Reference List

A complete list of the most important articles and books dealing with performance measurement is provided below (please do not hesitate to contact us to enrich our collection of papers – from a basic introduction to the most advanced complex approaches developed in the field).

  1. Ackermann, C., McEnally, R. and Ravenscraft, D. (1999) The Performance of Hedge Funds: Risk, Return, and Incentives. Journal of Finance 54: 833-874.
    Abstract / Where to find it

  2. Admati, A.R. and Ross, S.A. (1985) Measuring Investment Performance in a Rational Expectations Equilibrium Model. Journal of Business 58: 1-26.
    Abstract / Where to find it
  3. Aftalion, F. and Poncet, P. (1991) Les mesures de performance des OPCVM : problèmes et solutions. Revue Banque 517: 582-588.
    Abstract / Where to find it
  4. Aftalion, F. and Poncet, P. (2003) Les techniques de mesure de performance. Paris: Economica.
    Cover / Where to find it
  5. Agnesens, J. (2013) A Statistically Robust Decomposition of Mutual Fund Performance, the Academic Literature, Foundations and Trends in Finance, 37(10), 3867-3877.
    Abstract / Where to find it
  6. Agyei-Ampomah, S., Clare, A., Mason, A. and Thomas, S. (2015) On luck versus Skill when Performance Benchmarks are Style-Consistent, Journal of Banking & Finance, 59, 127-145.
    Abstract / Where to find it
  7. Agarwal, V. Daniel, N. and Naik, N. (2011) Do Hedge Funds Manage their Reported Returns?, Review of Financial Studies, 24(10), 3281-3320.
    Abstract / Where to find it
  8. Agrawal, V. Daniel, N. and Naik, N. (2009) Effect of Managerial Incentives and Discretion on Performance of Hedge Funds, Journal of Finance, 64(5), 2221-2256.
    Abstract / Where to find it
  9. Agarwal, V., Fung, W., Loon, Y. and Naik, N. (2011) Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market, Journal of Empirical Finance, 18(2), 175-194.
    Abstract / Where to find it
  10. Appel, I., Gormley, T. and Keim, D. (2016) Passive investors, not passive owners, Journal of Financial Economics, 121, 111-141.
    Abstract / Where to find it
  11. Avramov, D., Kosowski, R., Naik, N. and Teo, M. (2011) Hedge Funds, Managerial Skill and Macroeconomic Variables, Journal of Financial Economics, 99(3), 672-692.
    Abstract / Where to find it
  12. Agarwal, V., Mullally, K.A. and Naik, N.Y. (2015) The Economics and Finance of Hedge Funds: A Review of the Academic Literature, Foundations and Trends in Finance, 10(1), 1-111.
    Abstract / Where to find it
  13. Agarwal, V. and Naik, N.Y. (2000) Multi-Period Performance Persistence Analysis of Hedge Funds. The Journal of Financial and Quantitative Analysis, 35(3), 327-342.
    Cover / Where to find it
  14. Aït-Shahalia, Y., Parker, J.A. and Yogo, M. (2004) Luxury Goods and the Equity Premium. Journal of Finance 59: 2959-3004.
    Abstract / Where to find it
  15. Amin, G.S. and Kat, H.M. (2003) Hedge Fund Performance 1990-2000: Do the "Money Machines" Really add Value? Journal of Financial and Quantitative Analysis 38: 251-274.
    Abstract / Where to find it
  16. Ang, J.S. and Chua, J.H. (1979) Composite Measures for the Evaluation of Investment Performance. Journal of Financial and Quantitative Analysis 14: 361-384.
    Abstract / Where to find it
  17. Ardia, D. and Boudt, K. (2014) The peer performance of hedge funds. SSRN Working Paper 53 pages.
    Abstract / Where to find it
  18. Ardia, D. and Boudt, K. (2015) Testing Equality of Modified Sharpe Ratios. Finance Research Letters, 13, 97-104.
    Abstract / Where to find it
  19. Arditti, F.D. (1971) Another Look at Mutual Fund Performance. Journal of Financial and Quantitative Analysis 6(3): 909-912.
