Day Trading International Mutual Funds: Evidence and Policy Solutions

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Premiums-Discounts and Exchange Traded Funds (2006, methodology): “2See Engle and Granger [1987] for this theory and specification.”
Should Benchmark Indices Have Alpha? Revisiting Performance (2010, unknown): “…CRSP, with the exception of quarterly holdings data from Thomson Financial, self-reported benchmark index data from Morningstar, and daily fund returns before 2001 from a survivorship-free database originally obtained from the Wall Street Web and used by Goetzmann, Ivkovic, and Rouwenhorst (2001).”
Mutual Fund Attributes and Investor Behavior (2007, background): “Similarly, Guerard (1997) finds that those stocks screened from the Vantage Global Advisors universe of 1,300 stocks of are considerably larger and more valueoriented than stocks that pass the screens from 1990 to 1994.”
Unobserved Actions of Mutual Funds (2008, unknown): “Goetzmann, Ivkovic, and Rouwenhorst (2001) and Zitzewitz (2003) examine such stale-price arbitrage losses for international mutual funds.”
Improved Forecasting of Mutual Fund Alphas and Betas (2007, methodology): “(7)One solution can be found in Grinblatt and Titman (1994). The methodology they use avoids a direct comparison against a specific portfolio, and instead uses an “endogenous” benchmark.”
Side-by-Side Management of Hedge Funds and Mutual Funds (2010, unknown): “5 See also Holmstrom and Milgrom (1987), Jensen and Murphy (1990), Hall and Liebman (1998), and Guay (1999), among others.”