Riferimenti bibliografici
- A.A.V.V., - Dati di 1200 Fondi e SICAV italiani (1984-2006), MedioBanca Ricerche & Studi, 2007, Milano.
- Agarwal V., Naik N.Y., Multi-Period Performance Persistence Analysis of Hedge
Funds, Journal of Financial and Quantitative Analysis, Vol. 35, n.3 (Settembre 2000),
pp. 327-342.
- Avramov D., Wermers R., Investing in Mutual Funds when Returns are
Predictable, Journal of Financial Economics, Vol. 81, n.2 (Agosto 2006), pp. 339–377.
- Bartelsman, E., Scarpetta S., Schivardi F., Comparative analysis of firm
demographics and survival: micro-level evidence for the OECD countries, OECD
Economic Department Working Papers No. 348 (2003).
- Beechey M., Gruen D., Vickery J., The Efficient Market Hypothesis: a Survey, Research Discussion Paper, Vol. 1 (Gennaio 2000), Economic Research Department, Reserve Bank of Australia.
- Berk J.B., Tonks I., Return Persistence and Fund Flows in the Worst Performing
Mutual Funds, NBER Working Paper, ( Novembre 2007).
- Blake D., Timmermann A., Mutual Fund Performance: Evidence from the UK, European Finance Review, Vol. 2, (1998), pp. 57-77.
- Brown S.J., Goetzmann W., Ibbotson R.G., Ross S.A., Survivorship Bias in
- Brown S., Goetzmann W., Performance Persistence, Journal of Finance, Vol. 50, n.2 (Giugno 1995), pp. 679-698.
- Brown S., Goetzmann W., Mutual fund styles, Journal of Financial Economics, Vol. 43, n.3 (Marzo 1997), pp. 373-399.
- Bu Q., Lacey N., Exposing Survivorship Bias in Mutual Fund Data, Journal of Business & Economics Studies, Vol. 13, n.1 (2007), 22-37.
- Carhart M.M., Mutual Fund Survivorship, Unpublished, PhD. Dissertation, Graduate School of Business, University of Chicago, 1997.
- Carhart M.M., On persistence in Mutual Fund Performance, Journal fo Finance, Vol. 52, n.1 (Marzo 1997), pp. 57-82.
- Carhart M.M., Carpenter J.N., Lynch A.W., Musto D.K., Mutual Fund Survivorship, Review of Financial Studies, Vol. 15, n.5 (2002), pp. 1439-1463.
- Carpenter J.N., Lynch A.W., Survivorship Bias and Attrition Effects in Measures of
Performance Persistence, Journal of Financial Economics, Vol. 54, n.3 (Settembre
1999), pp. 337-374.
- Carter W.D., Mutual Investment Funds, Harvard Business Review, Vol. 27, n.6 (Novembre 1949), pp.715-740.
- Casarin R., Lazzarin M., L., Sartore D., Performance, Style and Persistence of Italian
Equity Funds, GRETA Working Papers, n.3 (2002), Venezia.
- Casarin R., Lazzarin M., Pelizzon L., Sartore D., Relative Benchmark Rating and
Persistence Analysis: Evidence from Italian Equity Funds, European Journal of
Finance, Vol. 11, n.4 (Agosto 2005), pp. 297-308.
- Cefis, E., Marsili O., A Matter of Life and Death: Innovation and Firm Survival, LEM Working Paper Series, 2005/1.
- Cesari R., Panetta F., The Performance of Italian Equity Funds, Journal of Banking & Finance, Vol. 26, n.1 (Gennaio 2002), pp. 99-126.
- Cooper M.J., Gulen H., Rau P. R., Changing Names with Style: Mutual Fund Name
Changes and Their Effects on Fund Flows, Journal of Finance, Vol. 60, n.6 (Dicembre
2005), 2825-2858.
- Deaves R., Data-Conditioning Biases, Performance, Persistence and Flows: The
Case of Canadian Equity Funds, Journal of Banking & Finance, Vol. 28, n.3 (Marzo
2004), pp. 673-694.
- Detzler M.L., The Performance of Global Bond Mutual Funds, Journal of Banking & Finance, Vol. 23, n.8 (Agosto 1999), pp. 1195-1217.
- Dimonson E., Mussavian M., A Brief History of Market Efficiency, Eurpean Financial Management, Vol. 4, n.1 (Marzo 1998), pp. 91-103.
- Droms W.G., Walker D.A., Performance Persistence of International Mutual
Funds, Global Finance Journal, Vol.12, n.2 (2001), pp. 237-248.
- Elton E.J., Gruber M.J., Blake C.R., Survivorship Bias and Mutual Fund
Performance, Review of Financial Studies, Vol. 9, n.4 (1996), pp. 1097-1120.
