Jess Н. Chua and Richard S. Woodward, Gains from Market Timing, Monograph Series in Finance and Economics 1986-2, New York University Salomon Center, Leonard N. Stern School of Business.
Robert E. Cumby and Jack D. Glen, «Evaluating the Performance of International Mutual Funds», Journal of Finance, 45, no. 2 (June 1990), pp. 497-521. Cheol S. Eun, Richard Kolodny and Bruce G. Resnick, «U.S.-Based International Mutual Funds: A Performance EvaIuation», Journal of Portfolio Management, 17, no. 3 (Spring 1991), pp. 88-94.
A. Black, P Eraser, and D. Power, «UK Unit Trust Performance 1980-1989: A Passive Time-Varying Approach*, Journal of Banking and Finance, 16, no. 5 (September 1992), pp. 1015-1033.
7.Результативность взаимных фондов рассматривается в работах:
Gordon J. Alexander and Jack Clark Francis, Portfolio Analysis (Englewood Cliffs, NJ: Prentice Hall, 1986), Chapter 13.
Mark Grinblatt and Sheridan Titman, «Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings*, Journal of Business, 62, no. 3 (July 1989), pp. 393-416. Edwin J. Elton and Martin J. Gruber, Modern Portfolio Theory and Investment Analysis (New York: John Wiley & Sons, 1991), Chapter 22.
Ravi Shukla and Charles Trzcinka, «Performance Measurement of Managed Portfolios*, Financial Markets, Institutions & Instruments, 1 no. 4 (1992).
Edwin J. Elton, Martin J. Gruber, Sanjiv Das, and Matthew Hlavka, «Efficiency with Costly Informantion: A Reinterpretation of Evidence from Managed Portfolios*, Review of Financial Studies, 6, no. 1 (1993), pp. 1-22.
Richard A. Ippolito, «0n Studies of Mutual Fund Performance*, Financial Analysts Journal, 49, no. 1 (January/February 1993), pp. 42-50.
Christopher R. Blake, Edwin J. Elton, and Martin J. Gruber, «The Performance of Bond Mutual Funds*, Journal of Business, 66, no. 3 (July 1993), pp. 371-403.
8.Свидетельства слабых результатов деятельности взаимных фондов оспариваются в работах:
Bruce N. Lehmann and David М. Modest, «Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons*, Journal of Finance, 42, no. 2 (June 1987), pp. 233-265.
Richard A. Ippolito, «Efficiency with Costly Information: A Study of Mutual Fund Performance*, Quarterly Journal of Economics, 104, no. 1 (February 1989), pp. 1-23. Mark Grinblatt and Sheridan Titman, «Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings*, Journal of Business, 62, no. 3 (July 1989), pp. 393-415. Cheng-few Lee and Shafiqur Rahman, «Market Timing, Selectivity and Mutual Fund Performance: An Empirical Investigation*, Journal of Business, 63, no. 2 (April 1990), pp. 261-278.
Cheng F. Lee and Shafiqur Rahman, «New Evidence on Timing and Security Selection Skill of Mutual Fund Managers*, Journal of Portfolio Management, 17, no. 2 (Winter 1991), pp. 80-83.
9.Устойчивость результативности взаимных фондов рассматривается в работах: John С. Bogle, «Selecting Equity Mutual Funds*, Journal of Portfolio Management, 18, no. 2 (Winter 1992), pp. 94-100.
Mark Grinblatt and Sheridan Titman, «The Persistence of Mutual Fund Performance*, Journal of Finance, 47, no. 5 (December 1992), pp. 1977-1984.
Darryll Hendricks, Jayendu Patel, and Richard Zeckhauser, «Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988», Journal of Finance, no. I (March 1993), pp. 93-130.
William N. Goetzmann and Roger G. Ibbotson, «Do Winners Repeat?*, Journal of Portfolio Management, 20, no. 2 (Winter 1994), pp. 9-18.
John Bogle, Bogle jn Mutual Funds (Burr Ridge, Ih: Richard D. Irwin, 1994), Chapter 4.
10.Тренд выживания {survivorship bias) относится к проблемам, рассмотренным в исследованиях инвестиционных фондов, он говорит о том, что неопытные управляющие портфелем обычно «сгорают», тогда как опытные остаются. Данные проблемы исследованы в статье:
Stephen J. Brown, William Goetzmann, Roger G. Ibbotson, and Stephen A. Ross, «Survivorship Bias in Performance Studies», Review of Financial Studies, 5, no. 4 (1992), pp. 553-580.
11.Наряду co ссылками, приведенными в данной главе, закрытые фонды рассматриваются в следующих работах:
Rex Thompson, «The Information Content of Discounts and Premiums on Closed-End Fund Shares*, Journal of Financial Economics, 6, no. 2/3 (June/September 1978), pp. 151-186.
Greggory A. Brauer, «"Closed-End Fund Shares" Abnormal Returns and the Information Content of Discounts and Premiums*, Journal of Finance, 43, no. 1 (March 1988), pp. 113-127.
Kathleen Weiss, «The Post-Offering Price Performance of Closed-End Funds*, Journal Management, 18, no. 3 (Autumn 1989), pp. 57-67.
Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, «Anomalies: Closed-End Mutual Funds*, Journal of Economic Perspectives, 4, no. 4 (Fall 1990), pp. 153-164. John W. Peavey III, «Returns on Initial Public Offerings of Closed-End Funds*, Review of Financial Studies, 3, no. 4 (1990), pp. 695-708.
Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, «Investor Sentiment and the Closed-End Fund Puzzle*, Journal of Finance, 46, no. 1 (March 1991), pp. 75-109. Albert J. Fredman and George Cole Scott, «An Investors Guide to Clossed-End Fund Discounts», AAII Journal, 13, no. 5 (May 1991), pp. 12-16.
James Brickley, Steven Manaster, and James Schallheim, «The Tax-Timing Option and Discounts on Closed-End Investment Companies*, Journal of Business, 64, no. 3 (July 1991), pp. 287-312.
J. Bradford DeLong and Andrei Shleifer, «CIosed-End Fund Discounts*, Journal of Portfolio Management, 18, no. 2 (Winter 1992), pp. 46-53.
Nai-fu Chen, Raymond Kan, and Merton H. Miller, «Are the Discounts on Closed-End Funds a Sentiment Index?* and «A Rejoinder*, Journal of Finance, 48, no. 2 (June 1993), pp. 795-800, 809-810.
Navin Chopra, Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, «Yes, Discounts on Closed-End Funds Are a Sentiment Index*, and «Summing Up*, Journal of Finfnce, 48, no. 2 (June 1993), pp. 801-808, 811-812.
12.«Открытие* закрытых инвестиционных компаний обсуждается в статьях: Greggory А. Brauer, «"Ореп-Ending" Closed-End Funds*, Journal of Financial Economics, 13, no. 4 (December 1984), pp. 491-507.
James A. Brickley and James S. Schallheim, «Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns*, Journal of Financial and Quantitative Analysis, 20, no. 1 (March 1985), pp. 107-117.