Academic Bibliography

  1. Amihud, Yakov and Ruslan Goyenko, 2008. Mutual Fund’s R2 as Predictor of Performance. Working paper, NYU, December.
  2. Avaramov, Doron and Russ Wermers, 2005. Investing in Mutual Funds when Returns are Predictable. working paper, University of Maryland.
  3. Baker, Malcolm, Lubomir Litov, Jessica A. Wachter, and Jeffrey Wurgler. 2004. Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades prior to Earnings Announcements. NBER Working Paper w10685 (July 28).
  4. Baker, Malcolm and Jeffery Wurgler. 2006. Investor Sentiment and the Cross-Section of Stock Returns. Journal of Finance. Pp 1645 – 1680, (August).
  5. Baker, Malcolm and Jeffery Wurgler. 2007. Investor Sentiment in the Stock Market. Journal of Economic Perspective, pp 129–151, (Spring).
  6. Baks, Klaas, Andrew Metrick, and Jessica Wachter, 2001. Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation. Journal of Finance. February, 45-85.
  7. Baks, Klaas, 2006, On the performance of mutual fund managers. Journal of Finance (forthcoming).
  8. Barras, Laurent, Olivier Scaillet, and Russ Wermers, 2008. False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas, working paper, May.
  9. Berk, J. B. and R. C. Green, 2004. Mutual Fund Flows and Performance in Rational Markets. Journal of Political Economy, vol. 112, no. 6, 1269-1295.
  10. Bollen, Nicolas P. B., and Jeffrey A. Busse, 2001. On the timing ability of mutual fund Managers. Journal of Finance 56, 1075–1094.
  11. Bollen, N. P. B. and J. A. Busse, 2004. Short-Term Persistence in Mutual Fund Performance. Review of Financial Studies, vol. 18, no. 2, 569-597.
  12. Boudoukh, Jacob, Roni Michaely, Matthew Richardson, and Michael R. Roberts. 2007. On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing. Journal of Finance, pp 877-915 (April).
  13. Brands, S., Brown, S.J. and D.R. Gallagher, 2006, Portfolio Concentration and Investment Manager Performance, International Review of Finance, 149-174.
  14. Brinson, G. P. , L. R. Hood, and G. L. Beebower, 1986. Determinants of Portfolio Performance. Financial Analysts Journal, vol. 42, no. 4, 39-44.
  15. Brown, S. J. and W. N. Goetzmann, 1995. Performance Persistence. Journal of Finance, vol. 50, no. 2, 679-698.
  16. Brown, Keith, and W. V. Harlow. 2004. Staying the Course: Performance Persistence and the Role of Investment Style Consistency in Professional Asset Management. University of Texas at Austin working paper (May).
  17. Busse, Jeffery A. and Paul J. Irvine, 2006. Bayesian Alphas and Mutual Fund Persistence. The Journal of Finance. Vol. LXI, No. 5, October, 2251-2281.
  18. Callahan, Craig T. and C. Thomas Howard. Outside the Box, 2005. Investment Advisor. September, 84-88.
  19. Callahan, Craig T. and C. Thomas Howard. Boxes are not Asset Classes, 2006. Investment Advisor. January, 68-70.
  20. Callahan, Craig T. and C. Thomas Howard. Risky Business, 2006. Investment Advisor. February, 78-82.
  21. Callahan, Craig T. and C. Thomas Howard. Investing with Style, 2007. Investment Advisor. February, 54-60.
  22. Callahan, Craig T. and C. Thomas Howard. Judgment Day, 2007. Investment Advisor. September, 82-87.
  23. Callahan, Craig T. and C. Thomas Howard. Illusionist, 2007. Investment Advisor. September, 58-62.
  24. Carhart, M. , 1997. On Persistence in Mutual Fund Returns. Journal of Finance, vol. 52, no. 1, 57-82.
  25. Carhart, Mark M., Ron Kaniel, David K. Musto, and Adam V. Reed, 2002, Learning for the tape: Evidence of gaming behavior in equity mutual funds. Journal of Finance 57, 661–693.
  26. Case, Douglas W., and Steven Cusimano. 1995. Historical Tendencies of Equity Style Returns and the Prospects for Tactical Style Allocation. In R. Klein and J. Lederman, eds., Equity Style Management, Burr Ridge, Ill.: Irwin.
  27. Chen, Hsiu-Lang, Narasimhan Jegadeesh, and Russ Wermers, 2000, The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis 35, 343–368.
  28. Chen, J. , H. Hong, M. Huang, and J. D. Kubik, 2004. Does Fund Size Erode Performance? Organizational Diseconomies and Active Money Management. American Economic Review, vol. 94, no. 5, 1276-1302.
