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Cited by 815

The DOI matches its Crossref record; 52 of the 52 references it cites were found in a registry or an index.

Unobserved Actions of Mutual Funds

Kacperczyk, Marcin, Sialm, Clemens, Zheng, Lu·2008·Review of Financial Studies
DOI 10.1093/rfs/hhl041
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Abstract

Despite extensive disclosure requirements, mutual fund investors do not observe all actions of fund managers. We estimate the impact of unobserved actions on fund returns using the return gap—the difference between the reported fund return and the return on a portfolio that invests in the previously disclosed fund holdings. We document that unobserved actions of some funds persistently create value, while such actions of other funds destroy value. Our main result shows that the return gap predicts fund performance.

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Citations

Cites

Show all 52 references

Research works printed but not linked: 12

  1. 10.2307/2329424 · doi:10.2307/2329424
  2. 10.2307/2329303 · doi:10.2307/2329303
  3. 10.2307/2329556 · DOI
  4. 10.17310/ntj.2000.3S.01 · doi:10.17310/ntj.2000.3s.01
  5. 10.2307/2329367 · doi:10.2307/2329367
  6. Grinblatt, 1995, Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior, American Economic Review, 85, 1088
  7. 10.2307/2328883 · doi:10.2307/2328883
  8. Karceski J. Livingston M. O'Neal E. S. Portfolio Transactions Costs at U.S. Equity Mutual Funds. 2005. Working Paper, University of Florida.
  9. 10.1257/0895330041371231 · doi:10.1257/0895330041371231
  10. 10.2307/2329419 · DOI
  11. Mamaysky H. Spiegel M. Zhang H. Estimating the Dynamics of Mutual Fund Alphas and Betas. Review of Financial Studies 2004. forthcoming.
  12. 10.1016/j.jfineco.2006.01.007 · doi:10.1016/j.jfineco.2006.01.007

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Metadata

Authors
Kacperczyk, M., Sialm, C., & Zheng, L.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2006-10-25
Volume
21
Issue
6
Pages
2379-2416
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhl041
OpenAlex
W3020924286
Cited by
815
References
52
FWCI
23.27
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Unobserved Actions of Mutual Funds. https://app.cochat.ai/papers/10.1093/rfs/hhl041
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Kacperczyk, M., Sialm, C., & Zheng, L. (2008). Unobserved Actions of Mutual Funds. Review of Financial Studies. https://doi.org/10.1093/rfs/hhl041

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.