Evaluating Mutual Fund Performance

By S. Kothari, Jerold B. Warner. 2001

392 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/34d20f3d313f3b088cb30a8177e120663f9ea5d6

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Citations in the corpus

Does motivation matter when assessing trade performance? An analysis of mutual funds (2007, neutral): “, Jensen (1968), Lehman and Modest (1987), Ippolito (1989), Grinblatt and Titman (1989, 1992, 1993), Malkiel (1995), Gruber (1996), Carhart (1997), Daniel, Grinblatt, Titman, and Wermers (1997), Wermers (1999), Chen, Jagadeesh, and Wermers (2000), Wermers (2000), Kothari and Warner (2001), and Pinnu”
The Interim Trading Skills of Institutional Investors (2011, background): “Imprecision in the identification and estimated timing (and therefore execution price) of trades might limit researchers’ ability to identify superior trading skills if trades are motivated by short-lived private information and profitable trading opportunities dissipate quickly (Kothari and Warner ”
Yet Another Puzzle? The Relation between Price and Performance in the Mutual Fund Industry (2007, neutral): “9Wermers (2000), Kothari and Warner (2001), Kacperczyk et al. (2005) and Kosowsky et al. (2006), are only a few recent examples of papers employing Carhart’s model to measure mutual fund performance.”
Monthly Measurement of Daily Timers (2000, neutral): “Results obtained by Kothari and Warner (1997) show that biases in performance measurement via the HM model are smaller if the Fama-French three-factor asset pricing model is used instead of the CAPM (i.”
Performance Evaluation and Self-Designated Benchmark Indexes in the Mutual Fund Industry (2009, background): “…evidence also contributes to three major branches of the mutual fund literature: that on how mutual fund managers are and should be evaluated (e.g. Kothari and Warner, 2001; Cohen, Coval, and Pastor, 2005; Warner and Wu, 2005); that on the determinants of mutual fund ows (e.g. Chevalier and…”
On the Industry Concentration of Actively Managed Equity Mutual Funds (2005, positive): “Kothari and Warner (2001) show that examining the trades of mutual funds can”
Mutual Fund Performance: Skill or Luck? (2005, background): “…and Timmermann 1998, Blake, Lehmann and Timmerman 1999, Thomas and Tonks 2001), although it is worth pointing out that the power properties of standard tests of abnormal performance are quite low, even for relatively high levels of abnormal performance (e.g. 3% p.a., Kothari and Warner 2001) .”
A nonparametric test of market timing (2003, neutral): “The selectivity test answers the question whether the portfolio composed by a fund manager outperforms the benchmark portfolio in risk-adjusted terms (Jensen, 1972; Gruber, 1996; Ferson and Schadt, 1996; Kothari and Warner, 2001).”