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Dispersion in beliefs among active mutual funds and the cross-section of stock returns

Jiang, Hao; Sun, Zheng - In: Journal of financial economics 114 (2014) 2, pp. 341-365

Persistent link: https://www.econbiz.de/10010532252

Institutional investors, intangible information, and the book-to-market effect

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Trade less and exit overcrowded markets : lessons from international mutual funds

Dyakov, Teodor; Jiang, Hao; Verbeek, Marno - In: Review of finance : journal of the European Finance … 24 (2020) 3, pp. 677-731

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Active fundamental performance

Jiang, Hao; Lu, Zheng - In: The review of financial studies 31 (2018) 12, pp. 4688-4719

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Does herding behavior reveal skill? : an analysis of mutual fund performance

Jiang, Hao; Verardo, Michela - 2013

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Tail risk and asset prices

Kelly, Bryan T.; Jiang, Hao - 2013

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Information content when mutual funds deviate from benchmarks

Jiang, Hao; Verbeek, Marno; Wang, Yu - In: Management science : journal of the Institute for … 60 (2014) 8, pp. 2038-2053

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Only winners in tough times repeat : hedge fund performance persistence over different market conditions

Sun, Zheng; Wang, Ashley W.; Lu, Zheng - 2016 - This draft: March 2016

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioned on the level of overall hedge fund sector...

Persistent link: https://www.econbiz.de/10011500226

Only winners in tough times repeat : hedge fund performance persistence over different market conditions

Sun, Zheng; Wang, Ashley W.; Lu, Zheng - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 2199-2225

Persistent link: https://www.econbiz.de/10011959083

Only Winners in Tough Times Repeat : Hedge Fund Performance Persistence over Different Market Conditions

Sun, Zheng - 2018

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, RET_DOWN and RET_UP, conditioned on the level of overall hedge fund sector returns. After...

Persistent link: https://www.econbiz.de/10012938509