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Mutual Fund's R-super-2 as Predictor of Performance

Amihud, Yakov; Goyenko, Ruslan - In: Review of Financial Studies 26 (2013) 3, pp. 667-694

We propose that fund performance can be predicted by its R-super-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-super-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged...

Persistent link: https://www.econbiz.de/10010683091

Mutual Fund's R2 as Predictor of Performance

Amihud, Yakov - 2012

We propose that fund performance can be predicted by its R2, obtained from a regression of its returns on a multi-factor benchmark model. Lower R2 indicates greater selectivity and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R2 and...

Persistent link: https://www.econbiz.de/10012712517

Mutual Fund's R^2 as Predictor of Performance

Amihud, Yakov - 2012

We propose that fund performance can be predicted by its R2, obtained from a regression of its returns on a multi-factor benchmark model. Lower R2 indicates greater selectivity and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R2 and...

Persistent link: https://www.econbiz.de/10012754873

Market microstructure and price discovery on the Tokyo Stock Exchange

Amihud, Yakov - In: Japan and the world economy : international journal of … 1 (1989) 4, pp. 341-370

Persistent link: https://www.econbiz.de/10001092087

Illiquidity and stock returns : cross-section and time-series effects

Amihud, Yakov - In: Journal of financial markets 5 (2002) 1, pp. 31-56

Persistent link: https://www.econbiz.de/10001657094

Unexpected inflation and stock returns revisited : evidence from Israel

Amihud, Yakov - In: Journal of money, credit and banking : JMCB 28 (1996) 1, pp. 22-31

Persistent link: https://www.econbiz.de/10015139967

How (not) to integrate the European capital markets

Amihud, Yakov; Mendelson, Haim - In: European financial integration ..., (pp. 73-100). 1991

Persistent link: https://www.econbiz.de/10001435343

Number of shareholders and stock prices : evidence from Japan

Amihud, Yakov; Mendelson, Haim; Uno, Jun - In: The journal of finance : the journal of the American … 54 (1999) 3, pp. 1169-1184

Persistent link: https://www.econbiz.de/10001395720

Asset pricing and the bid-ask spread

Amihud, Yakov - In: Journal of financial economics 17 (1986) 2, pp. 223-249

Persistent link: https://www.econbiz.de/10001015036

Conglomerate mergers, managerial motives and stockholder wealth

Amihud, Yakov - In: Journal of banking & finance 10 (1986) 3, pp. 401-410

Persistent link: https://www.econbiz.de/10001024213

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