    Abstract / Where to find it
  20. Arrow, K.J. (1971) Essays in the Theory of Risk Bearing. Chicago, IL: Markham Publishing Co.
    Where to find it
  21. Arthur, D., Schoenmaker, R., Hodkiewicz, M. and Muruvan, S. (2016) Asset Planning Performance Measurement, Proceedings of the 10th World Congress on Engineering Asset Management (WCEAM 2015), 79-95.
    Abstract / Where to find it
  22. Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D. (1999) Coherent Measures of Risk. Mathematical Finance 9: 203-228.
    Abstract / Where to find it
  23. Babalos, V., Mamatzakis, E. and Matousek R. (2015) The Performance of US Equity Mutual Funds, Journal of Banking & Finance, 52, 217-229.
    Abstract / Where to find it
  24. Bacon, C.R. (2008a) Practical Portfolio Performance Measurement and Attribution. Chichester: Wiley.
    Cover / Where to find it
  25. Bacon, C.R. (2008b) How sharp is the Sharpe-ratio? - Risk-adjusted Performance Measures. Statpro White Paper, 13 pages.
    Abstract / Where to find it
  26. Bacon, C.R. (2012) Practical Risk-Adjusted Performance Measurement. Chichester: Wiley.
    Cover / Where to find it
  27. - Banker, R, Chen, J. and Klumpes, P. (2016) A trade-level DEA model to evaluate relative performance of investment fund managers, European Journal of Operational Research, 255, 903-910.
    Abstract / Where to find it
  28. Banegas, A., Gillen, B. Timmermann, A. and Wermers, R. (2013) The Cross Section of Conditional Mutual Fund Performance in European Stock Markets. Journal of Financial Economics 108(3), 699-726.
    Abstract / Where to find it
  29. Barberis, N., Huang, M. and Santos, T. (2001) Prospect Theory and Asset Prices. Quarterly Journal of Economics 116: 1-53.
    Abstract / Where to find it
  30. Barroso, P. and Santa-Clara, P. (2015) Momentum Has Its Moments. forthcoming in Journal of Financial Economics, 39 pages.
    Abstract / Where to find it
  31. Basso, A. and Funari, S. (2001) A Data Envelopment Analysis Approach to Measure the Mutual Fund Performance. European Journal of Operational Research, 135(3): 477-492.
    Abstract / Where to find it
  32. Bauer, R., Koedijk, JK, K. and Otten, R. (2005) International Evidence on Ethical Mutual Fund Performance and Investment. Journal of Banking and Finance, 29: 1751–1767
    Abstract / Where to find it
  33. Berk, J. and Green, R. (2004) Mutual Fund Flows and Performance in Rational Markets. Journal of Political Economy, 112(6), 1269–1295.
    Abstract / Where to find it
  34. Bernardo, A.E. and Ledoit, O. (2000) Gain, Loss, and Asset Pricing. Journal of Political Economy 108: 144-172.
    Abstract / Where to find it
  35. Biagini, S. and Bion-Nadal, J. (2014) Dynamic Quasi Concave Performance Measures. Journal of Mathematical Economics, 55, 143-153.
    Abstract / Where to find it
  36. Biagini, S. and Pinar, M. (2015) The Best Gain-loss Ratio is a Poor Performance Measure. SIAM Journal of Financial Mathematics 4, 228-242.
    Abstract / Where to find it
  37. Biglova, A., Ortobelli, S., Rachev, S.T. and Stoyanov, S. (2004) Different Approaches to Risk Estimation in Portfolio Theory. Journal of Portfolio Management 31: 103-112.
    Abstract / Where to find it
  38. Billio, M., Jannin, G., Maillet, B. and Pelizzon, L. (2013) Portfolio Performance Measurement and A New Generalized Utility-based N-moment Measure. Working Paper, Ca'Foscari University of Venice, 34 pages.
    Abstract / Where to find it
  39. Billio, M., Caporin, M. and Costola, M. (2015) Backward/Forward Optimal Combination of Performance Measures for Equity Screening. The North American Journal of Economics and Finance, 34, 63-83.
