Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses

By Russ Wermers. 2000

1,711 citations recorded by the source corpus.

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Citations in the corpus

Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance (2013, background): “2Studies that document the poor track record of active mutual funds include Malkiel (1995), Gruber (1996), Carhart (1997), and Wermers (2000).”
Caught on tape: Institutional trading, stock returns, and earnings announcements (2009, background): “, Hendricks, Patel, and Zeckhauser, 1993; Carhart, 1997) or the returns on the portfolios that they report quarterly (e.g., Daniel, Grinblatt, Titman, and Wermers, 1997; Wermers, 2000).”
Investing In Equity Mutual Funds (2002, positive): “Daniel, Grinblatt, Titman, and Wermers (1997) and Wermers (2000), for example, use such data in characteristic-based studies of fund performance.”
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2013, positive): “Wermers, Russ, 2001, The potential effects of more frequent portfolio disclosure on mutual fund performance, Investment Company Institute Perspective 7, 1–12.”
Style Effects in the Cross-Section of Stock Returns (2004, positive): “Other researchers who use CRSP mutual fund data include Carhart (1997), Zheng (1999), and Wermers (2000).5 Following the standard practice in the mutual fund literature, we omit international funds, sector funds, and domestic hybrid funds.”
Mutual Fund Performance and Governance Structure: The Role of Portfolio Managers and Boards of Directors (2012, neutral): “…in the financial services industry are managers of active portfolios; many mutual 1 Examples of past papers that examine mutual fund performance without considering the governance structure of funds include Malkiel (1995), Carhart (1997), Grinblatt and Titman (1989, 1993), and Wermers (2000).”
Investors' Horizons and the Amplification of Market Shocks (2013, background): “Finally, Chen, Jegadeesh and Wermers (2000) and Yan and Zhang (2009) suggest that investors with high portfolio turnover may have better stock picking ability.”
Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn (2011, result): “Such large-scale evidence of outperformance is rare in the investment world, and is in sharp contrast to the documented experience with mutual funds, for example, which have zero or negative alpha after fees (see Wermers, 2000).”
A flow-based explanation for return predictability (2012, neutral): “A number of authors have looked at aggregate mutual fund holding and trading decisions, but have at best found mixed evidence regarding manager ability (e.g., Chen, Jegadeesh, and Wermers (2000); Wermers (1999, 2000)).”
Investing in Mutual Funds when Returns are Predictable (2006, positive): “(5)Modeling beta variation with information variables goes back to Shanken (1990). Modeling business cycle variables using a vector autoregression of order one has been previously applied by Kandel and Stambaugh (1996), Barberis (2000), Avramov (2002, 2004), and Avramov and Chordia (2005b).”
Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns (2008, methodology): “To match the two datasets we use a matching procedure base on TICKER symbols and fund names, similar in spirit to the technique proposed by Wermers (2000).”