Academic Papers
Active vs. Passive Investing
| Author | Year | Title | Publication |
|---|---|---|---|
| Barber, B., T. Odean, and L. Zheng |
2005 | “Out of Sight, Out of Mind: The Effects of Expenses on Mutual Funds Flows” | The Journal of Business |
| Bollen, N. and J. Busse, 2005 |
2005 | “Short-Term Persistence is Mutual Fund Performance” | Review of Financial Studies |
| Carhart, M., J. Carpenter, A. Lynch, and D. Musto |
2002 | “Mutual Fund Survivorship” | Review of Financial Studies |
| Chang, E. and W. Lewellen | 2008 | “Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns“ | Journal of Financial Economics |
| French, K. | 2008 | “The Cost of Active Investing” | Journal of Finance |
| Grinblatt, M. and S. Titman | 1992 | “The Persistence of Mutual Fund Performance” | Journal of Finance |
| Hendricks, D., J. Patel, and R. Zeckhauser | 1993 | “Hot Hands in Mutual Funds, Short-Run Persistence of Relative Performance, 1974-1988” | Journal of Finance |
| Henriksson, R. | 1984 | “Market Timing and Mutual Fund Performance: An Empirical Investigation” | The Journal of Business |
| Jensen, M. | 1968 | “The Performance of Mutual Funds in the Period 1945-1964“ | Journal of Finance |
| Lewellen, W., R. Lease, and G. Schlarbaum |
1979 | “Investment Performance and Investor Behavior” | Journal of Financial and Quantitative Analysis |
| Pfeiffer, S. and H. Evensky | 2012 | “Modern Fool’s Gold: Alpha in Recessions” | Journal of Investing |
| Sharpe, W. | 1966 | “Mutual Fund Performance” | The Journal of Business |
| Sharpe, W. | 1991 | “The Arithmetic of Active Management” | Financial Analysts Journal |
| Treynor, J. and K. Mazuy | 1966 | “Can Mutual Funds Outguess the Market?” | Harvard Business Review |
Alternative Investments
| Author | Year | Title | Publication |
|---|---|---|---|
| Barber, B. and G. Wang | 2011 | Do (Some) University Endowments Earn Alpha | Working Paper |
| Dichev, I. and G. Yu | 2011 | Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn | Journal of Financial Economics |
| Fung, W., D. Hsieh, N. Naik, and T. Ramadora | 2008 | Hedge Funds: Performance, Risk, and Capital Formation | Journal of Finance |
| Kaplan, S. and A. Schoar | 2005 | Private Equity Performance: Returns, Persistence, and Capital Flows | Journal of Financial |
| Liang, B. | 2001 | Hedge Funds: The Living and the Dead | Journal of Financial and Quantitative Analysis |
| Malkiel, B. and A. Saha | 2005 | Hedge Funds: Risk and Return | Financial Analysts Journal |
| Malkiel, B., A. Grecu, and A. Saha | 2007 | Why do Hedge Funds Stop Reporting Their Performance? | Journal of Portfolio Management |
| Mason, C. and R. Harrison | 2000 | Is it Worth it? The Rates of Return from Informal Venture Capital Investments | Journal of Business Venturing |
| Mulcahy, D., B. Weeks, and H. Bradley | 2012 | Lessons from Twenty Years of the Kauffman Foundation’s Investments in Venture Capital Funds and the Triumph of Hope over Experience | Working Paper |
| Phalippou, L. and O. Gottschalg | 2009 | The Performance of Private Equity Funds | Review of Financial Studies |
| Phalippou, L. and M. Zollo | 2005 | What Drives Private Equity Fund Performance | Working Paper |
| Stulz, R. | 2007 | Hedge Funds: Past, Present, and Future | The Journal of Economic Perspectives |
Behavioral Finance
| Author | Year | Title | Publication |
|---|---|---|---|
| Lo, A. | 2005 | “Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis” | Journal of Investment Consulting |
| Barberis, N. and R. Thaler | 2003 | “A Survey of Behavioral Finance” | Handbook of the Economics of Finance |
| Shiller, R. | 2003 | “From Efficient Markets Theory to Behavioral Finance” | The Journal of Economic Perspectives |
Factor Investing
| Author | Year | Title | Publication |
|---|---|---|---|
| Campbell, J. and R. Shiller | 1998 | “Valuation Ratios and the Long-Run Stock Market Outlook” | Journal of Portfolio Management |
| Carhart, M. | 1997 | “On Persistence in Mutual Fund Performance” | Journal of Finance |
| Fama, E. and K. French | 2014 | “A Five-Factor Asset Pricing Model” | Working Paper |
| Fama, E. and K. French | 2004 | “The Capital Asset Pricing Model: Theory and Evidence” | The Journal of Economic Perspectives |
| Fama, E. and K. French | 1993 | “Common Risk Factors in the Returns of Stocks and Bonds” | Journal of Financial Economics |
| Fama, E. and K. French | 1995 | “Size and Book-to-Market Factors in Earnings and Returns” | Journal of Finance |
| Fama, E. and K. French | 1992 | “The Cross-Section of Expected Stock Returns” | Journal of Finance |
| Novy-Marx, R. | 2013 | “The Other Side of Value: The Gross Profitability Premium” | Journal of Financial Economics |
Financial Media
Individual Investor Performance
| Author | Year | Title | Publication |
|---|---|---|---|
| Barber, B. and T. Odean | 2006 | “All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors” | Review of Financial Studies |
| Barber, B. and T. Odean | 2011 | “The Behavior of Individual Investors” | Working Paper |
| Barber, B. and T. Odean | 2000 | “The Courage of Misguided Convictions: The Trading Behavior of Individual Investors” | Working Paper |
| Barber, B. and T. Odean | 2000 | “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors” | Journal of FInance |
Market Efficiency
| Author | Year | Title | Publication |
|---|---|---|---|
| Dimson, E. and M. Mussavian | 1998 | “A Brief History of Market Efficiency” | European Financial Management |
| Fama, E. | 1969 | “Efficient Capital Markets: A Review of Theory and Empirical Work” | Journal of Finance |
| Fama, E. | 1991 | “Efficient Capital Markets: II” | Journal of Finance |
| Fama, E. | 1997 | “Market Efficiency, Long-Term Returns, and Behavior Finance” | Journal of Financial Economics |
| Fama, E. | 1965 | “Random Walks in Stock Market Prices” | Financial Analysts Journal |
| Fama, E. | 1965 | “The Behavior of Stock-Market Prices” | The Journal of Business |
| Fama, E., L. Fisher, M. Jensen, and R. Roll | 1969 | “The Adjustment of Stock Prices to New Information” | International Economic Review |
Modern Portfolio Theory
| Author | Year | Title | Publication |
|---|---|---|---|
| Lintner, J. | 1965 | “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets” | The Review of Economics and Statistics |
| Markowitz, H. | 1952 | “Portfolio Selection” | Journal of Finance |
| Mossin, J. | 1966 | “Equilibrium in a Capital Asset Market” | Econometrica |
| Sharpe, W. | 1964 | “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk” | Journal of Finance |
| Tobin, J. | 1958 | “Liquidity Preference as Behavior Towards Risk” | The Review of Economics Studies |
| Treynor, J. | 1961 | “Toward a Theory of Market Value of Risky Assets” | Unpublished Manuscript |
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