Ferson, Wayne E. and Rudi Schadt, 1996, Measuring fund strategy and performance in changing economic conditions, Journal of Finance 51, 425-461. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
Mutual Fund Performance and Seemingly Unrelated Assets - Pastor, Stambaugh (2001) (Correct)
....managers have no ability to time the benchmark or nonbenchmark assets. More generally, our framework models a fund s sensitivities to passive assets as constant over time. One way of relaxing this assumption is to model these coef cients as linear functions of state variables, as for example in Ferson and Schadt (1996). In such a modication, passive asset returns scaled by the state variables can be viewed as returns on additional passive assets (dynamic passive strategies) The GMM formulation in (14) easily accommodates scaled returns, and the Bayesian approach developed here could be extended to such a ....
Ferson, Wayne E., and Rudi W. Schadt, 1996, Measuring fund strategy and performance in changing economic conditions, Journal of Finance 51, 425-461.
Explaining the Poor Performance of Consumption-based Asset.. - Campbell, COCHRANE (2000) (2 citations) (Correct)
....consumption based model in pricing size portfolios. For example, he reports a root mean square pricing error alpha of 0.094 percent per quarter for the CAPM and 0.54 percent per quarter for the consumptionbased model. More recently, multifactor models have improved on the CAPM. Shanken 1990 Ferson and Schadt 1996 , Jagannathan and Wang 1996 , and Cochrane 1996 extend the traditional CAPM by scaling the market factor with price ratio variables that reveal market expectations, such as the dividend price ratio or the term premium. This extended CAPM can be interpreted as a conditional CAPM, or as an ....
Ferson, Wayne E. and Rudi W. Schadt, 1996, Measuring fund strategy and performance in changing economic conditions, Journal of Finance 51, 425--461.
Mutual Fund Styles - Brown, al. (1995) (5 citations) (Correct)
....selection can 5 also result in time varying systematic risk characteristics. Recent studies of mutual fund manager behavior report unambiguous evidence of strategic changes in mutual fund portfolios. Grinblatt, Titman and Wermers (1993) identify herding activity by mutual fund managers. Ferson and Schadt (1993) find managers rebalance in anticipation of changing economic conditions. Brown, Harlow and Starks (1993) find systematic changes in risk, conditional upon past performance. Lakonishok, Schleifer, Thaler and Vishney (1991) find window dressing accounts for portfolio rebalancing by pension fund ....
Ferson, Wayne and Rudi Schadt, 1993, "Measuring Fund Strategy and Performance in Changing Economic Conditions," Working Paper, University of Washington School of Business Administration.
The Market as a Hedge - Polk (1999) (1 citation) (Correct)
No context found.
Ferson, Wayne E. and Rudi Schadt, 1996, Measuring fund strategy and performance in changing economic conditions, Journal of Finance 51, 425-461.
Performance Persistence: Evidence for the European.. - Grünbichler.. (1999) (Correct)
No context found.
Ferson, W.E./Schadt, R.W. (1996): Measuring fund strategy and performance in changing economic conditions, Journal of Finance, 51, 425-462.
Index Funds and Stock Market Growth - Goetzmann, Massa (1999) (1 citation) (Correct)
No context found.
Ferson, W. and R. Schadt, 1995, "Measuring Fund Strategy and Performance in Changing Economic Conditions", Journal of Finance
Investigating Underperformance by Mutual Fund Portfolios - Day, Wang, Xu (2000) (Correct)
No context found.
Ferson,W ayne E. and RudiW Schadt (1996), `Measuring Fund Strategy and Performance in Changing Economic Conditions', Journal of Finance, 51, 425-461.
Management Compensation and the Performance of Mutual Funds - Berkowitz, al. (1997) (Correct)
No context found.
Ferson, W.E. and Schadt, R.W. (1996), "Measuring Fund Strategy and Performance in Changing Economic Conditions",Journal of Finance, June, 425-462.
Performance Clustering and Incentives in the UK Pension.. - Blake, Lehmann.. (1998) (1 citation) (Correct)
No context found.
Ferson, W.E., and Schadt, R.W. (1996). 'Measuring Fund Strategy and Performance in Changing Economic Conditions'. Journal of Finance, 51, 425-462.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC