create a website

Robustness of selectivity and timing measures of performance based on quadratic and dummy variable regressions. (1997). Chung, Richard ; Kryzanowski, Lawrence.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:6:y:1997:i:3:p:257-262.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 15

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Admati,, A.R. ; Bhattacharya,, S. ; Pfleiderer,, P. ; Ross,, S.A. On timing and selectivity. 1986 The Journal of Finance. 41 715-730

  2. AIMR, AIMR Performance Presentation Standards Handbook 1997. 1996 Association for Investment Management and Research: Charlottesville, VA
    Paper not yet in RePEc: Add citation now
  3. Bodie,, Z. ; Kane,, A. ; Marcus,, A.J. Investments. 1996 Irwin: Homewood, IL
    Paper not yet in RePEc: Add citation now
  4. Coggin,, T.D. ; Fabozzi,, F.J. ; Rahman,, S. The investment performance of US equity pension fund managers: An empirical investigation. 1993 Journal of Finance. 48 1039-1055

  5. Elton,, E.J. ; Gruber,, M.J. Differential information and timing ability. 1991 Journal of Banking and Finance. 15 117-131

  6. Ferson,, W.E. ; Warmer,, V.A. Evaluating fund performance in a dynamic market. 1996 Financial Analysts Journal. 52 20-28
    Paper not yet in RePEc: Add citation now
  7. Henriksson,, R.D. ; Merton,, R.C. On market timing and investment performance II: Statistical procedures for evaluating forecasting skills. 1981 Journal of Business. 54 513-533

  8. Jensen,, M. Optimal utilization of market forecasts and the evaluation of investment performance. 1972 En : Szego, ; Shell, Mathematical Methods in Investment and Finance. North Holland/American Elsevier: Amsterdam
    Paper not yet in RePEc: Add citation now
  9. Jensen,, M. The performance of mutual funds in the period 1945–1964. 1968 The Journal of Finance. 23 389-416

  10. Kryzanowski,, L. ; Lalancette,, S. ; To,, C.-M. Performance attribution using an APT with prespecified macrofactors and time-varying risk premia and betas. 1997 Journal of Financial and Quantitative Analysis. 32 -

  11. Reilly,, F.K. ; Brown,, K.C. Investment Analysis and Portfolio Management. 1997 The Dryden Press: New York
    Paper not yet in RePEc: Add citation now
  12. Sharpe,, W.F. ; Alexander,, G.J. ; Bailey,, J.V. Investments. 1995 Prentice-Hall, Inc: Englewood Cliffs, NJ
    Paper not yet in RePEc: Add citation now
  13. Treynor,, J.L. ; Mazuy,, F. Can mutual funds outguess the market. 1966 Harvard Business Review. 44 131-136
    Paper not yet in RePEc: Add citation now
  14. Verrecchia,, R.E. Discussion. 1986 The Journal of Finance. 41 730-732
    Paper not yet in RePEc: Add citation now
  15. White,, H. A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. 1980 Econometrica. 48 817-838
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Mutual fund managers timing abilities. (2017). Zhang, Yeqing ; Liao, LI.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:44:y:2017:i:c:p:80-96.

    Full description at Econpapers || Download paper

  2. Timing liquidity in the foreign exchange market: Did hedge funds do it?. (2017). Tee, Kai-Hong ; Luo, JI ; Li, Baibing.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:40:y:2017:i:c:p:47-62.

    Full description at Econpapers || Download paper

  3. Reviewing the hedge funds literature I: Hedge funds and hedge funds managerial characteristics. (2016). Hudson, Robert ; el Kalak, Izidin ; Azevedo, Alcino.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:85-97.

    Full description at Econpapers || Download paper

  4. The market timing ability and return performance of Islamic equities: An empirical study. (2015). Ashraf, Dawood ; Mohammad, Nazeeruddin.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:169-183.

    Full description at Econpapers || Download paper

  5. The Evolving Beta-Liquidity Relationship of Hedge Funds. (2014). Stefanova, Denitsa ; Siegmann, Arjen.
    In: LSF Research Working Paper Series.
    RePEc:crf:wpaper:14-12.

    Full description at Econpapers || Download paper

  6. Allocation of decision rights and the investment strategy of mutual funds. (2013). nanda, vikram ; Wang, Qinghai ; Dass, Nishant.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:110:y:2013:i:1:p:254-277.