    Abstract / Where to find it
  40. Black, F. (1972) Capital Market Equilibrium with Restricted Borrowing. Journal of Business 45: 444-455.
    Abstract / Where to find it
  41. Black, F., Jensen, M. and Scholes, M. (1972) The Capital Asset Pricing Model: Some Empirical Tests, In M. Jensen ed., Studies in the Theory of Capital Markets. New York: Praeger Publishers, 79–121.
    Abstract / Where to find it
  42. Blake, D. and Timmermann, A. (1998) Mutual Fund Performance: Evidence from the UK. European Finance Review, Discussion Paper PI-9903, 57-77.
    Abstract / Where to find it
  43. Blake, D., Lehmann, B. and Timmermann A. (1999) Asset Allocation Dynamics and Pension Fund Performance. The Journal of Business, 72(4), 429–461.
    Abstract / Where to find it
  44. Blake, C.R., Elton, E.J. and Gruber, M.J. (1993) The Performance of Bond Mutual Funds. The Journal of Business, 72(4), 429–461.
    Abstract / Where to find it
  45. Blake, C.R. and Morey, M.R. (2000) Morningstar Ratings and Mutual Fund Performance. Journal of Financial and Quantitative Analysis, 72(4), 429–461.
    Abstract / Where to find it
  46. Bogle, J.C. (1998) The Implications of Style Analysis for Mutual Fund Performance Evaluation. Journal of Portfolio Management, 24(4), 34-42.
    Abstract / Where to find it
  47. Bollen, N.P.B. and Busse, J.A. (2001) On the Timing Ability of Mutual Fund Managers. Journal of Finance 56: 1075-1094.
    Abstract / Where to find it
  48. Bollen, N.P.B. and Busse, J.A. (2004) Short-Term Persistence in Mutual Fund Performance. Review of Financial Studies 18: 569-597.
    Abstract / Where to find it
  49. Bonaccolto, G., Caporin, M. and Paterlini, S. (2015) Asset Allocation Strategies Based on Penalized Quantile Regression. Working Paper 30 pages.
    Abstract / Where to find it
  50. Bosch-Badia, M., Montllor-Serrats, J. and Tarrazon-Rodon, M. (2014) Unveiling the Embedded Coherence in Divergent Performance Rankings, Journal of Banking & Finance, 42, 154-165.
    Abstract / Where to find it
  51. Breloer, B., Scholz, H. and Wilkens, M. (2014) Performance of International and Global Equity Mutual Funds: do Country Momentum and Sector Momentum Matter?, Journal of Banking & Finance, 43, 58-77.
    Abstract / Where to find it
  52. Brennan, M.J. (1970) Taxes, Market Valuation and Corporate Financial Policy. National Tax Journal 23: 417-427.
    Abstract / Where to find it
  53. Briec, W., Kerstens, K. and Jokung, O. (2007) Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach. Management Science 53: 135-149.
    Abstract / Where to find it
  54. Brown, K., Harlow, W. and Starks L. (1996) Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry. The Journal of Finance, 51(1), 85–110.
    Abstract / Where to find it
  55. Brown, S.J., Goetzmann, W., Ibbotson, R. and Ross, S. (1992) Survivorship Bias in Performance Studies. The Review of Financial Studies, 5(4), 553–580.
    Abstract / Where to find it
  56. Brown, S.J. and Goetzmann, W.N. (1995) Performance Persistence. The Journal of Finance 50(2), 679–698.
    Abstract / Where to find it
  57. Brown, S.J. and Goetzmann, W.N. (1997) Mutual Fund Styles. Journal of Financial Economics 43: 373-399.
    Abstract / Where to find it
  58. Brown, S.J., Goetzmann, W.N. and Ibbotson, R.G. (1997) Offshore Hedge Funds: Survival and Performance 1989-1995.Yale School of Management Working Paper No. F-52B 38 pages.
    Abstract / Where to find it
  59. Brown, S.J. and Goetzmann, W.N. (2001) Hedge Funds with Style.NBER Working Paper #8173 35 pages.
    Abstract / Where to find it
  60. Brown, S., Goetzmann, W. and Ross, S. (1995) Survival, The Journal of Finance, 50 (3), 853-873.
    Abstract / Where to find it
  61. Brown, S.J., Kang, M., In, F.H. and Lee, G. (2010) Resisting the Manipulation of Performance Metrics: An Empirical Analysis of the Manipulation-Proof Performance Measure. Working Paper, Monash University, 59 pages.
