Academic Papers

Active vs. Passive Investing

Author Year Title Publication
Barber, B., T. Odean, and L.
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 “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

Author Year Title Publication
Barber, B., R. Lehavy, M. McNichols, and B. Trueman 2006 “Buys, Holds, and Sells: The Distribution of Investment Banks’ Stock Ratings and the Implications for the Profitability of Analysts’ Recommendations” Journal of Accounting and Economics
Barber, B., R. Lehavy, M. McNichols, and B. Trueman 2001 “Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns” Journal of Finance
Barber, B., R. Lehavy, M. McNichols, and B. Trueman 2001 “Prophets and Losses: Reassessing the Returns to Analysts’ Stock Recommendations” Financial Analysts Journal
Barber, B., R. Lehavy, and B. Trueman 2007 “Comparing the Stock Recommendation Performance of Investment Banks and Independent Research Firms” Journal of Financial Economics
Cowles, A. 1933 “Can Stock Market Forecasters Forecast?” Econometrica
Cowles, A. 1944 “Stock Market Forecasting” Econometrica
Engelberg, J., C. Sasseville, and J. Williams 2012 “Market Madness? The Case of Mad Money” Management Science

Individual Investor Performance
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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