    Full description at Econpapers || Download paper

  7. Can hedge funds time market liquidity?. (2013). Lo, Andrew ; liang, bing ; Cao, Charles ; Chen, Yong.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:2:p:493-516.

    Full description at Econpapers || Download paper

  8. Investment Performance: A Review and Synthesis. (2013). Ferson, Wayne E.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-969-1010.

    Full description at Econpapers || Download paper

  9. Mutual Funds. (2013). Gruber, Martin J ; Elton, Edwin J.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1011-1061.

    Full description at Econpapers || Download paper

  10. Performance, stock selection and market timing of the German equity mutual fund industry. (2013). Cuthbertson, Keith ; Nitzsche, Dirk.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:86-101.

    Full description at Econpapers || Download paper

  11. Management compensation and market timing under portfolio constraints. (2012). priestley, richard ; Agarwal, Vikas ; Gomez, Juan-Pedro.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1116r.

    Full description at Econpapers || Download paper

  12. Selectivity and timing performance of UK investment trusts. (2012). Su, Chen ; Joseph, Nathan L. ; Bangassa, Kenbata.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:5:p:1149-1175.

    Full description at Econpapers || Download paper

  13. Management compensation and market timing under portfolio constraints. (2012). priestley, richard ; Agarwal, Vikas ; Gomez, Juan-Pedro.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:10:p:1600-1625.

    Full description at Econpapers || Download paper

  14. Management compensation and market timing under portfolio constraints. (2011). priestley, richard ; Agarwal, Vikas ; Gomez, Juan-Pedro.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1116.

    Full description at Econpapers || Download paper

  15. Risk and return characteristics of Islamic equity funds. (2011). Kräussl, Roman ; Hayat, Raphie.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:12:y:2011:i:2:p:189-203.

    Full description at Econpapers || Download paper

  16. On the High-Frequency Dynamics of Hedge Fund Risk Exposures. (2011). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8479.

    Full description at Econpapers || Download paper

  17. Optimal active portolio management and relative performance drivers: theory and evidence. (2011). Violi, Roberto.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-10.

    Full description at Econpapers || Download paper

  18. Mutual Fund Performance: Measurement and Evidence. (2010). O'Sullivan, Niall ; Cuthbertson, Keith ; Nitzsche, Dirk.
    In: Financial Markets, Institutions & Instruments.
    RePEc:wly:finmar:v:19:y:2010:i:2:p:95-187.

    Full description at Econpapers || Download paper

  19. Measuring the timing ability and performance of bond mutual funds. (2010). Chen, Yong ; Ferson, Wayne ; Peters, Helen.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:72-89.

    Full description at Econpapers || Download paper

  20. On the Economic Value of Return Predictability. (2010). Han, Yufeng.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2010:v:11:i:1:p:1-33.

    Full description at Econpapers || Download paper

  21. On the Dynamics of Hedge Fund Risk Exposures. (2010). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7780.

    Full description at Econpapers || Download paper

  22. Measuring the Timing Ability and Performance of Bond Mutual Funds. (2009). Ferson, Wayne ; Chen, Yong ; Peters, Helen.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15318.

    Full description at Econpapers || Download paper

  23. An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach. (2008). Roca, Eduardo ; Wong, Victor.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:7:p:583-597.

    Full description at Econpapers || Download paper

  24. UK mutual fund performance: Skill or luck?. (2008). O'Sullivan, Niall ; Cuthbertson, Keith ; Nitzsche, Dirk.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:613-634.

    Full description at Econpapers || Download paper

  25. Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.. (2008). Savona, Roberto ; amisano, gianni.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008881.

    Full description at Econpapers || Download paper

  26. Performance measurement and evaluation. (2007). Lehmann, Bruce ; Timmermann, Allan.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24505.

    Full description at Econpapers || Download paper

  27. Portfolio Performance Manipulation and Manipulation-Proof Performance Measures. (2006). Goetzmann, William ; Spiegel, Matthew ; Ingersoll, Jonathan ; Welch, Ivo.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2471.

    Full description at Econpapers || Download paper

  28. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence .
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

    Full description at Econpapers || Download paper

  29. Market timing by global fund managers. (2006). Riddick, Leigh A. ; Glassman, Debra A..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:7:p:1029-1050.

