Details about Russell Wermers

Access statistics for papers by Russell Wermers.

Last updated 2021-06-17. Update your information in the RePEc Author Service.

Short-id: pwe503

Working Papers

2021

1. Do ETFs increase liquidity?
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (2)
2. The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think
   Working Papers, Office of Financial Research, US Department of the Treasury View citations (8)

2020

3. International characteristic-based asset pricing
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)

2019

4. Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)

2018

5. Holding Horizon: A New Measure of Active Investment Management
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (9)

2017

6. Picking Funds with Confidence
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (1)
   See also Journal Article Picking funds with confidence, Journal of Financial Economics, Elsevier (2021) View citations (2) (2021)
7. Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing during the 2011-12 Eurozone Crisis
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)

2016

8. Managerial rents vs. shareholder value in delegated portfolio management: The case of closed-end funds
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (15)
   See also Journal Article Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds, The Review of Financial Studies, Society for Financial Studies (2016) View citations (15) (2016)

2015

9. Network centrality and pension fund performance
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (2)
10. The freedom of information act and the race towards information acquisition
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (1)
    See also Journal Article The Freedom of Information Act and the Race Toward Information Acquisition, The Review of Financial Studies, Society for Financial Studies (2017) View citations (12) (2017)

2014

11. Runs on Money Market Funds
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
12. Runs on money market mutual funds
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (19)
    Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2012) View citations (8)
    See also Journal Article Runs on Money Market Mutual Funds, American Economic Review, American Economic Association (2016) View citations (89) (2016)

2013

13. Seasonal asset allocation: Evidence from mutual fund flows
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (32)
    See also Journal Article Seasonal Asset Allocation: Evidence from Mutual Fund Flows, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) View citations (41) (2017)

2012

14. A matter of style: The causes and consequences of style drift in institutional portfolios
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (30)
15. Forecasting stock returns through an efficient aggregation of mutual fund holdings
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (25)
    See also Journal Article Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings, The Review of Financial Studies, Society for Financial Studies (2012) View citations (25) (2012)
16. Governance and shareholder value in delegated portfolio management: The case of closed-end funds
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)
17. The cross-section of conditional mutual fund performance in European stock markets
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)
    See also Journal Article The cross section of conditional mutual fund performance in European stock markets, Journal of Financial Economics, Elsevier (2013) View citations (37) (2013)

2011

18. Mutual Fund Return Predictability in Partially Segmented Markets
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)

2010

19. Decentralized Investment Management: Evidence from the Pension Fund Industry
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in MPRA Paper, University Library of Munich, Germany (2010)
    See also Journal Article Decentralized Investment Management: Evidence from the Pension Fund Industry, Journal of Finance, American Finance Association (2013) View citations (44) (2013)
20. Style Migration and the Cross-Section of Stock Returns
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)
21. The Investment Value of Mutual Fund Portfolio Disclosure
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (2)
    Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2007) View citations (7)

2009

22. Endogenous benchmarks
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)
23. False discoveries in mutual fund performance: Measuring luck in estimated alphas
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (13)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2005) View citations (4)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2008) View citations (3)
    See also Journal Article False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas, Journal of Finance, American Finance Association (2010) View citations (264) (2010)
24. The performance of European equity mutual funds
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)

2007

25. Analyst recommendations, mutual fund herding, and overreaction in stock prices
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (10)
    See also Journal Article Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices, Management Science, INFORMS (2014) View citations (83) (2014)

2006

26. Portfolio performance, discount dynamics, and the turnover of closed-end fund managers
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (1)

2005

27. Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (12)
    See also Journal Article Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis, Journal of Finance, American Finance Association (2006) View citations (320) (2006)
28. Investing in mutual funds when returns are predictable
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (3)
    See also Journal Article Investing in mutual funds when returns are predictable, Journal of Financial Economics, Elsevier (2006) View citations (107) (2006)

Journal Articles

2021

1. Picking funds with confidence
   Journal of Financial Economics, 2021, 139, (1), 1-28 View citations (2)
   See also Working Paper Picking Funds with Confidence, CEPR Discussion Papers (2017) View citations (1) (2017)

2020

2. Do Fund Managers Misestimate Climatic Disaster Risk
   The Review of Financial Studies, 2020, 33, (3), 1146-1183 View citations (69)
3. Institutional Trading around Corporate News: Evidence from Textual Analysis
   The Review of Financial Studies, 2020, 33, (10), 4627-4675 View citations (14)