  29. Chen, Zhiwu, Roger G. Ibbotson, Wendy Y. Hu, 2010. Liquidity as an Investment Style. Working Paper, June.
  30. Cohen, R. B. , J. D. Coval, and L. Pastor, 2005. Judging Fund Managers by the Company They Keep. Journal of Finance, vol. 60, no. 3, 1057-1096.
  31. Cohen, R. B., C. Polk, and B. Silli, 2009. Best ideas. Harvard Working Paper. March.
  32. Collins, Bruce and Frank Fabozzi, 2000. Equity Manager Selection and Performance. Review of Quantitative Finance and Accounting. 15, 81-97.
  33. Cremers, Martijn and Antti Petajisto, 2009. How Active Is Your Fund Manager? A New Measure That Predicts Performance. Review of Financial Studies, September, pp 3329-3365.
  34. Cremers, Martijn, Miguel Ferreira, Pedro Matos, and Laura Starks, 2011. The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance. Working Paper. April.
  35. Daniel, K. , M. Grinblatt, S. Titman, and R. Wermers, 1997. Measuring Mutual Fund Performance with Characteristic-Based Benchmarks. Journal of Finance, vol. 52, no. 3, 1035-1058.
  36. Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996. The persistence of risk-adjusted mutual fund performance. Journal of Business 69, 133–157.
  37. Ennis, Richard M. 2001. The Case for Whole-Stock Portfolios. The Journal of Portfolio Management 27 (spring):17–26.
  38. Evans, R. B. , 2006. A Does Alpha Really Matter? Evidence from Mutual Fund Incubation, Termination, and Manager Change. working paper.
  39. Fama, Eugene F. and Kenneth R. French, (2008). Mutual Fund Performance. University of Chicago Working Paper, August.
  40. Fama, E. F. , 1972. Components of Investment Performance. Journal of Finance, vol. 27, no. 3, 551-567.
  41. Ferson, Wayne E., and Kenneth Khang, 2002. Conditional performance measurement using portfolio weights: Evidence for pension funds. Journal of Financial Economics 65, 249–282.
  42. Frazzini, A. , 2005. The Disposition Effect and Underreaction to News. Journal of Finance, forthcoming.
  43. Frey, Stefan and Patrick Herbst, 2010. The Influence of Buy-side Analysts on Mutual Fund. Working Paper, January.
  44. Fund Returns, The Journal of Finance, Vol. LXV, No. 5, October, 1915-1947.
  45. Glode, Vincent, 2008. Why Mutual Funds “Underperform". Carnegie Mellon University Working Paper, June.
  46. Goetzmann, William N., and Roger G. Ibbotson, 1994. Do winners repeat? Patterns in mutual fund performance. Journal of Portfolio Management 20, 9–18.
  47. Grinblatt, M. and S. Titman, 1993. Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns. Journal of Business, vol. 66, no. 1, 47-68.
  48. Han, Yufeng, Tom Noe, and Michael Rebello, 2008. Horses for courses: Fund managers and organizational structures, working paper, January.
  49. Hendricks, Darryl, Jayendu Patel, and Richard Zeckhauser, 1993. Hot hands in mutual funds: Short-run persistence of relative performance, 1974–1988. Journal of Finance 48, 93–130.
  50. Hong, Harrison, Jeffrey D. Kubik, and Jeremy C. Stein, 2002. Thy neighbor’s portfolio: Word of- mouth effects in the holdings and trades of money managers. working paper, Stanford University.
  51. Hong, Harrison and Marcin Kacperczyk, 2009. The Price of Sin: The Effects of Social Norms on Markets. Journal of Financial Economics, vol 93, 15–36.
  52. Howard, C. Thomas and Craig T. Callahan, 2006. The Problematic ‘Style’ Grid. Journal of Investment Consulting, Winter, 44-56.
  53. Howard, C. Thomas, 2010. The Importance of Investment Strategy. Working Paper (March).
  54. Howard, C. Thomas, 2011. Investor Behavior, Equity Strategy and Expected Market Returns. Working Paper, August.
  55. Hunter, David, Eugene Kandel, Shmuel Kandel, and Russell Wermers, 2009. Endogenous Benchmarks. University of Maryland working paper, March.
  56. Ivkovic, Zoran, Clemens Sialm, and Scott Weisbenner, 2008. Portfolio Concentration and the Performance of Individual Investors. Journal of Financial and Quantitative Analysis, pp 613-656. (September).
  57. Jensen, M. C. , 1968. The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance, vol. 23, no. 2, 389-416.
  58. Jones, Christopher S., and Jay Shanken, 2004, Mutual fund performance with learning across funds, Working paper, University of Southern California.
