Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

By Stephen M. Horan. 2003

213 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/51a3a8f533141ee0a85b9e2dc17f10768b058b16

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Citations in the corpus

Measuring the timing ability and performance of bond mutual funds (2010, unknown): “A second, related cause of nonlinearity is "interim trading," studied by Goetzmann, 5 Ingersoll and Ivkovic (2000), Ferson and Khang (2002) and Ferson, Henry and Kisgen (2006).”
Improved Forecasting of Mutual Fund Alphas and Betas (2007, background): “Ferson and Khang (2002) extend the technique to condition the portfolio betas on exogenous variables such as macro economic data. (8)In response, Grinblatt and Titman (1989) propose a technique that can detect market timing abilities”
The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds (2002, background): “Consistent with this, Ferson and Khang (2001) report that the discontinued pension funds in their sample performed better than the sample as a whole.”
A nonparametric test of market timing (2003, unknown): “The static a–b analysis misses the diversified and dynamic aspects of managed portfolios (Admati et al., 1986; Ferson and Schadt, 1996; Becker et al., 1999; Ferson and Khang, 2001).”
Evaluating Government Bond Fund Performance with Stochastic Discount Factors (2006, unknown): “Using continuous-time models addresses an "interim trading bias " in performance measurement that arises when monthly returns are measured, while managers trade during the month (Goetzmann, Ingersoll and Ivkovic (2000), Ferson and Khang (2002)).”
Buy-Side Analysts, Sell-Side Analysts, and Investment Decisions of Money Managers (2006, unknown): “, Ferson and Khang (2002)). Also, we do not find that the size of a fund’s assets under management directly contributes to superior performance (see, e.g., Grinblatt and Titman (1989), Chen, Hong, Huang, and Kubik (2004)).”
Estimating the Dynamics of Mutual Fund Alphas and Betas (2008, unknown): “Ferson and Khang (2002) extend the technique to condition the portfolio betas on exogenous variables such as macro economic data. (2)See Breen, Glosten, and Jagannathan (1989) for an empirical estimate of the potential value of such actions, and Mamaysky and Spiegel (2002) for a theoretical treatmen”
Judging Fund Managers by the Company They Keep (2005, unknown): “1See, for example, Grinblatt and Titman (1993), Daniel, Grinblatt, Titman, and Wermers (1997), Wermers (2000), and Ferson and Khang (2002).”
Just How Much Do Individual Investors Lose by Trading (2007, background): “For studies of pension fund performance, see Ferson and Khang (2002), Lakonishok, Shleifer, and Vishny (1992), Coggin, Fabozzi, and Rahman (1993), Christopherson, Ferson, and Glassman (1998), Delguercio and Tkac (2002), Coggin and Trzcinka (2000), Ikenberry, Shockley, and Womack (1998).”