Mutual Fund Performance and Seemingly Unrelated Assets

By Daren E. Miller. 2002

168 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/57e30cefd4f8de5752cab450b7265051cb95a001

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Citations in the corpus

Time-Varying Fund Manager Skill: Time-Varying Fund Manager Skill (2012, unknown): “Our finding that some managers have skill is consistent with a number of recent papers in the empirical mutual fund literature, e.g., Pástor and Stambaugh (2002), Kacperczyk, Sialm, and Zheng (2005, 2008), Kacperczyk and Seru (2007), Christoffersen, Keim, and Musto (2007), Cremers and Petajisto…”
Mutual Fund Performance with Learning Across Funds (2005, background): “7 The three industry factors are constructed in a manner similar to those in Pastor and Stambaugh (2002).”
Should Benchmark Indices Have Alpha? Revisiting Performance (2010, unknown): “Furthermore, Pastor and Stambaugh (2002) show that including non-priced factors in a benchmark model will help in estimating alphas, even if we know the true ex ante pricing model.”
Judging Fund Managers by the Company They Keep (2005, unknown): “With no reliance on holdings data, P¶astor and Stambaugh (2002) and Busse and Irvine (2002) show that additional precision in the traditional performance measures can be achieved by incorporating returns on seemingly unrelated passive assets.”
Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry (2009, unknown): “The procedure resembles the one used by Pastor and Stambaugh (2002).”
Bayesian Portfolio Analysis (2010, background): “F or p er so na l u se o nl y. Baks et al. (2001) and Pástor & Stambaugh (2002a, 2002b) assume that the prior on alpha is independent across funds.”
Investing in Mutual Funds when Returns are Predictable (2006, unknown): “Specifically, Schwert (2003) notes that the so-called financial market anomalies related to profit opportunities tend to disappear, reverse, or attenuate following their discovery.”