Russ Wermers
Russ Wermers | |
---|---|
Nationality | American |
Occupation | Academic |
Academic background | |
Alma mater | UCLA |
Academic work | |
Discipline | Financial economics |
Institutions | University of Maryland |
Main interests | Mutual fund performance measurement Impact of mutual funds on stock markets Empirical tests of stock market efficiency |
Website | Home page |
Russ Wermers is an Associate Professor of Finance, Robert H. Smith School of Business at the University of Maryland at College Park.
Wermers current research interests include studies of mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets.
Papers
Wermers coauthored a 2011 Graham & Dodd Scroll Award[1] winning paper, Active Management in Mostly Efficient Markets.[2]
Wermers is the author/coauthor of the following most cited papers, listed from most to least cited.
Year | Study |
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1997 | Measuring mutual fund performance with characteristic‐based benchmarks[3] |
1995 | Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior[4] |
1999 | Mutual fund herding and the impact on stock prices[5] |
2000 | Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses[6] |
2006 | Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis[7] |
2000 | The value of active mutual fund management: An examination of the stockholdings and trades of fund managers[8] |
2010 | False discoveries in mutual fund performance: Measuring luck in estimated alphas[9] |
2003 | Is money really'smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence[10] |
1997 | Momentum investment strategies of mutual funds, performance persistence, and survivorship bias[11] |
2006 | Investing in mutual funds when returns are predictable[12] |
2013 | Analyst recommendations, mutual fund herding, and overreaction in stock prices[13] |
2012 | Mutual fund performance and governance structure: The role of portfolio managers and boards of directors[14] |
Books
- Fischer, Bernd R.; Wermers, Russ (December 31, 2012). Performance Evaluation and Attribution of Security Portfolios. Academic Press. p. 724. ISBN 978-0127444833.
See also
References
- ↑ "Graham and Dodd Award Winners". CFA Institute. Retrieved December 14, 2015.
- ↑ Jones,Robert C.; Wermers, Russ (2011). Active Management in Mostly Efficient Markets (PDF). Financial Analysts Journal Volume 67.
- ↑ Daniel, Kent; Grinblatt, Mark; Titman, Sheridan; Wermers, Russ (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of Finance Volume 52: Blackwell Publishing Ltd. pp. 1035–1058.
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: CS1 maint: location (link) - ↑ Grinblatt, Mark; Titman, Sheridan; Wermers, Russ (1995). Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. The American Economic Review: American Economic Association. pp. 1088–1105.
- ↑ Wermers, Russ (1999). Mutual fund herding and the impact on stock prices. The Journal of Finance Volume 54 (2): Blackwell Publishers, Inc. pp. 581–622.
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: CS1 maint: location (link) - ↑ Wermers, Russ (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance 55 (4): Blackwell Publishers, Inc. pp. 1655–1703.
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: CS1 maint: location (link) - ↑ Kosowski, Robert; Timmermann, Allan; Wermers, Russ; White, Hal (2006). Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. The Journal of finance 61 (6): Blackwell Publishing Inc. pp. 2551–2595.
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: CS1 maint: location (link) - ↑ Chen, Hsiu-Lang; Jegadeesh, Narasimhan; Wermers, Russ (2000). The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis 35 (03): Cambridge University Press. pp. 343–368.
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: CS1 maint: location (link) - ↑ Barras, Laurent; Scaillet, Olivier; Wermers, Russ (2010). False discoveries in mutual fund performance: Measuring luck in estimated alphas. The Journal of Finance 65 (1): Blackwell Publishing Inc. pp. 179–216.
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: CS1 maint: location (link) - ↑ Wermers, Russ (2003). Is money really'smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence.
- ↑ Wermers, Russ (1997). Momentum investment strategies of mutual funds, performance persistence, and survivorship bias. Unpublished Working Paper, University of Colorado.
- ↑ Avramov, Doron; Wermers, Russ (2006). Investing in mutual funds when returns are predictable. Journal of Financial Economics 81 (2). pp. 339–377.
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: CS1 maint: location (link) - ↑ Brown, Nerissa C.; Wei, Kelsey D.; Wermers, Russ (2013). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science 60 (1): INFORMS. pp. 1–20.
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: CS1 maint: location (link) - ↑ Ding, Bill; Wermers, Russ (2012). Mutual fund performance and governance structure: The role of portfolio managers and boards of directors. SSRN.
External links
- Web page
- Author page, Academic search (beta)
- Google Scholars page
- SSRN Working papers