268 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964

1968 • 4,463 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Measuring security price performance

1980 • 3,397 citations

Automatic Lag Selection in Covariance Matrix Estimation

1994 • 3,132 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks

1997 • 2,812 citations

Persuasive evidence of market inefficiency

1985 • 2,037 citations

Improved Methods for Tests of Long‐Run Abnormal Stock Returns

1999 • 1,913 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

1997 • 1,718 citations

Measuring Fund Strategy and Performance in Changing Economic Conditions

1996 • 1,677 citations

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

1976 • 1,562 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

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

1969 • 980 citations

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

1993 • 911 citations

Measuring abnormal performance

1992 • 864 citations

How to Use Security Analysis to Improve Portfolio Selection

1973 • 841 citations

Book-to-market, dividend yield, and expected market returns: A time-series analysis

1997 • 775 citations

The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers

2000 • 750 citations

Market Timing and Mutual Fund Performance: An Empirical Investigation

1984 • 669 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

Multifactor models do not explain deviations from the CAPM

1995 • 586 citations

Survivor Bias and Mutual Fund Performance

1996 • 585 citations

Investing in equity mutual funds

2002 • 453 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

Components of Investment Performance

1972 • 336 citations

SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION

1976 • 304 citations

Measuring Investment Performance in a Rational Expectations Equilibrium Model

1985 • 244 citations

Market timing ability and volatility implied in investment newsletters' asset allocation recommendations

1996 • 243 citations

Portfolio Performance Measurement: Theory and Applications

1998 • 205 citations

The Relation Between Mean-Variance Efficiency and Arbitrage Pricing

1987 • 161 citations

The Analytics of Performance Measurement Using a Security Market Line

1985 • 120 citations

Expected Returns, Time‐varying Risk, and Risk Premia

1994 • 103 citations