REFERENCES
- Aarts, F., and T. Lehnert. 2005. “On Style Momentum Strategies.” Applied Economics Letters 12 (13): 795–799. doi: 10.1080/13504850500373602
- Admati, A. R., and P. Pfleiderer. 1990. “Direct and Indirect Sale of Information.” Econometrica 58 (4): 901–928. doi: 10.2307/2938355
- Admati, A. R., and S. A. Ross. 1985. “Measuring Investment Performance in a Rational Expectations Equilibrium Model.” Journal of Business 58 (1): 1–26. doi: 10.1086/296280
- Avramov, D., T. Chordia, G. Jostova, and A. Philipov. 2007. “Momentum and Credit Rating.” Journal of Finance 62 (5): 407–427. doi: 10.1111/j.1540-6261.2007.01282.x
- Barberis, A., and N. Shleifer. 2003. “Style Investing.” Journal of Financial Economics 68 (2): 161–199. doi: 10.1016/S0304-405X(03)00064-3
- Barras, L., O. Scaillet, and R. Wermers. 2010. “False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.” Journal of Finance 65 (1): 179–216. doi: 10.1111/j.1540-6261.2009.01527.x
- Berk, J. C., and R. C. Green. 2004. “Mutual Fund Flows and Performance in Rational Markets.” Journal of Political Economy 21 (6): 1269–1295. doi: 10.1086/424739
- Bernstein, R. 1995. Style Investing. New York: John Wiley & Sons.
- Boyer, B. H. 2011. “Style-Related Comovement: Fundamentals or Labels?” Journal of Finance 66 (1): 307–332.
- Brown, S., and W. Goetzmann. 1995. “Performance Persistence.” Journal of Finance 50 (2): 679–698. doi: 10.1111/j.1540-6261.1995.tb04800.x
- Brown, S., and W. Goetzmann. 1997. “Mutual Fund Styles.” Journal of Financial Economics 43 (3): 373–399. doi: 10.1016/S0304-405X(96)00898-7
- Byrne, A., J. Fletcher, and P. Ntozi-Obwale. 2006. “An Exploration of the Conditional Timing Performance of UK Unit Trusts.” Journal of Business Finance & Accounting 33 (5-6): 816–838. doi: 10.1111/j.1468-5957.2006.00617.x
- Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” Journal of Finance 52 (1): 57–82. doi: 10.1111/j.1540-6261.1997.tb03808.x
- Chan, K. C., H. L. Chen, and J. Lakonishok. 2002. “On Mutual Fund Investment Styles.” Review of Financial Studies 15 (5): 1407–1437. doi: 10.1093/rfs/15.5.1407
- Chan, K. C., S. G. Dimmock, and J. Lakonishok. 2009. “Benchmarking Money Manager Performance: Issues and Evidence.” Review of Financial Studies 22 (11): 4553–4599. doi: 10.1093/rfs/hhp016
- Chan, K. C., N. Jegadeesh, and J. Lakonishok. 1996. “Momentum Strategies.” Journal of Finance 51 (5): 1681–1713. doi: 10.1111/j.1540-6261.1996.tb05222.x
- Chang, E. C., and W. C. Lewellen. 1984. “Market Timing and Mutual Fund Investment Performance.” Journal of Business 57 (1): 57–72. doi: 10.1086/296224
- Chen, H.-L., and W. De Bondt. 2004. “Style Momentum Within the S&P-500 Index.” Journal of Empirical Finance 11 (4): 483–507. doi: 10.1016/j.jempfin.2004.04.005
- Chen, H.-L., N. Jegadeesh, and R. Wermers. 2000. “The Value of Active Fund Management: An Examination of the Stockholdings and Trades of Fund Managers.” Journal of Financial and Quantitative Analysis 35 (1): 343–368. doi: 10.2307/2676208
- Chui, C. W., S. Titman, and K. C. Wei. 2000. Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets. Working Paper, Hong Kong Polytechnic University.
