基金研究阅读list
Tianyang Xu
  2023-09-23 17:41:26 2023-09-23 17:41   2023-09-28 01:28:20    

2023-9-22

  • [x] Kacperczyk, Marcin, Clemens Sialm, and Lu Zheng. “Unobserved actions of mutual funds.” Review of Financial Studies 21, no. 6 (2008): 2379-2416.
  • [x] Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers. “Measuring mutual fund performance with characteristic‐based benchmarks.” The Journal of finance 52, no. 3 (1997): 1035-1058.

2023-9-26

  • [x] Carhart, Mark, 1997, On Persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.
  • [x] Berk, Jonathan B., and Jules H. Van Binsbergen, 2015, Measuring skill in the mutual fund industry. Journal of Financial Economics 118, no. 1: 1-20.
  • [ ] Kacperczyk, Marcin, Clemens Sialm, and Lu Zheng, 2005, On The Industry Concentration Of Actively Managed Equity Mutual Funds, Journal of Finance 60, 1983-2011.
  • [ ] Kacperczyk, Marcin, Clemens Sialm, and Lu Zheng, 2008, Unobserved Actions Of Mutual Funds, The Review of Financial Studies 21, 2379-2416.
  • [ ] Kacperczyk, Marcin, and A. Seru, 2007, Fund Manager User of Public Information: New Evidence on Managerial Skills, Journal of Finance 62, 485-528.
  • [ ] Kacperczyk, Marcin, Stijn van Nieuwerburgh, and Laura Veldkamp, 2014, Time-Varying .
    Fund Manager Skill, Journal of Finance 69, 1455-1484.
  • [ ] Cremers, Martijn, and Antti Petajisto, 2009, How Active Is Your Fund Managers? A New Measure That Predicts Performance, Review of Financial Studies 22, 3329-3365.
  • [ ] Cohen, Randolph, Joshua Coval, and Lubos Pastor, 2005, Judging Fund Managers by the Company They Keep, Journal of Finance 60, 1057-1096.
  • [ ] * Zheng, Lu, 1999, Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection, Journal of Finance 54, 910-933.
  • [ ] * Berk, Jonathan, and Richard Green, 2004, Mutual Fund Flows and Performance in Rational Markets, Journal of Political Economy, 1269-1295.
  • [ ] * Chevalier, Judith, and Glenn Ellison, 1997, Risk Taking by Mutual Funds as a Response to Incentives, Journal of Political Economy 105, 1167-1200.
  • [ ] * Sirri, Erik, and Peter Tufano, 1998, Costly Search and Mutual Fund Flows, Journal of Finance 53, 1589-1622. c)
  • [ ] * Gruber, Martin, 1996, Another Puzzle: The Growth in Actively Managed Mutual Funds, Journal of Finance 51, 783-810.
  • [ ] Sapp, Travis, and Ashish Tiwari, 2004, Does Stock Return Momentum Explain the “Smart Money” Effect?, Journal of Finance 59, 2605-2622.
  • [ ] Keswani, Aneel, and David Stolin, 2008, Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors, Journal of Finance 63, 85-118.
  • [ ] Frazzini, Andrea, and Owen A. Lamont, 2008, Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns, Journal of Financial Economics 88, 299-322
  • [ ] * Liang, Bing, 1999, On the Performance of Hedge Funds, Financial Analysts Journal 55, 72- 85.
  • [ ] * Fung, William, and David Hsieh, 2004, Hedge Fund Benchmarks: A Risk-Based Approach, Financial Analysts Journal 60, 65-80.
  • [ ] * Aiken, Adam L., Christopher P. Clifford, and Jesse Ellis. “Out of the dark: Hedge fund reporting biases and commercial databases.” Review of Financial Studies 26, no. 1 (2013): 208-243. b)
  • [ ] * Liang, B., & Park, H. (2007). Risk measures for hedge funds: a cross-sectional approach. European financial management, 13(2), 333-370.
  • [ ] * Aggarwal, Rajesh K., and Philippe Jorion. “The performance of emerging hedge funds and managers.” Journal of Financial Economics 96, no. 2 (2010): 238-256.
