Ait-Sahalia, Yacine, and Andrew W. Lo, 1998, Nonparametric estimation of state-price densities implicit in financial asset prices, Journal of Finance 53, 499–547.
Amihud, Yakov, and Clifford M. Hurvich, 2004, Predictive regressions: A reduced-bias estimation method, Journal of Financial and Quantitative Analysis 39, 813–841.
Avramov, Doron, Laurent Barras, and Robert Kosowski, 2013, Hedge fund return predictability under the magnifying glass, Journal of Financial and Quantitative Analysis 48, 1057–1083.
Barras, Laurent, Olivier Scaillet, and Russ Wermers, 2010, False discoveries in mutual fund performance: Measuring luck in estimated alphas, Journal of Finance 65, 179–216.
Belsley, David A., Edwin Kuh, and Roy E. Welsch, 2004, Regression diagnostics—identifying influential data and sources of collinearity. Wiley Series in Probability and Statistics. New York: Wiley.
Ben-Rephael, Azi, Shmuel Kandel, and Avi Wohl, 2012, False discoveries in mutual fund performance: Measuring luck in estimated alphas, Journal of Financial Economics 104, 363–382.
Berk, Jonathan B., and Richard C. Green, 2004, Mutual fund flows and performance in rational markets, Journal of Political Economy 112, 1269–1295.
Berk, Jonathan B., and Jules van Binsbergen, 2015, Measuring skill in the mutual fund industry, Journal of Financial Economics 118, 1–20.
Berk, Jonathan B., and Jules van Binsbergen, 2021, Regulation of charlatans in high-skill professions, Journal of Finance, forthcoming.
Bhattacharya, Prashant K., 1967, Estimation of a probability density function and its derivatives, Sankhya Series A 29, 373–382.
Bond, Philip, Alex Edman, and Itay Goldstein, 2012, The real effects of financial markets, Annual Review of Financial Economics 4, 339–360.
Bonhomme, Stephane, and Azeem M. Shaikh, 2017, Keeping the econ in econometrics: (micro-) econometrics in the Journal of Political Economy, Journal of Political Economy 125, 1846–1853.
Calvet, Laurent E., John Y. Campbell, Francisco J. Gomes, and Paolo Sodini, 2019, The cross-section of household preferences, Working paper, NBER.
Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57–82.
Chen, Jiahua, 2017, On finite mixture models, Statistical Theory and Related Fields 1, 15–27.
Chen, Joseph, Harrison Hong, Ming Huang, and Jeffrey D. Kubik, 2004, Does fund size erode mutual fund performance? The role of liquidity and organization, American Economic Review 94, 1276–1302.
Chen, Yong, Michael Cliff, and Haibei Zhao, 2017, Hedge funds: The good, the bad, and the lucky, Journal of Financial and Quantitative Analysis 52, 1081–1109.
Cicci, Gjergji, Stefan Jaspersen, and Alexander Kempf, 2017, Speed of information diffusion within fund families, Review of Asset Pricing Studies 7, 145–170.
Cochrane, John H., 2013, Finance: Function matters, not size, Journal of Economic Perspective 27, 29–50.
Cohen, Randolf R., 2002, Dimensional fund advisors. Harvard Business School Case 203-026.
Cooper, Michael J., Michael Halling, and Wenhao Yang, 2021, The persistence of fee dispersion among mutual funds, Review of Finance 25, 365–402.
Crane, Alan D., and Kevin Crotty, 2018, Passive versus active fund performance: Do index funds have skill? Journal of Financial and Quantitative Analysis 53, 33–64.
Cremers, Martijn, Antti Petajisto, and Eric Zitzewitz, 2012, Should benchmark indices have alpha? Revisiting performance evaluation, Critical Finance Review 2, 1–48.
Diane Del, Guercio,, and Jonathan Reuter, 2014, Mutual fund performance and the incentive to generate alpha, Journal of Finance 69, 1674–1704.
Dow, James, and Gary Gorton, 1997, Noise trading, delegated portfolio management, and economic welfare, Journal of Political Economy 105, 1024–1050.
Elton, Edwin J., Martin J. Gruber, Sanjiv Das, and Matthew Hlavka, 1993, Efficiency with costly information: A reinterpretation of evidence from managed portfolios, Review of Financial Studies 6, 1–22.
Fama, Eugene F., and Kenneth R. French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22.
Gagliardini, Patrick, Elisa Ossola, and Olivier Scaillet, 2016, Time-varying risk premium in large cross-sectional equity datasets, Econometrica 84, 985–1056.
Gagliardini, Patrick, Elisa Ossola, and Olivier Scaillet, 2020, Estimation of large dimensional conditional factor models in finance, Handbook of Econometrics 7A, 219–282.
Greene, William H., 2008, Econometric analysis, 8th edition. New Jersey: Perentice Hall.
Greenwood, Robin, and David Scharfstein, 2013, The growth of modern finance, Journal of Economic Perspective 27, 3–28.
Gruber, Martin J., 1996, Another puzzle: The growth in actively managed mutual funds, Journal of Finance 51, 783–810.
Habib, Michel, and Bruce B. Johnsen, 2016, The quality-assuring role of mutual fund advisory fees, International Review of Law and Economics 46, 1–19.
Hall, Peter, 1990, Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems, Journal of Multivariate Analysis 32, 177–203.
Hall, Peter, and Kee-Hoon Kang, 2001, Bootstrapping nonparametric density estimators with empirically chosen bandwidths, Annals of Statistics 29, 1443–1468.
Harvey, Campbell R., and Yan Liu, 2018, Detecting repeatable performance, Review of Financial Studies 31, 2499–2552.
Hjalmarsson, Erik, 2010, Predicting global stock returns, Journal of Financial and Quantitative Analysis 45, 49–80.
Hoberg, Gerard, Nitin Kumar, and Nagpurnanand Prabhala, 2018, Detecting repeatable performance, Review of Financial Studies 31, 1896–1929.
Hong, Harrison, Terence Lim, and Jeremy Stein, 2018, Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies, Review of Financial Studies 31, 1896–1929.
Hsiao, Cheng, 2003, Analysis of Panel Data. Econometric Society Monographs. Cambridge: Cambridge University Press.
Jensen, Michael C., 1968, The performance of mutual funds in the period 1945-1964, Journal of Finance 23, 389–416.
Jones, Christopher S., and Jay Shanken, 2005, Mutual fund performance with learning across funds, Journal of Financial Economics 61, 2551–2595.
Kosowski, Robert, Allan Timmermann, Russ Wermers, and Halbert White, 2006, Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis, Journal of Finance 61, 2551–2595.
Kurlat, Pablo, 2019, The social value of financial expertise, American Economic Review 109, 556–590.
Lancaster, Tom, 2000, The incidental parameter problem since 1948, Journal of Econometrics 95, 391–413.
Lewellen, Jonathan, and Stefan Nagel, 2006, The conditional CAPM does not explain asset-pricing anomalies, Journal of Financial Economics 82, 289–314.