Mutual Fund Performance with Learning Across Funds

By Christopher S. Jones, Jay Shanken. 2005

150 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f64de497dc77ff77753c7c22fbfac5f9e21f5598

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Citations in the corpus

Learning in Financial Markets (2009, background): “Examples of studies that use Bayesian empirical techniques to analyze the performance of money managers include Baks, Metrick, and Wachter (2001), Pástor and Stambaugh (2002a), Jones and Shanken (2005), Busse and Irvine (2006), and Kosowski, Naik, and Teo (2007).”
Investing in Socially Responsible Mutual Funds (2005, unknown): “Recently, Jones and Shanken (2005) and Stambaugh (2002) have modeled prior beliefs incorporating dependence across funds.”
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas. (2005, unknown): “In further simulations, we impose other types of dependencies, such as residual block correlations or residual factor dependencies, as in Jones and Shanken (2005).”
Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? (2009, background): “Bayesian portfolio choice studies (Baks, Metrick, and Wachter (2001), Jones and Shanken (2005), Pastor and Stambaugh (2002)) place an informative prior on estimates of mutual fund skill (intercepts from regressions of returns on factors), and argue based on related ideas that this informative prior…”
Bayesian Alphas and Mutual Fund Persistence (2006, unknown): “Jones and Shanken (2003) incorporate prior”
Investing in Mutual Funds when Returns are Predictable (2006, background): “9 Stambaugh (2003) and Jones and Shanken (2005) explore survival issues in a framework that accounts for”
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis (2007, background): “Jones and Shanken (2005) take advantage of prior beliefs about aggregate fund performance to estimate individual mutual fund performance.”
Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance (2007, unknown): “However, although these approaches allow for more efficient inference, Jones and Shanken (2005) and Busse and Irvine (2006) demonstrate that the predictive accuracy of Bayesian alphas is greatly affected by the investor’s prior belief about managerial skill.”