Bayesian Alphas and Mutual Fund Persistence

By Jeffrey A. Busse, Paul J. Irvine. 2006

141 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f7de1df2c61faeedf26d9739af5e3bf431327e63

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Citations in the corpus

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.”
Correlation Risk and Optimal Portfolio Choice (2010, methodology): “We calibrate the model and find that the optimal demand to hedge correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand.”
Option trading and individual investor performance (2009, unknown): “This is consistent with evidence documented by Coval and Shumway (2005), who show that professional future traders are highly loss averse.”
Improved Forecasting of Mutual Fund Alphas and Betas (2007, methodology): “Carhart’s (1997) paper documents how momentum returns can make it appear that some managers can, at least temporarily, appear to produce positive alphas going forward even when they cannot.”
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis (2007, methodology): “KTWW and Busse and Irvine (2006) apply the bootstrap and Bayesian methodologies, respectively, to mutual fund returns.”
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).”
Yet Another Puzzle? The Relation between Price and Performance in the Mutual Fund Industry (2007, unknown): “…recent entries to this literature include Malkiel (1995); Brown and Goetzmann (1995); Gruber (1996); Carhart (1997); Daniel et al. (1997), Hendricks et al. (1993); Elton et al. (1996); Wermers (2000); Cohen et al. (2005); Kacperczyk et al. (2005); Busse and Irvine (2006); Kosowski et al. (2006).”
Style Effects in the Cross-Section of Stock Returns (2004, unknown): “KTWW and Busse and Irvine (2005) apply the bootstrap and Bayesian methodologies, respectively, to mutual fund returns.”