Concepedia

Hedge Fund Holdings and Stock Market Efficiency

Charles Cao, Bing Liang, Andrew W. Lo, Lubomir Petrasek

The Review of Asset Pricing Studies · 2015 · 126 citations · 64 references

Open access

Concepts

BusinessEconomicsFinanceAsset PricingFinancial EconomicsFinancial MarketsCapital MarketsEquity MarketsHedge FundsInvestmentMarket EfficiencyStock MarketsAsset Pricing EfficiencyFinancial Market EfficiencyHedge Fund ReturnsInformational EfficiencyIntraday TradingMarket Efficiency Tests

References

64

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

On Persistence in Mutual Fund Performance

Mark M. Carhart · The Journal of Finance · 1997 · 17K citations · Full text

Business, Economics, Finance +17

Risk, Return, and Equilibrium: Empirical Tests

Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 15.1K citations

Business, Economics, Finance +17

Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

Mitchell A. Petersen · Review of Financial Studies · 2008 · 11.2K citations · Full text

Social Sciences, Economics, Finance +12

On the Impossibility of Informationally Efficient Markets

Sanford J. Grossman · RePEc: Research Papers in Economics · 1980 · 5.3K citations

Social Sciences, Economics, Information Theory +9