- Conrad, J., and G. Kaul. 1998. “An Anatomy of Trading Strategies.” Review of Financial Studies 11 (3): 489–519. doi: 10.1093/rfs/11.3.489
- Cooper, M., R. C. Gutierrez, and A. Hameed. 2004. “Market States and Momentum.” Journal of Finance 59 (3): 1345–1365. doi: 10.1111/j.1540-6261.2004.00665.x
- Cuthbertson, K., D. Nitzsche, and N. O'Sullivan. 2008. “UK Mutual Fund Performance: Skill or Luck.” Journal of Empirical Finance 15 (4): 613–634. doi: 10.1016/j.jempfin.2007.09.005
- Daniel, K., D. Hirschleifer, and A. Subrahmanyam. 1998. “Investor Psychology and Security Market Under- and Overreaction.” Journal of Finance 53 (6): 1839–1885. doi: 10.1111/0022-1082.00077
- Daniel, K., M. Titman, S. Grinblatt, and R. Wermers. 1997. “Measuring Mutual Fund Performance Using Characteristics-Based Benchmarks.” Journal of Finance 52 (3): 1035–1058. doi: 10.1111/j.1540-6261.1997.tb02724.x
- Davis, J. L. 2001. “Mutual Fund Performance and Manager Style.” Financial Analysts Journal 57 (1): 19–27. doi: 10.2469/faj.v57.n1.2416
- Doukas, J., and P. McKnight. 2005. “European Momentum Strategies, Information Diffusion and Investor Conservatism.” European Financial Management 11 (3): 313–338. doi: 10.1111/j.1354-7798.2005.00286.x
- Dybvig, P. H., and S. A. Ross. 1985. “Differential Information and Performance Measurement Using a Security Market Line.” Journal of Finance 40 (2): 393–399.
- Fama, E. F., and K. R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56. doi: 10.1016/0304-405X(93)90023-5
- Ferson, W. E., and C. R. Harvey. 1999. “Conditioning Variables and the Cross Section of Stock Returns.” Journal of Finance 54 (4): 1325–1360. doi: 10.1111/0022-1082.00148
- Fletcher, J. 1995. “An Examination of the Selectivity and Market Timing Performance of UK Unit Trusts.” Journal of Business Finance & Accounting 22 (1): 143–156. doi: 10.1111/j.1468-5957.1995.tb00676.x
- Fletcher, J., and D. N. Forbes. 2002. “UK Unit Trusts Performance: Does It Matter Which Benchmark or Measure Is Used?” Journal of Financial Services Research 21 (3): 195–218. doi: 10.1023/A:1015029410199
- Gallo, J., and L. Lockwood. 1999. “Fund Management Changes and Equity Style Shifts.” Journal of Portfolio Management 55 (5): 44–52.
- Grinblatt, M., and S. Titman. 1985. “Approximate Factor Structures: Interpretations and Implications for Empirical Tests.” Journal of Finance 40 (5): 1367–1373. doi: 10.1111/j.1540-6261.1985.tb02388.x
- Grinblatt, M., and S. Titman. 1989a. “Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings.” Journal of Business 62 (3): 393–416. doi: 10.1086/296468
- Grinblatt, M., and S. Titman. 1989b. “Portfolio Performance Evaluation: Old Issues and New Insights.” Review of Financial Studies 2 (3): 393–421. doi: 10.1093/rfs/2.3.393
- Grinblatt, M., and S. Titman. 1993. “Performance Measurement Without Benchmarks: An Examination of Mutual Fund Returns.” Journal of Business 66 (1): 47–68. doi: 10.1086/296593
- Haslem, J. A. 2006. “Assessing Mutual Fund Expenses and Transaction Costs.” Journal of Investing 15 (4): 52–56. doi: 10.3905/joi.2006.650144
- Henriksson, R. D. 1984. “Market Timing and Mutual Fund Performance: An Empirical Investigation.” Journal of Business 57 (1): 73–96. doi: 10.1086/296225
- Henriksson, R. D., and R. C. Merton. 1981. “On Market Timing and Investment Performance: Statistical Procedures for Evaluating Forecasting Skills.” Journal of Business 54 (5): 513–533. doi: 10.1086/296144
- Hong, H., T. Lim, and J. C. Stein. 2000. “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies.” Journal of Finance 55 (1): 265–295. doi: 10.1111/0022-1082.00206
- Hong, H., and J. C. Stein. 1999. “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets.” Journal of Finance 54 (6): 2143–2184. doi: 10.1111/0022-1082.00184
- Jain, P. C., and J. S. Wu. 2000. “Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows.” Journal of Finance 55 (2): 937–958. doi: 10.1111/0022-1082.00232
- Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance 48 (1): 65–91. doi: 10.1111/j.1540-6261.1993.tb04702.x
- Jegadeesh, N., and S. Titman. 2001. “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations.” Journal of Finance 56 (2): 699–720. doi: 10.1111/0022-1082.00342
- Jensen, M. 1968. “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance 23 (2): 389–416.
