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Publications
"Bayesian
Alphas and Mutual Fund Persistence," with Paul J.
Irvine, Journal of Finance, forthcoming.
"Tick
Size and Institutional Trading Costs: Evidence from Mutual
Funds," with Nicolas P.B. Bollen, Journal of Financial and Quantitative Analysis, forthcoming.
"Short-term
Persistence in Mutual Fund Performance," with Nicolas P.B. Bollen,
Review of Financial Studies 18, 569-597, 2005.
"Are
Investors Rational? Choices Among Index Funds," with Edwin J. Elton and
Martin J. Gruber, Journal of Finance 59, 261-288, 2004.
"Market
Efficiency in Real Time," with T. Clifton Green, Journal of Financial Economics
65, 415-437, 2002.
"On
the Timing Ability of Mutual Fund Managers," with Nicolas P.B. Bollen, Journal of Finance 56, 1075-1094,
2001.
"Another Look at Mutual Fund Tournaments," Journal
of Financial and Quantitative Analysis 36, 53-73, 2001.
"Volatility
Timing in Mutual Funds: Evidence from Daily Returns,"
Review of Financial Studies
12, 1009-1041, 1999.
"Do
Investors Care About Sentiment?" with Edwin J. Elton and
Martin J. Gruber, Journal of Business 71, 477-500,
1998.
Working
Papers
"The
Importance of Analysts vs. Brokers in the Peformance of Stock
Recommendations," with Klaas P. Baks.
"Performance
Persistence in Institutional Investment Management,"
with Amit Goyal and Sunil Wahal.
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