Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence

By Russ Wermers. 2003

525 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/301ea74c23b37fb1bc8360ea21763ee6280b8a2f

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Citations in the corpus

Looking for Someone to Blame: Delegation, Cognitive Dissonance, and the Disposition Effect (2014, unknown): “Separately, Frazzini (2006) and Wermers (2003) show that increased disposition-effect behavior is associated with lower performance for mutual fund managers.”
Scale and Skill in Active Management (2014, background): “Wermers (2003), Coval and Stafford (2007), Khan, Kogan, and Serafeim (2012), and Lou (2012) also find significant price impact associated with mutual fund trading.”
Mutual Fund Competition, Managerial Skill, and Alpha Persistence (2018, unknown): “Our analysis is also distinct from the Daniel, Grinblatt, Titman, and Wermers (1997)”
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2013, unknown): “…and Titman (1989, 1993), Grinblatt, Titman, and Wermers (1995), Daniel, Grinblatt, Titman, and Wermers (1997), Chen, Jegadeesh, and Wermers (2000), Wermers (2000, 2003), Kacperczyk, Sialm, and Zheng (2005, 2008), Wermers, Yao, and Zhao (2007), and Huang and Kale (2009) on mutual funds; and…”
Broker-Hosted Investor Conferences (2014, background): “(1997) and Wermers (2004) for a more detailed discussion of the construction of the DGTW benchmark portfolio.”
Portfolio Concentration and the Performance of Individual Investors (2008, unknown): “As a robustness check, we also compute excess returns relative to the appropriate Daniel, Grinblatt, Titman, & Wermers (1997) and Wermers (2004) portfolio, formed according to size, book-to-market, and momentum quintiles, and report the findings in Panel C of Table 6.”
Prospect Theory, Mental Accounting, and Momentum (2005, background): “…and Statman (1985), Case and Shiller (1988), Ferris, Haugen, and Makhija (1988), Odean (1998), Weber and Camerer (1998), Heath, Huddart, and Lang (1999), Grinblatt and Keloharju (2001), Genesove and Mayer (2001), Shapira and Venezia (2001), Kaustia (2001), Wermers (2003) and Frazzini (2004).”
Changes in Operational Efficiency and Firm Performance: A Frontier Analysis Approach (2013, unknown): “…is defined as the 12-month buyand-hold return minus the stock’s corresponding benchmark portfolio return according to firm size, book-to-market ratio, and momentum (Daniel, Grinblatt, Titman, and Wermers 1997; Wermers 2003) to directly control for firm characteristics known to affect stock returns.”
Mutual Fund Performance: Skill or Luck? (2005, background): “…(e.g. at least once per year) and the performance horizon is not longer than about one-year (e.g. Grinblatt and Titman 1992, Hendricks, Patel and Zechauser 1993, Brown and Goetzmann 1995, Carhart 1997, Wermers 2003, Blake and Morey 2000, Bollen and Busse 2004, Mamaysky, Spiegel and Zhang 2004).”