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Detecting Repeatable Performance

https://doi.org/10.1093/rfs/hhy014
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Variance Components
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A View of the Em Algorithm that Justifies Incremental, Sparse, and other Variants
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Regularization in statistics
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Common risk factors in the returns on stocks and bonds
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Modeling the conditional distribution of interest rates as a regime-switching process
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Cross-sectional learning and short-run persistence in mutual fund performance
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Mutual fund performance with learning across funds
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Investing in mutual funds when returns are predictable☆
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Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆
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Mutual fund performance and seemingly unrelated assets
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Investing in equity mutual funds
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Analysis of Panel Data
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Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
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Hedge Funds: The Good, the Bad, and the Lucky
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Estimation in Mixtures of Two Normal Distributions
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Combining Minimax Shrinkage Estimators
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A Monte Carlo Implementation of the EM Algorithm and the Poor Man's Data Augmentation Algorithms
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A Linear Mixed-Effects Model With Heterogeneity in the Random-Effects Population
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The Selection of Prior Distributions by Formal Rules
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Maximum Likelihood Algorithms for Generalized Linear Mixed Models
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The Persistence of Risk-Adjusted Mutual Fund Performance
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Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios
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Mutual Fund Flows and Performance in Rational Markets
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Estimating the Components of a Mixture of Normal Distributions
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A Monte Carlo EM algorithm for generalized linear mixed models with flexible random effects distribution
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Mutual Fund Survivorship
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Survivorship Bias in Performance Studies
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Out-of-Sample Performance of Mutual Fund Predictors
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Editor's Choice … and the Cross-Section of Expected Returns
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Estimating Security Betas Using Prior Information Based on Firm Fundamentals
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Unsupervised learning of finite mixture models
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Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation
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A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases
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Maximizing Generalized Linear Mixed Model Likelihoods With an Automated Monte Carlo EM Algorithm
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A Survey of L 1 Regression
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THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964
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A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS
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Time‐Varying World Market Integration
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On Persistence in Mutual Fund Performance
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Judging Fund Managers by the Company They Keep
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Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
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Bayesian Alphas and Mutual Fund Persistence
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Presidential Address: The Cost of Active Investing
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False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
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Mutual Fund Incubation
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Luck versus Skill in the Cross‐Section of Mutual Fund Returns
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Maximum Likelihood from Incomplete Data Via the EM Algorithm
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Using Bootstrap Likelihood Ratios in Finite Mixture Models
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Reverse Survivorship Bias
inferredcites →https://doi.org/10.1214/aos/1176346060openalex-snapshot
On the Convergence Properties of the EM Algorithm
inferredcites →https://doi.org/10.1214/aos/1176349849openalex-snapshot
Minimax Multiple Shrinkage Estimation
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Predicting Risk: Some New Generalizations
inferredcites →https://doi.org/10.2139/ssrn.2458326openalex-snapshot
A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry
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How Many Factors?
inferredcites →https://doi.org/10.2139/ssrn.2990737openalex-snapshot
Decreasing Returns to Scale, Fund Flows, and Performance
inferredcites →https://doi.org/10.2307/1271189openalex-snapshot
The EM Algorithm and Extensions
inferredcites →https://doi.org/10.2307/2325693openalex-snapshot
Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios
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An Empirical Bayes Approach to Efficient Portfolio Selection
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A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation
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Mutual Fund Flows and Performance in Rational Markets
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Performance Evaluation Using Conditional Alphas and Betas
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The Cross-Section of Investing Skill

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Decreasing Returns to Scale, Fund Flows, and Performance
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False (and Missed) Discoveries in Financial Economics
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The Cross-Sectional Distribution of Fund Skill Measures
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Identifying Stock-Picking Skills with Counterfactual Portfolios
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Estimating the Anomaly Baserate
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Simple Better Market Betas
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Fund Performance Measurement Respecting an Industry Benchmark
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Crowding: Evidence from Fund Managerial Structure
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Hedge Fund Performance under Misspecified Models
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The Cross-Section of Non-Professional Analyst Skill
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Functional False Discovery Rate in Mutual Fund Performance
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Selecting Mutual Funds from the Stocks They Hold: A Machine Learning Approach
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Testing Asset Pricing Models on Individual Stocks
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Should Retail Investors Listen to Social Media Analysts? Evidence from Text-Implied Beliefs
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Uncovering the Iceberg from Its Tip: A Model of Publication Bias and p-Hacking
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Real-Time Predictability of Mutual Fund Performance Predictors
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Indonesian Mutual Fund Performance
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Be Skeptical of Asset Management Research
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Hedge Fund Activism Skill
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A Simple Bootstrap Method for Panel Data Inferences
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Finfluencers
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Avantgarde Stars: Enhancing Portfolio Performance with A Novel Scoring System
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Does Skilled Analysts Decrease the Stock Price Crash Risk? --Evidence from Listed Firms in China
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High-Dimensional Factor Models and the Factor Zoo
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High-Dimensional Factor Models and the Factor Zoo
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Detecting Informed Trade by Corporate Insiders
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Bayesian nonparametric learning of how skill is distributed across the mutual fund industry
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Mutual fund selection for realistically short samples
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Cross-Sectional Alpha Dispersion and Performance Evaluation
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Mutual Funds’ Conditional Performance Free of Data Snooping Bias
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Social Media Analysts’ Skill: Evidence from Text-Implied Beliefs
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Out-of-Sample Performance of Mutual Fund Predictors
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Portfolios of Actively Managed Mutual Funds
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De facto time‐varying indices‐based benchmarks for mutual fund returns
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How Skilled Are Security Analysts?
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Value Creation in the Hedge Fund Industry
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Investment Portfolio Management System Using Machine Learning
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Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry
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Can Groups Improve Expert Economic and Financial Forecasts?
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Predicting Mutual Fund Stress Levels Utilizing SEBI’s Stress Test Parameters in MidCap and SmallCap Funds Using Deep Learning Models
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The Deadweight Loss of Active Management
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Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective
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The Folly of Hiring Winners and Firing Losers
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INVESTMENT PORTFOLIO MANAGEMENT SYSTEM USING MACHINE LEARNING
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