    Abstract / Where to find it
  62. Brown, S. and Warner, J. (1980) Measuring Security Price Performance, Journal of Financial Economics, 8 (3), 205-258.
    Abstract / Where to find it
  63. Bucklew, J.A. (1990) Large Deviation Techniques in Decision, Simulation, and Estimation. New York, NY: Wiley.
    Cover / Where to find it
  64. Burke, G. (1994) A Sharper Sharpe Ratio. Futures 23: 56.
    Abstract / Where to find it
  65. Cantaluppi, L. and Hug, R. (2000) Efficiency Ratio: A New Methodology for Performance Measurement. Journal of Investing 9: 19-25.
    Abstract / Where to find it
  66. Capocci, D. and Hubner, G. (2004) Analysis of Hedge Fund Performance. Journal of Empirical Finance 11(1), 55-89.
    Abstract / Where to find it
  67. Caporin, M., Costola, M., Jannin, G. and Maillet, B. (2013) On the (Ab)Use of Omega? mimeo, 70 pages.
    Abstract / Where to find it - (coming soon...)
  68. Caporin, M., Jannin, G., Lisi, F. and Maillet, B. (2014) A Survey on the Four Families of Performance Measures. Journal of Economic Surveys 28(5), 917-942.
    Abstract / Where to find it
  69. Caporin, M. and Lisi, F. (2011) Comparing and Selecting Performance Measures using Rank Correlations. Economics: The Open-Access, Open-Assessment E-journal 5: 31 pages.
    Abstract / Where to find it
  70. Carhart, M.M. (1997) On Persistence in Mutual Fund Performance. Journal of Finance 52: 57-82.
    Abstract / Where to find it
  71. Casarin, R., Lazzarin, M., Pelizzon, L. and Sartore, D. (2005) Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds. European Journal of Finance 11: 297-308.
    Abstract / Where to find it
  72. Chan, P. and Walter, T. (2014) Investment Performance of “Environmentally-Friendly” Firms and their Initial Public Offers and Seasoned Equity Offers, Journal of Banking & Finance, 44, 177-188.
    Abstract / Where to find it
  73. Chang, E.C. and Lewellen, W.G. (1984) Market Timing and Mutual Fund Investment Performance. The Journal of Business 57(1), 57-72.
    Cover / Where to find it
  74. Chen, J., Hong, H., Huang, M. and Kubik D. (2004) Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization. American Economic Review 94(5), 51 pages.
    Cover / Where to find it
  75. Chauveau, T. (2004) L'équilibre d'un marché financier. Paris: Hermes.
    Cover / Where to find it
  76. Chauveau, T. and Maillet, B. (1997) Deux nouvelles mesures de performance. Documents de Travail de la Caisse des Dépôts et Consignations n°1997-03/FI.
    Where to find it
  77. Cherny, A. and Madan, D. (2009) New Measures for Performance Evaluation. Review of Financial Studies, 22(7), 2371-2406 pages.
    Abstract / Where to find it
  78. Chevalier, J. and Ellison, G. (1999) Are some Mutual Fund Managers Better than Others? Cross-sectional Patterns in Behavior and Performance. The Journal of Finance 54(3): 875-899.
    Cover / Where to find it
  79. Chrétien S. and Kammoun, M. (2015) Mutual Fund Performance Evaluation and Best Clienteles, Journal of Financial and Quantitative Analysis, Forthcoming, 65 pages.
    Abstract / Where to find it
  80. Coggin, T.D. and Hunter, J.E. (1993) A Meta-analysis of Mutual Fund Performance. Review of Quantitative Finance and Accounting 3(2): 189-201.
    Abstract / Where to find it
  81. Coggin, T., Fabozzi, F. and Rahman, S. (1993) The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation. The Journal of Finance 48(3): 1039–1055.
    Abstract / Where to find it
  82. Cogneau, P. and Hübner, G. (2015) The Prediction of Fund Failure Through Performance Diagnostics. Journal of Banking & Finance, 50, 224-241.