- Elton E.J., Gruber M.J., Blake C.R., The Persistence of Risk-Adjusted Mutual Fund
Performance, Journal fo Business, Vol. 69, n.2 (Aprile 1996), pp. 133-157.
- Engstrom S., Costly Information, Diversification and International Mutual Fund
Performance, Pacific-Basin Finance Journal, Vol. 11, n.5 (Novembre 2003), pp.
463-482.
- Fama E., Market Efficiency, Long-Term Returns, and Behavioral Finance, Journal of Financial Economics, Vol. 49, n.3 (Marzo 1998), pp. 283-306.
- Fama E., French K., The Cross-Section of Expected Stock Returns, Journal of Finance, Vol. 47, n.2 (Giugno 1992), pp. 427-465.
- Fama E., French K., Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, Vol. 33, (Febbraio 1993), pp. 3-56.
- Fama E., French K., Size and Book-to-Market Factors in Earnings and Returns, Journal of Finance , Vol. 50, n.2 (Marzo 1995), pp. 131-156.
- Fama E.F., MacBeth J.D., Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy, Vol. 81, n.3 (Maggio-Giugno 1973), pp. 607-636.
- Gallo J.G., Swanson P.E., Comparative Measures of Performance for U.S.-based
International Equity Mutual Funds, Journal of Banking & Finance, Vol. 20,
(Dicembre 1996), pp. 1635-1650.
- Grinblatt M., Titman S., Mutual Fund Performance: An Analysis of Quarterly
Portfolio Holdings, Journal of Business, Vol. 62, n.3 (Luglio 1989), pp. 393-416.
- Grinblatt M., Titman S., The Persistence of Mutual Fund Performance, Journal of Finance, Vol. 42, n.5 (Dicembre 1992), pp. 1977-1984.
- Guo H., A Rational Pricing Explanation for the Failure of the CAPM, Review, Vol. 86, n.3 (Maggio-Giugno 2004), pp. 23-33, Federal Reserve Bank of St. Louis.
- Hendricks D., Patel J., Zeckhauser R., Hot Hands in Mutual Funds: Short-Run
Persistence of Relative Performance, 1974-1988, Journal of Finance, Vol. 48, n.1
(Marzo 1993), pp. 93-130.
- Hendricks D., Patel J., Zeckhauser R., The J-Shape of Performance Persistence
Given Survivorship Bias, Review of Economics and Statistics, Vol. 79, n.2 (Maggio
- Herve F., La Persistance de la Performance des Fonds de Pension Individuels
Britanniques: un étude Empirique sur des Fonds Investis en Actions et de Fonds Obligataires, Finance Controle Statégie, Vol. 6, n.3 (Settembre 2003), pp. 41-77.
- Herzberg, M.M., Mozes H.A., The Persistence of Hedge Fund Risk: Evidence and
Implications for Investors, Journal of Alternative Investments, Vol. 6, n.2 (2003), pp.
22– 42.
- ter Horst J.R., Nijman T.E., Verbeek M., Eliminating Look-Ahead Bias in Evaluating
Persistence in Mutual Fund Performance, Journal of Empirical Finance, Vol. 8, n.4
(Settembra 2001), pp. 345–373.
- Ibbotson R.G., Patel A.K., Do Winners Repeat with Style?, Yale ICF Working Paper, n. 00-70 (Febbraio 2002), International Center for Finance, Yale.
- Ippolito R.A., Efficiency with Costly Information: a Study of Mutual Fund
Performance, 1965-1984, Quarterly Journal of Economics, Vol. 104, n.1 (Febbraio
1989), pp. 1-23.
- Jegadeesh N., Evidence of Predictable Behavior of Security Returns, Journal of Finance, Vol. 45, n.3 (Luglio 1990), pp. 881-898.
- Jegadeesh N., Titman S., Returns to Buying Winners and Selling Losers:
Implications for Stock Market Efficiency, Journal of Finance, Vol. 48, n.1 (Marzo
1993), pp. 65-91.
- Jegadeesh N., Titman S., Profitability of Momentum Strategies: An Evaluation of
Alternative Explanations, Journal of Finance, Vol. 56, n.2 (Aprile 2001), pp. 699-720.
- Jensen M.C., The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance, Vol. 23, n.2 (Maggio 1968), pp. 389-416.
- Jorion P., Goetzmann W.N., Global Stock Markets in the Twentieth Century, Journal of Finance, Vol. 54, n.3 (Giugno 1999), pp. 953-980.
- Lehmann B.N., Modest D.M., Mutual Fund Performance Evaluation: A
Comparison of Benchmarks and Benchmark Comparisons, Journal of Finance, Vol.
42, n.2 (Giugno 1987), pp. 233-265.
- Malkiel B.G., Returns from Investing in Equity Mutual Funds 1971 to 1991, Journal of Finance, Vol. 50, n.2 (Giugno 1995), pp. 549-572.