    Full description at Econpapers || Download paper

  30. Investing in mutual funds when returns are predictable. (2006). wermers, russell ; Avramov, Doron.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:81:y:2006:i:2:p:339-377.

    Full description at Econpapers || Download paper

  31. Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns. (2006). Garcia, René ; Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-31.

    Full description at Econpapers || Download paper

  32. Investing in mutual funds when returns are predictable. (2005). wermers, russell ; Avramov, Doron.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0513.

    Full description at Econpapers || Download paper

  33. A nonparametric test of market timing. (2003). Jiang, Wei.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:4:p:399-425.

    Full description at Econpapers || Download paper

  34. La persistance de la performance des fonds de pension individuels britanniques:une étude empirique sur des fonds investis en actions et des fonds obligataires. (2003). Herve, Fabrice.
    In: Revue Finance Contrôle Stratégie.
    RePEc:dij:revfcs:v:6:y:2003:i:q3:p:41-77.

    Full description at Econpapers || Download paper

  35. A Loss Aversion Performance Measure. (2003). Satchell, Stephen E. ; Farah, Nathalie.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0333.

    Full description at Econpapers || Download paper

  36. La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires.. (2002). Herve, Fabrice.
    In: Working Papers.
    RePEc:log:wpaper:2002-3.

    Full description at Econpapers || Download paper

  37. Optimal market timing strategies under transaction costs. (2002). Li, Wei ; Lam, Kin.
    In: Omega.
    RePEc:eee:jomega:v:30:y:2002:i:2:p:97-108.

    Full description at Econpapers || Download paper

  38. The performance of Italian equity funds. (2002). cesari, riccardo ; Panetta, Fabio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:1:p:99-126.

    Full description at Econpapers || Download paper

  39. The performance of professional market timers: daily evidence from executed strategies. (2001). Hemler Michael L., ; Chance Don M., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:62:y:2001:i:2:p:377-411.

    Full description at Econpapers || Download paper

  40. Measuring performance of international closed-end funds. (2001). Patro, Dilip Kumar .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:9:p:1741-1767.

    Full description at Econpapers || Download paper

  41. Monthly Measurement of Daily Timers. (2000). Goetzmann, William ; Ivkovich, Zoran ; Ingersoll, Jonathan E..
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:ysm88.

    Full description at Econpapers || Download paper

  42. MESURES DE PERFORMANCES AJUSTÉES POUR LE RISQUE (MPAR) ET ALLOCATION DES CAPITAUX PROPRES. (2000). VIVIANI, Jean-Laurent.
    In: Post-Print.
    RePEc:hal:journl:halshs-00587521.

    Full description at Econpapers || Download paper

  43. The ordered mean difference as a portfolio performance measure. (2000). Bowden, Roger J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:7:y:2000:i:2:p:195-223.

    Full description at Econpapers || Download paper

  44. An examination of Australian equity trusts for selectivity and market timing performance. (1999). faff, robert ; Hallahan, Terrence A..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:9:y:1999:i:3-4:p:387-402.

    Full description at Econpapers || Download paper

  45. Conditional market timing with benchmark investors. (1999). Schill Michael J., ; Myers David H., ; Wayne, Ferson ; Connie, Becker.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:52:y:1999:i:1:p:119-148.

    Full description at Econpapers || Download paper

  46. Conditional Market Timing with Benchmark Investors. (1998). Ferson, Wayne ; Schill, Michael ; Myers, David ; Becker, Connie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6434.

    Full description at Econpapers || Download paper

  47. Robustness of selectivity and timing measures of performance based on quadratic and dummy variable regressions. (1997). Chung, Richard ; Kryzanowski, Lawrence.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:6:y:1997:i:3:p:257-262.

    Full description at Econpapers || Download paper

  48. Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance. (1996). Ferson, Wayne ; Christopherson, Jon A. ; Glassman, Debra A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5830.

    Full description at Econpapers || Download paper

  49. Information quality, performance measurement, and security demand in rational expectations economies. (1995). Noe, Thomas ; Ramamurtie, Buddhavarapu Sailesh .
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:95-4.

    Full description at Econpapers || Download paper

  50. A contingent claim approach to performance evaluation. (1993). Jagannathan, Ravi ; Glosten, Lawrence R..
    In: Staff Report.
    RePEc:fip:fedmsr:159.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-13 07:34:36 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.