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M. Jensen (1969)
Risk, the Pricing of Capital Assets, and the Evaluation of Investment PortfoliosHarvard Business School: Negotiation
K. Smith (1978)
Is Fund Growth Related to Fund Performance?, 4
Stanley Kon, F. Jen (1979)
The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market EfficiencyThe Journal of Business, 52
John Gallo, Peggy Swanson (1996)
Comparative measures of performance for U.S.-based international equity mutual fundsJournal of Banking and Finance, 20
Roy. Henriksson (1984)
Market Timing and Mutual Fund Performance: An Empirical InvestigationThe Journal of Business, 57
R. Cumby, J. Glen (1990)
Evaluating the Performance of International Mutual FundsJournal of Finance, 45
(1987)
Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons
Outlines the models devised by Jensen (1968, 1969) and Treynor and Mazuy (1966) for measuring the performance of managed portfolios and related empirical research. Applies the Treynor‐Mazuy model to a sample of 17 Greek equity mutual funds using 1995‐1998 daily returns data and presents the results, which show no evidence that fund managers can select the right market timing or (except for four) undervalued securities.
Managerial Finance – Emerald Publishing
Published: Jun 1, 2001
Keywords: Accounting research; Investment management; Modelling; Performance; Greece
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