- Malkiel B.G., Passive Investment Strategies and Efficient Markets, Eurpean Financial Management, Vol. 9, n.1 (Gennaio 2003), pp. 1-10.
- Malkiel B.G., The Efficient Market Hypothesis and Its Critics, CEPS Working Paper n. 91 (Aprile 2003), Princeton University.
- Markovitz H., Portfolio Selection, Journal of Finance, Vol. 7, n.1 (Marzo 1952), pp. 77-91.
- Markovitz H., Foundations of Portfolio Theory, Journal of Finance, Vol. 46, n.2 (Giugno 1991), pp. 469-477.
- Otten R., Bams D., European Mutual Fund Performance, European Financial Management, Vol. 8, n.1 (Marzo 2002), pp. 75-101.
- Otten R., Bams D., How to measure Mutual Fund Performance: Economic versus
Statistical Relevance, Accounting and Finance, Vol. 44, n.2 (Luglio 2004), pp. 203-222.
- Park, J.M., Staum J.C., Performance Persistence in the Alternative Investment
Industry, Working Paper, (Dicembre 1998).
- Radicella G., Does Active management Pay in Italy? A study of Mutual Fund
Performance in the Period 1989-1999, Giornale degli Economisti e Annali di
Economia, Vol. 60, n.1 (Giugno 2001), pp.75-96.
- Roll, R.W., A Critique of the Asset's Pricing Theory's Tests: Part I, Journal of Financial Economics, Vol. 4, (1977), pp. 129-176.
- Roll, R.W., Sensitivity of Performance Measurement to Index Choice:
Commonly-Used Indices, Working Paper, Graduate School of Management, (1979), UCLA.
- Ross S., The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, Vol. 13, n.3 (Dicembre 1976), pp. 341-360.
- Sharpe W.F., Capital Asset Prices: A Theory of Market Equilibrium under
Conditions of Risk, Journal of Finance, Vol. 19, n.3 (Settembre 1964), pp. 425-442.
- Simons K., Risk-Adjusted Performance of Mutual Funds, New England Economic Review, (Settembre-Ottobre 1998), Federal Reserve Bank of Boston Research Department.
- Stambaugh R.F., On the Exclusion of Assets from tests of two Parameter Model, Journal of Financial Economics, Vol. 10, (1982), pp. 235-268.
- Tiwari A., Vijh A., Sector Fund Performance, Working Paper, (Novembre 2001), Henry B. Tippie College of Business, Univeristy of Iowa
- Treynor, J. L., How to Rate Management of Investment Funds, Harvard Business Review, Vol. 43, n.1 (Gennaio-Febbraio 1965), pp. 63-75
- Wermers R., Is Money Really “Smart”? New Evidence on the Relation Between
Mutual Fund Flows, Manager Behavior, and Performance Persistence, Working
Paper (Novembre 2003), Robert H. Smith School of Business, University of Maryland.
Pubblicazioni Assogestioni
- A.A.V.V., Fondi Comuni di Investimento, Guida a Dati e Statistiche, Assogestioni, 1999, Milano.
- A.A.V.V., Fondi Comuni di Investimento, Guida a Dati e Statistiche, Assogestioni, 2000, Milano.
- A.A.V.V., Fondi Comuni di Investimento, Guida a Dati e Statistiche, Assogestioni, 2001, Milano.
- A.A.V.V., Fondi Comuni di Investimento, Guida a Dati e Statistiche, Assogestioni, 2002, Milano.
- A.A.V.V., Fondi Comuni di Investimento, Guida a Dati e Statistiche, Assogestioni, 2003, Milano.
- A.A.V.V., Fondi Comuni di Investimento, Guida a Dati e Statistiche, Assogestioni, 2004, Milano.
- A.A.V.V., Fondi Comuni di Investimento, Guida a Dati e Statistiche, Assogestioni, 2005, Milano.
Siti Internet Consultati
ABI (Associazione Bancaria Italiana): www.abi.it
ANASF (Associazione nazionale promotori finanziari): www.anasf.it ASSOGESTIONI: www.assogestioni.it
BANCA D’ITALIA: www.bancaditalia.it BORSA ITALIANA: www.borsaitaliana.it CONSOB: www.consob.it
DATASTREAM: www.datastream.com EUROSTAT: ec.europa.eu/eurostat FONDI.IT: www.fondi.it
IL SOLE 24 ORE: www.ilsole24ore.com ISTAT: www.istat.it
MEDIOBANCA R&S: www.mbres.it
MORNINGSTAR ITALIA: www.morningstar.it OCSE: www.oecd.org
PATTI CHIARI: http://edu.pattichiari.it
PERFORMANCE TRADING: www.performancetrading.it SOCIAL SCIENCE RESEARCH NETWORK: www.ssrn.org