2018

4. Network centrality and delegated investment performance
   Journal of Financial Economics, 2018, 128, (1), 183-206 View citations (44)

2017

5. Seasonal Asset Allocation: Evidence from Mutual Fund Flows
   Journal of Financial and Quantitative Analysis, 2017, 52, (1), 71-109 View citations (41)
   See also Working Paper Seasonal asset allocation: Evidence from mutual fund flows, CFR Working Papers (2013) View citations (32) (2013)
6. The Freedom of Information Act and the Race Toward Information Acquisition
   The Review of Financial Studies, 2017, 30, (6), 2179-2228 View citations (12)
   See also Working Paper The freedom of information act and the race towards information acquisition, CFR Working Papers (2015) View citations (1) (2015)

2016

7. Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds
   The Review of Financial Studies, 2016, 29, (12), 3428-3470 View citations (15)
   See also Working Paper Managerial rents vs. shareholder value in delegated portfolio management: The case of closed-end funds, CFS Working Paper Series (2016) View citations (15) (2016)
8. Runs on Money Market Mutual Funds
   American Economic Review, 2016, 106, (9), 2625-57 View citations (89)
   See also Working Paper Runs on money market mutual funds, CFR Working Papers (2014) View citations (19) (2014)

2015

9. Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds
   Management Science, 2015, 61, (10), 2394-2414 View citations (15)

2014

10. Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices
    Management Science, 2014, 60, (1), 1-20 View citations (83)
    See also Working Paper Analyst recommendations, mutual fund herding, and overreaction in stock prices, CFR Working Papers (2007) View citations (10) (2007)
11. Investor Flows to Asset Managers: Causes and Consequences
    Annual Review of Financial Economics, 2014, 6, (1), 289-310 View citations (24)
12. Mutual fund performance evaluation with active peer benchmarks
    Journal of Financial Economics, 2014, 112, (1), 1-29 View citations (31)

2013

13. Decentralized Investment Management: Evidence from the Pension Fund Industry
    Journal of Finance, 2013, 68, (3), 1133-1178 View citations (44)
    See also Working Paper Decentralized Investment Management: Evidence from the Pension Fund Industry, CEPR Discussion Papers (2010) (2010)
14. The cross section of conditional mutual fund performance in European stock markets
    Journal of Financial Economics, 2013, 108, (3), 699-726 View citations (37)
    See also Working Paper The cross-section of conditional mutual fund performance in European stock markets, CFR Working Papers (2012) (2012)

2012

15. Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings
    The Review of Financial Studies, 2012, 25, (12), 3490-3529 View citations (25)
    See also Working Paper Forecasting stock returns through an efficient aggregation of mutual fund holdings, CFR Working Papers (2012) View citations (25) (2012)

2011

16. Investments and Portfolio Performance, by Edwin J. Elton and Martin J. Gruber
    Quantitative Finance, 2011, 11, (9), 1297-1298
17. Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts
    Annual Review of Financial Economics, 2011, 3, (1), 537-574 View citations (18)

2010

18. False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
    Journal of Finance, 2010, 65, (1), 179-216 View citations (264)
    See also Working Paper False discoveries in mutual fund performance: Measuring luck in estimated alphas, CFR Working Papers (2009) View citations (13) (2009)

2006

19. Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
    Journal of Finance, 2006, 61, (6), 2551-2595 View citations (320)
    See also Working Paper Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis, CFR Working Papers (2005) View citations (12) (2005)
20. Investing in mutual funds when returns are predictable
    Journal of Financial Economics, 2006, 81, (2), 339-377 View citations (107)
    See also Working Paper Investing in mutual funds when returns are predictable, CFR Working Papers (2005) View citations (3) (2005)
21. Performance evaluation with portfolio holdings information
    The North American Journal of Economics and Finance, 2006, 17, (2), 207-230 View citations (15)

2000

22. Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses
    Journal of Finance, 2000, 55, (4), 1655-1695 View citations (548)
23. The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers
    Journal of Financial and Quantitative Analysis, 2000, 35, (3), 343-368 View citations (214)

1999

24. Mutual Fund Herding and the Impact on Stock Prices
    Journal of Finance, 1999, 54, (2), 581-622 View citations (634)

1995

25. Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior
    American Economic Review, 1995, 85, (5), 1088-1105 View citations (718)

Books

2012

1. Performance Evaluation and Attribution of Security Portfolios
   Elsevier Monographs, Elsevier View citations (9)