  59. Kacperczyk, M. T. , C. Sialm, and L. Zheng, 2005. On Industry Concentration of Actively Managed Equity Mutual Funds. Journal of Finance, vol. 60, no. 4, 1983-2011.
  60. Kacperczyk, M. T. , and Amit Seru, 2007. Fund Manager Use of Public Information: New Evidence on Managerial Skills. Journal of Finance, April, 485-528.
  61. Kacperczyk, M. T. , C. Sialm, and L. Zheng, 2008. Unobserved Actions of Mutual Funds. Review of Financial Studies, pp 2379-2416. November.
  62. Keswani, Aneel and David Stolin, 2008. Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors. Journal of Finance, February, 63-1, 85-118.
  63. Kosowski, Robert, Allan Timermann, Russ Wermers, and Hal White, 2006. Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis. Journal of Finance, December , 61-6, 2551-2595.
  64. Kothari, S. P. and Jerold B. Warner, 2001. Evaluating mutual fund performance. Journal of Finance, 56, 1985–2010.
  65. Lakonishok, Josef, Andrei Shleifer, Richard Thaler, and RobertW. Vishny, 1991.Window Dressing by Pension Fund Managers. American Economic Review 81, 227–231.
  66. Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1992. The impact of institutional trading on stock prices. Journal of Financial Economics 32, 23–44.
  67. Mamaysky, H. , M. Spiegel, and H. Zhang, 2006. Improved Forecasting of Mutual Fund Alphas and Betas. Yale ICF working paper.
  68. Musto, David K., 1997. Portfolio disclosures and year-end price shifts. Journal of Finance 52, 1563–1588.
  69. Musto, David K., 1999. Investment decisions depend on portfolio disclosures. Journal of Finance 54, 935–952.
  70. Myers, Mary Margaret, and James M. Poterba, Douglas A. Shackelford, and John B. Shoven, 2001. Copycat Funds: Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry. working paper.
  71. Pastor, L. and R. F. Stambaugh, 2002. Mutual Fund Performance and Seemingly Unrelated Assets. Journal of Financial Economics, vol. 63, 315. 349.
  72. Pastor, L., and R. F. Stambaugh, 2002b. Investing in equity mutual funds. Journal of Financial Economics 63, 351–380.
  73. Petajisto, A. , 2005. Why Do Demand Curves for Stocks Slope Down?. Yale ICF working paper.
  74. Phalippou, Ludovic, 2008. Where is the Value Premium?, Financial Analyst Journal, Vol 64, No2, (March/April), 41-48
  75. Pollet, J. M. and M. Wilson, 2006. How Does Size Affect Mutual Fund Behavior?. working paper.
  76. Pomorski, Lukasz, 2009. Acting on the Most Valuable Information: Best Idea" Trades of Mutual Fund Managers. Working Paper, March.
  77. Roll, R. , 1992. A Mean/Variance Analysis of Tracking Error. Journal of Portfolio Management, vol. 18, no. 4, 13-22.
  78. Sensoy, B. A. , 2006, . Incentives and Mutual Fund Benchmarks, . working paper.
  79. Sharpe, William F., 1966. Mutual fund performance. Journal of Business 39, 119–138.
  80. Shumway, Tyler, Maciej B. Szefler, and Kathy Yuan, 2009. The Information Content of Revealed Beliefs in Portfolio Holdings. Working Paper, January.
  81. Teo, Melvyn, and Sung-Jun Woo. 2004. Style Effects in the Cross-section of Stock Returns. Journal of Financial Economics, 74 (November): 367-398.
  82. Wermers, R. , 1999. Mutual Fund Herding and the Impact on Stock Prices. Journal of Finance, vol. 54, no. 2, 581-622.
  83. Wermers, R. , 2000. Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses. Journal of Finance, vol. 55, no. 4, 1655-1695.
  84. Wermers, R., 2003. Are Mutual Fund Shareholders Compensated for Active Management Bets?. working paper, University of Maryland.
  85. Wermers, R., 2003. Is Money Really “Smart”? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence. working paper, University of Maryland.
  86. Wermers, R. , 2010. A Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios. (July) working paper, University of Maryland.
  87. Wermers, R., Tong Yao, and Jane Zhao, 2007. The Investment Value of Mutual Fund Portfolio Disclosure (September), working paper, University of Maryland.
  88. Zheng, Lu, 1999. Is money smart? A study of mutual fund investors’ fund selection ability. Journal of Finance 54, 901–933.



AthenaInvest Advisors LLC
5340 South Quebec Street, Suite 365-N
Greenwood Village, CO 80111

Phone:   (877) 430-5675
Fax:        (303) 721-6294