- Jensen, M. 1969. “Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios.” Journal of Business 42 (2): 167–247. doi: 10.1086/295182
- Karceski, J., M. Livingston, and E. S. O'Neal. 2005. Portfolio Transactions Costs at US Equity Mutual Funds. Working Paper, University of Florida.
- Kothari, S. P., and J. B. Warner. 2001. “Evaluating Mutual Fund Performance.” Journal of Finance 54 (5): 1985–2010. doi: 10.1111/0022-1082.00397
- Lee, C., and B. Swaminathan. 2000. “Pricing Momentum and Trading Volume.” Journal of Finance 55 (5): 2017–2069. doi: 10.1111/0022-1082.00280
- Lehman, B., and D. Modest. 1987. “Mutual Fund Performance Evaluations: A Comparison of Benchmarks and Benchmark Comparisons.” Journal of Finance 42 (2): 233–265. doi: 10.1111/j.1540-6261.1987.tb02566.x
- Lesmond, D. A., M. Schill, and C. Zhou. 2004. “The Illusory Nature of Momentum Profits.” Journal of Financial Economics 71 (2): 349–380. doi: 10.1016/S0304-405X(03)00206-X
- Lynch, A. W., and D. K. Musto. 2003. “How Investors Interpret Past Fund Returns.” Journal of Finance 58 (5): 2033–2058. doi: 10.1111/1540-6261.00596
- Macdonald, R. 1974. “Objectives and Performance of Mutual Funds, 1960–1969.” Journal of Financial and Quantitative Analysis 9 (3): 311–333. doi: 10.2307/2329866
- Moskowitz, T. J., and M. Grinblatt. 1999. “Do Industries Explain Momentum?” Journal of Finance 54 (4): 1249–1290. doi: 10.1111/0022-1082.00146
- Mullainathan, S. 2000. Thinking Through Categories. Working Paper, MIT.
- Pastor, L., and R. F. Stambaugh. 2010. On the Size of the Active Management Industry. Working Paper, CEPR.
- Quigley, G., and R. A. Sinquefield. 2000. “Performance of UK Equity Unit Trusts.” Journal of Asset Management 1 (1): 72–92. doi: 10.1057/palgrave.jam.2240006
- Rekenthaler, J., M. Gambera, and J. Charlson. 2006. “Estimating Portfolio Style in US Equity Funds: A Comparative Study of Portfolio-Based Fundamental Style Analysis and Returns-Based Style Analysis.” The Journal of Investing, 15 (3): 25–33. doi: 10.3905/joi.2006.650140
- Rouwenhorst, K. G. 1999. “Local Return Factors and Turnover in Emerging Stock Markets.” Journal of Finance 54 (4): 1439–1464. doi: 10.1111/0022-1082.00151
- Schwert, G. W. 2003. “Anomalies and Market Efficiency.” Chap. 15 in Handbook of the Economics of Finance, edited by G. M. Constantinides and R. Stulz. Amsterdam: Elsevier Science.
- Sharpe, W. F. 1992. “Asset Allocation: Management Style and Performance Measurement.” Journal of Portfolio Management 18 (2): 7–19. doi: 10.3905/jpm.1992.409394
- Treynor, J. L., and K. K. Mazuy. 1966. “Can Mutual Funds Outguess the Market?” Harvard Business Review 44 (3): 131–136.
- Ward, C. W. R., and A. Saunders. 1976. “UK Unit Trust Performance, 1964–1974.” Journal of Business Finance & Accounting 3 (4): 83–98. doi: 10.1111/j.1468-5957.1976.tb00694.x
- Wermers, R. 2000. “Mutual Fund Performance: An Empirical Decomposition Into Stock Picking Talent, Style, Transactions Costs, and Expenses.” Journal of Finance 55 (4): 1655–1695. doi: 10.1111/0022-1082.00263
- Wermers, R. 2012. A Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios. Working paper, University of Maryland.
- Zhang, X. F. 2006. “Information Uncertainty and Stock Returns.” Journal of Finance 61 (1): 105–136. doi: 10.1111/j.1540-6261.2006.00831.x