    Abstract / Where to find it
  83. Cogneau, P. and Hübner, G. (2009a) The (more than) 100 Ways to measure Portfolio Performance. Part 1: Standardized Risk-adjusted Measures. Journal of Performance Measurement 13: 56-71.
    Abstract / Where to find it
  84. Cogneau, P. and Hübner, G. (2009b) The (more than) 100 Ways to measure Portfolio Performance. Part 2: Special Measures and Comparison. Journal of Performance Measurement 14: 56-69.
    Abstract / Where to find it
  85. Coles, J.L., Daniel, N.D. and Nardari, F. (2006) Does the Choice of Model or Benchmark affect Inference in measuring Mutual Fund Performance? Working Paper, Arizona State University, 71 pages.
    Abstract / Where to find it
  86. Comer, G., Larrymore, N. and Rodriguez, J. (2009) Controlling for Fixed-Income Exposure in Portfolio Evaluation: Evidence from Hybrid Mutual Funds. Review of Financial Studies 22: 481-507.
    Abstract / Where to find it
  87. Connor, G. and Korajczyk, R.A. (1986) Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis. Journal of Financial Economics 15: 373-394.
    Abstract / Where to find it
  88. Cornell, B. (1979) Asymmetric Information and Portfolio Performance Measurement. Journal of Financial Economics 7: 381-390.
    Abstract / Where to find it
  89. Costola, M. and Caporin, M. (2015) Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices. University Ca' Foscari of Venice, Dept. of Economics Research Paper Series, 37 pages.
    Abstract / Where to find it
  90. Cumby, R.E. and Glen, J.D. (1990) Evaluating the Performance of International Mutual Funds. The Journal of Finance 45(2),497-521.
    Abstract / Where to find it
  91. Dahlquist, M., Engstrom, S. and Soderlind, P. (2000) Performance and Characteristics of Swedish Mutual Funds. The Journal of Financial and Quantitative Analysis 35: 409-423.
    Abstract / Where to find it
  92. Daniel, K., Grinblatt, M., Titman, S. and Wermers R. (1997) Measuring Mutual Fund Performance with Characteristic-based Benchmarks. The Journal of Finance 52(3), 1035–1058.
    Abstract / Where to find it
  93. Daniel, K. and Titman, S. (1999) Market Efficiency in an Irrational World. Financial Analysts Journal 55(6), 28-57.
    Abstract / Where to find it
  94. Darolles, S. and Gourieroux, C. (2010) Conditionally Fitted Sharpe Performance with an Application to Hedge Fund Rating. Journal of Banking and Finance 34: 578-593.
    Abstract / Where to find it
  95. Darolles, S., Gourieroux, C. and Jasiak, J. (2009) L-performance with an Application to Hedge Funds. Journal of Empirical Finance 16: 671-685.
    Abstract / Where to find it
  96. Darryll H., Jayendu P., Zeckhauser, R. (1993) Hot Hands in Mutual Funds: Short-run Persistence of Relative Performance, 1974-1988. Journal of Finance 48(1), 93-130.
    Abstract / Where to find it
  97. Datta, S., Gruskin, M. and Iskandar-Datta, M. (2015) On post-IPO Stock Price Performance: a Comparative Analysis of RLBOs and IPOs, Journal of Banking & Finance, 55, 187-203.
    Abstract / Where to find it
  98. Davis, J.L. (2001) Mutual Fund Performance and Manager Style. Financial Analysts Journal 57(1).
    Abstract / Where to find it
  99. Del Guercio, D. and Reuter, J. (2014) Mutual Fund Performance and the Incentive to Generate Alpha,Journal of Banking & Finance, 69(4), 1673-1704.
    Abstract / Where to find it
  100. Dellva, W.L. and Olson, G.T. (1998) The Relationship Between Mutual Fund Fees and Expenses and their Effects on Performance. The Financial Review. 33(1) 85-1040.
    Abstract / Where to find it
  101. Drew, M.E. and Stanford, J. (2001) Asset Selection and Superannuation Fund Performance: A note for Trustees. Economic Papers 20(1) 57-65.
