MUTUAL FUND PERFORMANCE EVALUATION - A COMPARISON OF BENCHMARKS AND BENCHMARK COMPARISONS

被引：188

作者：

LEHMANN, BN

MODEST, DM

机构：

[1] COLUMBIA UNIV,GRAD SCH BUSINESS,NEW YORK,NY 10027

[2] NATL BUR ECON RES,CAMBRIDGE,MA 02138

[3] UNIV CALIF BERKELEY,SCH BUSINESS ADM,BERKELEY,CA 94720

来源：

JOURNAL OF FINANCE | 1987年 / 42卷 / 02期

关键词：

D O I：

10.2307/2328251

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：233 / 265

页数：33

共 45 条

[1] MEASURING INVESTMENT PERFORMANCE IN A RATIONAL-EXPECTATIONS EQUILIBRIUM-MODEL [J].

ADMATI, AR ;

ROSS, SA .

JOURNAL OF BUSINESS, 1985, 58 (01) :1-26

[2] ON TIMING AND SELECTIVITY [J].

ADMATI, AR ;

BHATTACHARYA, S ;

PFLEIDERER, P ;

ROSS, SA .

JOURNAL OF FINANCE, 1986, 41 (03) :715-730

[3] CAPITAL MARKET EQUILIBRIUM WITH RESTRICTED BORROWING [J].

BLACK, F .

JOURNAL OF BUSINESS, 1972, 45 (03) :444-455

[4] INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].

BREEDEN, DT .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :265-296

[5] ARBITRAGE, FACTOR STRUCTURE, AND MEAN-VARIANCE ANALYSIS ON LARGE ASSET MARKETS [J].

CHAMBERLAIN, G ;

ROTHSCHILD, M .

ECONOMETRICA, 1983, 51 (05) :1281-1304

[6] MARKET TIMING AND MUTUAL FUND INVESTMENT PERFORMANCE [J].

CHANG, EC ;

LEWELLEN, WG .

JOURNAL OF BUSINESS, 1984, 57 (01) :57-72

[7]

CHEN NF, 1983, COMP APM CAPM MARKET

[8] PERFORMANCE-MEASUREMENT WITH THE ARBITRAGE PRICING THEORY - A NEW FRAMEWORK FOR ANALYSIS [J].

CONNOR, G ;

KORAJCZYK, RA .

JOURNAL OF FINANCIAL ECONOMICS, 1986, 15 (03) :373-394

[9] THE VALUE LINE ENIGMA (1965-1978) - A CASE-STUDY OF PERFORMANCE EVALUATION ISSUES [J].

COPELAND, TE ;

MAYERS, D .

JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (03) :289-321

[10] AN INTERTEMPORAL GENERAL EQUILIBRIUM-MODEL OF ASSET PRICES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

ECONOMETRICA, 1985, 53 (02) :363-384

← 1 2 3 4 5 →