924                                                    25

6.        
  :

Stanley J. , The Market-Timing Performance of Mutual Fund Managers, Journal of

Business, 56, no. 3 (July 1983), pp. 323-347.

Anat R. Admati and Stephen A. Ross, Measuring Investment Performance in a Rational

Expectations Equilibrium Model, Journal of Business, 58, no. 1 (January 1985),

pp. 1-26.

Philip H. Dybvig and Stephen A. Ross, Differential Information and Performance

Measurement Using a Security Market Line, Journal of Finance, 40, no. 2 (June 1985),

pp. 383-399.

Philip H. Dybvig and Stephen A. Ross, The Analytics of Performance Measurement

Using a Security Market Line, Journal of Finance, 40, no. 2 (June 1985), pp. 401416.

Mark Kritzman, How to Detect Skill in Management Performance, Journal of Portfolio

Management, 12, no. 2 (Winter 1986), pp. 16-20.

Ravi Jagannathan and Robert A. Korajczyk, Assessing the Market Timing Performance of

Managed Portfolios, Journal of Business, 59, no. 2, pt. 1 (April 1986), pp. 217-235.

Anat R. Admati, Sudipto Bhattacharya, Paul Pfleiderer, and Stephen A. Ross, On Timing

and Selectivity, Journal of Finance, 41, no. 3 (July 1986), pp. 715730.

Gary P. Brinson, L. Randolph Hood, and Gilbert L. Beebower, Determinants of Portfolio

Performance, Financial Analysts Journal, 42, no. 4 (July/August 1986), pp. 3944.

William Breen, Ravi Jagannthan, and Aharon R. Ofer, Correcting for Heteroscedasticity

in Tests for Market Timing Ability, Journal of Business, 59, no. 4, pt. 1 (October 1986),

pp. 585-598.

Robert E. Cumby and David M. Modest, Testing for Market Timing Ability: A Framework

for Forecast Evaluation, Journal of Financial Economics, 19, no. 1 (September 1987),

pp. 169-189.

Larry J. Lockwood and K. Rao Kadiyala, Measuring Investment Performance with a

Stochastic Parameter Regression Model, Journal of Banking and Finance, 12, no. 3

(September 1988), pp. 457-467.

Alex Kane and Gary Marks, Performance Evalution of Market Timers: Theory and

Evidence, Journal of Financial and Quantitative Analysis, 23, no. 4 (December 1988),

pp. 425-435.

Mark Grinblatt and Sheridan Titman, Portfolio Performance Evaluation: Old Issues and

New Insights, Review of Financial Studies, 2 no. 3 (1989), pp. 393421.

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.

Michel Gendron and Christian Genest, Performance Measurement Under Asymmetric

Information and Investment Constraints, Journal of Finance, 45, no. 5 (December 1990),

pp. 1655-1661.

Cheng-few 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.

Gary P. Brinson, Brian D. Singer, and Gilbert L. Beebower, Determinants of Portfolio

Performance II: An Update, Financial Analysts Journal, 47, no. 3 (May/June 1991),

pp. 40-48.

Chris R. Hensel, D. Don Ezra, and John H. Ilkiw, The Importance of the Asset Allocation

Decision, Financial Analysts Journal, 47, no. 4 (July/August 1991), pp. 6572.

Eric J. Weigel, The Performance of Tactical Asset Allocation, Financial Analysts Journal,

47, no. 5 (September/October 1991), pp. 63-70.