    Abstract / Where to find it
  102. Dowd, K. (2000) Adjusting for Risk: An Improved Sharpe Ratio. International Review of Economics and Finance 9: 209-222.
    Abstract / Where to find it
  103. Dybvig, P.H. and Ross, S.A. (1985) Differential Information and Performance Measurement using a Security Market Line. Journal of Finance 40: 383-399.
    Abstract / Where to find it
  104. Edelen, R.M. (1999) Investor Flows and the Assessed Performance of Open-end Mutual Funds. Journal of Financial Economics 53(3), 439–466.
    Abstract / Where to find it
  105. Edelman, D. Fung, W. Hsieh, D. and Naik, N. (2012) Funds of Hedge Funds: Performance, Risk and Capital Formation 2005 to 2010, Financial Markets and Portfolio Management, 26(1), 87-108.
    Abstract / Where to find it
  106. Elamir, E.A.H and Seheult, A.H. (2003) Trimmed L-moments. Computational Statistics and Data Analysis 43: 299-314.
    Abstract / Where to find it
  107. Eling, M. and Tibiletti, L. (2010) Sharpe Ratio for Skew-normal Distributions: a Skewness-dependent Performance Trade-off?. Journal of Performance Measurement, 14(4), 34-48.
    Abstract / Where to find it
  108. Eling, M. (2012) A Decision-theoretic Foundation for Reward-to-risk Performance Measures. Journal of Banking and Finance, 36(7), 2077-2082.
    Abstract / Where to find it
  109. Eling, M. Tibiletti, L. Rossello, D. and Farinelli, S. (2011) One-size or Tailor-made Performance Ratios for Ranking Hedge Funds?. Journal of Derivatives and Hedge Funds, 16(4), 267-277.
    Abstract / Where to find it
  110. Elton, E.J. and Gruber, M.J. (1995) Modern Portfolio Theory and Investment Analysis. New York, NY: Wiley.
    Cover / Where to find it
  111. Elyasiani, E. and Zhang, L. (2015) Bank Holding Company Performance, Risk, and “Busy” Board of Directors, Journal of Banking & Finance, Volume 60, 239-251.
    Abstract / Where to find it
  112. Fama, E.F. (1972) Components of Investment Performance. Journal of Finance 27: 551-567.
    Abstract / Where to find it
  113. Fama, E. (1968) Risk, Return and Equilibrium: Some Clarifying Comments.Journal of Finance, 23(1), 29–40.
    Abstract / Where to find it
  114. Fama, E.F. and French, K.R. (1993) Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33: 3-56.
    Abstract / Where to find it
  115. Fama, E. and French, K. (1992) The Cross-Section of Expected Stock Returns, Journal of Finance, 47(2), 427–465.
    Abstract / Where to find it
  116. Fama, E. and French, K. (2016) A Five-Factor Asset Pricing Model, Journal of Financial Economics, 116, 1-22.
    Abstract / Where to find it
  117. Farinelli, S. and Tibiletti, L. (2008) Sharpe Thinking in Asset Ranking with One-sided Measures. European Journal of Operational Research 185: 1542-1547.
    Abstract / Where to find it
  118. Farinelli, S., Ferreira, M., Rossello, D., Thoeny, M. and Tibiletti, L. (2008) Beyond Sharpe Ratio: Optimal Asset Allocation using Different Performance Ratios. Journal of Banking & Finance 32: 2057-2063.
    Abstract / Where to find it
  119. Favre, L. and Galeano, J.-A. (2002) Mean-modified Value-at-Risk Optimization with Hedge Funds. Journal of Alternative Investment 5: 21-25.
    Abstract / Where to find it
  120. Feibel, B. (2003) Investment Performance Measurement. Hoboken (NJ): Wiley.
    Cover / Where to find it
  121. Ferson, W.E. and Schadt, R.W. (1996) Measuring Fund Strategy and Performance in Changing Economic Conditions. Journal of Finance 51: 425-461.
    Abstract / Where to find it
  122. Ferson, W. and Lin, J. (2014) Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity. The Journal of Finance, 69(4), 1565–1596.
