Unobserved Actions of Mutual Funds

By Marcin T. Kacperczyk, Clemens Sialm, Lu Zheng. 2008

451 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bdaf9d7892fb537505a4ce36ef13d4a7a061e659

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Citations in the corpus

The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, background): “In addition, several related papers propose to evaluate mutual fund performance by their use of public information (Kacperczyk and Seru, 2007), similarity of holdings to star funds (Cohen, Coval, and Pastor, 2005), and the effect of unobserved actions (Kacperczyk, Sialm, and Zheng, 2008).”
Improved Forecasting of Mutual Fund Alphas and Betas (2007, unknown): “A detailed derivation of the Kalman filter model presented here can be found in Mamaysky et al. (2007). To conserve space this Appendix presents just the necessary details for carrying out the estimation procedure.”
Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs (2012, unknown): “Keim and Madhavan (1995) find that institutional investors in their sample trade primarily using market orders and “show a surprisingly strong demand for immediacy, even in those institutions whose trades are based on relatively long-lived information.”
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2013, unknown): “…Grinblatt, Titman, and Wermers (1995), Daniel, Grinblatt, Titman, and Wermers (1997), Chen, Jegadeesh, and Wermers (2000), Wermers (2000, 2003), Kacperczyk, Sialm, and Zheng (2005, 2008), Wermers, Yao, and Zhao (2007), and Huang and Kale (2009) on mutual funds; and Griffin and Xu (2009) and…”
Side-by-Side Management of Hedge Funds and Mutual Funds (2010, unknown): “Alternative Measures of Fund Performance Given that the Cici et al. (2006) paper bases their main conclusions on comparing the return gap (see Kacperczyk et al., 2008) of side-by-side funds with their independent strategy cohorts, we estimate return gaps for our side-by-side managers and their…”