  • [ ] * Getmansky, Mila, Andrew Lo, and Igor Makarov, 2004, An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74, 529- 609. 5 c)
  • [ ] Ackermann, Carl, Richard McEnally, and David Ravenscraft, 1999, The Performance of Hedge Funds: Risk, Return, and Incentives, Journal of Finance 54, 833-874.
  • [ ] Brown, Stephen, William Goetzmann, and Roger Ibbotson, 1999, Offshore Hedge Funds: Survival and Performance, 1989-95, Journal of Business 72, 91-117.
  • [ ] Fung, William, and David Hsieh, 2001, The risk in hedge fund strategies: theory and evidence from trend followers, Review of Financial Studies 14, 313-341
  • [ ] * Chen, Joseph, Harrison Hong, Ming Huang, and Jeffrey D. Kubik. “Does fund size erode mutual fund performance? The role of liquidity and organization.” The American Economic Review 94, no. 5 (2004): 1276-1302.
  • [ ] * Pástor, Ľuboš, Robert F. Stambaugh, and Lucian A. Taylor. “Scale and skill in activemanagement.” Journal of Financial Economics, 2015.
  • [ ] * Aragon, George, 2007, Share restrictions and asset pricing: Evidence from the hedge fund industry, Journal of Financial Economics 83, 33-58.
  • [ ] * Agarwal, Vikas, Naveen Daniel, and Narayan Naik, 2009, Role of Managerial Incentives and Discretion in Hedge Fund Performance, Journal of Finance 64, 2221-2256.
  • [ ] * Lim, Jongha, Berk A. Sensoy, and Michael S. Weisbach. “Indirect Incentives of Hedge Fund Managers.” Journal of Finance, 2016.
  • [ ] * Lan, Yingcong, Neng Wang, and Jinqiang Yang. “The economics of hedge funds.” Journal of Financial Economics 110, no. 2 (2013): 300-323.
  • [ ] Goetzmann, William, Jonathan Ingersoll, and Stephen Ross, 2003, High-Water Marks and Hedge Fund Management Contracts, Journal of Finance 58, 1685-1718.
  • [ ] Buraschi, Andrea, Robert Kosowski, and Worrawat Sritrakul. “Incentives and endogenous risk taking: A structural view on hedge fund alphas.” The Journal of Finance 69, no. 6 (2014): 2819-2870.
  • [ ] Drechsler, Itamar. “Risk choice under high-water marks.” Review of Financial Studies 27, no. 7 (2014): 2052-2096.
  • [ ] Pástor, L., & Stambaugh, R. F. (2012). On the Size of the Active Management Industry. Journal of Political Economy, 120(4), 740-781.
  • [ ] Yin, Chengdong. “The optimal size of hedge funds: conflict between investors and fund
    managers.” The Journal of Finance (2016)
  • [ ] * Grinblatt, Mark, and Sheridan Titman. “The Persistence of Mutual Fund Performance.” Journal of Finance, 1992.
  • [ ] * Brown, Stephen, and William Goetzmann. “Performance Persistence.” Journal of Finance, 1995.
  • [ ] * Bollen, Nicolas, and Jeffrey Busse. “Short-Term Persistence in Mutual Fund Performance.” Review of Financial Studies, 2005.
  • [ ] * Jagannathan, Ravi, Alexey Malakhov, and Dmitry Novikov. “Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation.” Journal of Finance, 2010.
  • [ ] * Kosowski, Robert, Narayan Naik, and Melvyn Teo. “Do hedge funds deliver alpha? A Bayesian and bootstrap analysis.” Journal of Financial Economics, 2007.
  • [ ] Eling, Martin, “Does Hedge Fund Performance Persist? Overview and New Empirical Evidence.” European Financial Management, 2009.
  • [ ] Glode, Vincent, and Richard Green. “Information spillovers and performance persistence for hedge funds.” Journal of Financial Economics, 2011.
  • [ ] Agarwal, Vikas, and Narayan Naik, 2000, Multi-Period Performance Persistence Analysis of
    Hedge Funds, Journal of Financial and Quantitative Analysis 35, 327-342
  1. 2023-9-22
  2. 2023-9-26