Investing in Mutual Funds when Returns are Predictable

By Doron Avramov, Russ Wermers. 2006

143 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/361d3fcb9f6c6d54ac5a9c5d51038806af920daa

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Olivier Scaillet
2. L. Barras
3. Russ Wermers
4. Ľuboš Pástor
5. Doron Avramov
6. Tracie Woidtke
7. Clemens Sialm
8. Rob Stambaugh

In Finance

1. Olivier Scaillet
2. L. Barras
3. Russ Wermers
4. S. Chen
5. Ľuboš Pástor
6. Doron Avramov
7. Tracie Woidtke
8. Clemens Sialm

In Management Science and Operations Research

1. L. Barras
2. Olivier Scaillet
3. Russ Wermers
4. Xian Wang
5. Zongwu Cai

Citations in the corpus

• False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas. (2005, methodology): “q − ∈ [0, 1] is a positive scalar.”
• Do Mutual Funds Time the Market? Evidence from Portfolio Holdings (2007, unknown): “In a recent study, Avramov and Wermers (2006) document that optimal portfolios of mutual funds formed on macroeconomic information exhibit large variations in industry tilt over the business cycle.”
• Style Effects in the Cross-Section of Stock Returns (2004, unknown): “Second, further insights may be obtained by applying Bayesian methods proposed by Avramov and Wermers (2005) to the study the problem of investing in hedge funds when returns are predictable.”