Academic Papers


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[Academic Papers] Jim Cramer’s “Mad Money” Under Scrutiny

by Joseph Engelberg Caroline Sasseville and Jared Williams We use the popular television show Mad Money hosted by Jim Cramer to test theories of attention and limits to arbitrage. Stock recommendations on Mad Money constitute attention shocks to a large audience of individual traders. We find that stock recommendations lead to large overnight returns which […]

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[Academic Papers] Modern Fool’s Gold: Alpha In Recessions

by Shaun A. Pfeiffer and Harold R. Evensky Using 20 years of monthly mutual fund data, we find active portfolio management fails to add value above the higher costs it imposes on investors. These findings are relevant to both expansions and recessions. However, the empirical results suggest that active portfolio managers, on average, do exhibit […]

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[Academic Papers] The Loser’s Game

Gifted, determined, ambitious professionals have come into investment management in such large numbers during the past 30 years that it may no longer be feasible for any of them to profit from th eerrors of all the others sufficiently often and by sufficient  magnitude to beat the market averages. Disagreeable data are streaming out of the computers […]

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[Academic Papers] Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance

The relative performance of no-load, growth-oriented mutual funds persists in the near term, with the strongest evidence for a one-year evaluation horizon. Portfolios of recent poor performers do significantly worse than standard benchmarks; those of recent top performers do better, though not significantly so. The difference in risk adjusted performance between the top and bottom octile portfolios is six to […]

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[Academic Papers] Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

The main purpose of this study is the development of a model for evaluating the performance of portfolios of risky assets. In evaluating the performance of portfolios the effects of differential risk must be taken into consideration. If investors are generally averse to risk, they will prefer more certain income streams to less certain streams. […]

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