Judging Fund Managers by the Company They Keep

By Randolph B. Cohen, Joshua D. Coval, Ľuboš Pástor. 2005

327 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e4dc2891a3f07a013e2c9850b59037128b4d208e

Citations in the corpus

Performance Evaluation and Self-Designated Benchmark Indexes in the Mutual Fund Industry (2009, unknown): “…to three major branches of the mutual fund literature: that on how mutual fund managers are and should be evaluated (e.g., Kothari and Warner, 2001; Cohen, Coval, and Pastor, 2005; Warner and Wu, 2005); that on the determinants of mutual fund flows (e.g., Chevalier and Ellison, 1997; Sirri and…”
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis (2007, unknown): “Similar information pooling across funds takes place in the approach developed by Cohen, Coval, and Pástor (2005) in which the historical returns and holdings of other mutual funds are used to evaluate the performance of a single mutual fund.”
A flow-based explanation for return predictability (2012, unknown): “For example, Coval and Stafford (2007) show that mutual fund managers tend to expand their existing holdings with capital inflows and liquidate their positions to pay for redemptions; such flow-induced trading, across mutual funds, can have a significant impact on individual stock returns and drive ”
How Active is Your Fund Manager? A New Measure That Predicts Performance (2009, unknown): “…about whether industry 4Various performance measures have been developed and applied by Jensen (1968), Grinblatt and Titman (1989, 1993), Gruber (1996), Daniel, Grinblatt, Titman, and Wermers (1997), Wermers (2000), Pastor and Stambaugh (2002), Cohen, Coval, and Pastor (2005), and many others.”
Mutual Fund Risk and Market Share Adjusted Fund Flows (2013, unknown): “Managers may be systematically varying their fund’s risk (Brown, Harlow and Starks (1996), Chevalier and Ellison (1997), Taylor (2003), Busse (2001), Qiu (2003), and Goriaev, Nijman, and Werker (2005)), but this does not appear to be motivated by some sort of fund flow”
Do Funds Make More When They Trade More (2016, unknown): “Cohen, Coval, and P´astor (2005) ﬁnd that funds whose portfolio decisions are similar to those of other funds with strong track records perform better.”
Performance and Persistence in Institutional Investment Management (2010, unknown): “More recently, Bollen and Busse (2005), Cohen, Coval, and Pástor (2005), Avramov and Wermers (2006), and Kosowski, Timmermann, Wermers, and White (2006) find predictability in performance even after controlling for momentum.”
Mutual Fund Competition, Managerial Skill, and Alpha Persistence (2018, unknown): “Related work includes Kacperczyk, Sialm, and Zheng (2005), Kacperczyk, Sialm, and Zheng (2007), Cremers and Petajisto (2009), and Amihud and Goyenko (2013).”
Risk Shifting and Mutual Fund Performance (2010, unknown): “…and Wachter (2001), Bollen and Busse (2001), Coval and Moskowitz (2001), Jiang (2003), Berk and Green (2004), Chen, Hong, Huang, and Kubik (2004), Cohen, Coval, and Pastor (2005), Gaspar, Massa, and Matos (2006), Kosowski, Timmermann, Wermers, and White (2006), Jiang, Yao, and Yu (2007),…”