    Abstract / Where to find it
  123. Ferson, W. and Mo, H. (2016) Alpha and Performance Measurement: The Effects of Investor Disagreement and HeterogeneityPerformance Measurement with Selectivity, Market and Volatility Timing. Journal of Financial Economics, 121(1), 93-110.
    Abstract / Where to find it
  124. Ferson, W. and Mo, H. (2016) Alpha and Performance Measurement: The Effects of Investor Disagreement and HeterogeneityPerformance Measurement with Selectivity, Market and Volatility Timing. Journal of Financial Economics, 121(1), 111-141.
    Abstract / Where to find it
  125. Focardi, S., Fabozzi, F. and Mitov, I. (2016) A New Approach to Statistical Arbitrage: Strategies based on Dynamic Factor Models of Prices and their Performance, Journal of Banking & Finance, 65, 134-155.
    Abstract / Where to find it
  126. French, C. (2003) The Treynor Capital Asset Pricing Model, Journal of Investment Management, 1(2), 60–72.
    Abstract / Where to find it
  127. García-Meca, E., García-Sánchez, I. and Martínez-Ferrero, J. (2015) Board Diversity and its Effects on Bank Performance: an International Analysis, Journal of Banking & Finance, 53, 202-214.
    Abstract / Where to find it
  128. Geman, H. and Kharoubi, C. (2003) Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification. Journal of Risk 5: 55-73.
    Where to find it
  129. Gemmill, G., Hwang, S. and Salmon, M. (2006) Performance Measurement with Loss Aversion. Journal of Asset Management 7: 190-207.
    Abstract / Where to find it
  130. Gini, C. (1912) Variabilita e Mutabilita, Contributio allo Studio delle Distribuzionie delle Relazione Statistiche. Studi Economico-Giuridici della Reale Universita di Cagliari 3: 3-159.

  131. Graham, J.R. and Harvey, C.R. (1997) Grading the Performance of Market Timing Newsletters. Financial Analysts Journal 53: 54-66.
    Abstract / Where to find it
  132. Gregoriou, G.N. and Gueyie, J.-P. (2003) Risk-adjusted Performance of Funds of Hedge Funds using a Modified Sharpe Ratio. Journal of Wealth Management 6: 77-83.
    Abstract / Where to find it
  133. Grinblatt, M. and Titman, S. (1989) Portfolio Performance Evaluation: Old Issues and New Insights. Review of Financial Studies 2: 393-421.
    Abstract / Where to find it
  134. Grinblatt, M. and Titman, S. (1994) A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques. Journal of Financial and Quantitative Analysis 29: 419-444.
    Abstract / Where to find it
  135. Grinold, R.C. and Kahn, R.N. (1996) Active Portfolio Management. New York, NY: McGraw-Hill.
    Where to find it
  136. Gropper, M., Jahera J. and Park, J. (2015) Political Power, Economic Freedom and Congress: Effects on Bank Performance, Journal of Banking & Finance, 60, 76-92.
    Abstract / Where to find it
  137. Henke, H. and Mählmann, T. (2016) The Effect of Social Screening on Bond Mutual Fund Performance, Journal of Banking & Finance, In Press, Accepted Manuscript, Available online 24 February 2016.
    Abstract / Where to find it
  138. Harvey, C. and Y. Liu, (2016) Lucky Factors, Working Paper, 33 pages.
    Abstract / Where to find it
  139. Henriksson, R.D. (1984) Market Timing and Mutual Fund Performance: An Empirical Investigation, Journal of Business, 57: 73-96.
    Abstract / Where to find it
  140. Henriksson, R.D. and Merton, R.C. (1981) On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. Journal of Business, 54: 513-533.
    Abstract / Where to find it
  141. Hentati-Kaffel, R. and de Peretti, P. (2015) Detecting performance persistence of hedge funds, Journal of Banking & Finance, 50, 608-615.
    Abstract / Where to find it
  142. Hentati-Kaffel, R. and de Peretti, P. (2015) Generalized runs tests to detect randomness in hedge funds returns, Economic Modelling, 52, 115-124.
    Abstract / Where to find it
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    Abstract / Where to find it
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