The Persistence of Mutual Fund Performance

By Mark Grinblatt, Sheridan Titman. 1992

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Citations in the corpus

Sufficient Forecasting Using Factor Models (2015, methodology): “For the same reason, factor models have been widely employed in many applications, such as portfolio management (Fama and French, 1992; Carhart, 1997; Fama and French, 2015; Hou et al., 2015), large-scale multiple testing (Leek and Storey, 2008; Fan et al., 2012), high-dimensional covariance matrix…”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, unknown): “…“Implementation Details and Robustness Checks” that is available from the authors, the improved performance of the “dm” strategy for the “FF-4-factor” dataset is because the Carhart (1997) model provides a good description of the cross-sectional returns for the size- and book-to-market portfolios.”
Multifactor models and their consistency with the ICAPM (2012, unknown): “Overall, the Fama and French (1993) and Carhart (1997) models perform the best in consistently meeting the ICAPM restrictions.”
Does Realized Skewness Predict the Cross-Section of Equity Returns? (2015, methodology): “The four factor model employs the three Fama and French (1993) factors (excess market-return, size and book-to-market) and the Carhart (1997) momentum factor.”
Evaluating the Specification of Covariance Models for Large Portfolios (2007, unknown): “The three factor specification is motivated by the empirical asset pricing literature where a limited number of factors, often three, has been found sufficient to explain the cross-sectional variation in asset returns (Fama and French (1993) and Carhart (1997)).”
Strategic Flexibility and the Optimality of Pay for Sector Performance (2010, methodology): “We use the Carhart (1997) four-factor α during the executive’s tenure as a measure of firm performance.26 We then identify external CEOs hired from firms with positive four-factor αs as more talented than those hired from firms with negative αs.”
The Information Content of Trade Credit (2012, unknown): “The second dependent variable is the firm's Jensen's alpha, derived from either a three-factor (Fama and French, 1993) or four-factor (Carhart, 1997) asset pricing model, estimated over a threeyear horizon using monthly returns.”
Deal Size, Acquisition Premia and Shareholder Gains (2013, unknown): “R ft , is the equally - weighted , monthly calendar time portfolio excess return and the independent variables are the Fama and French ( 1993 ) and Carhart ( 1997 ) factors .”