User profiles for William N. Goetzmann

William Goetzmann

Yale University
Verified email at yale.edu
Cited by 37929

Efficiency and the bear: Short sales and markets around the world

A Bris, WN Goetzmann, N Zhu - The Journal of Finance, 2007 - Wiley Online Library
We analyze cross‐sectional and time‐series information from 46 equity markets around the
world to consider whether short sales restrictions affect the efficiency of the market and the …

Long-term global market correlations

WN Goetzmann, L Li, KG Rouwenhorst - 2001 - nber.org
In this paper we examine the correlation structure of the major world equity markets over
150 years. We find that correlations vary considerably through time and are highest during …

Performance persistence

SJ Brown, WN Goetzmann - The Journal of finance, 1995 - Wiley Online Library
We explore performance persistence in mutual funds using absolute and relative
benchmarks. Our sample, largely free of survivorship bias, indicates that relative risk‐adjusted …

Equity portfolio diversification

WN Goetzmann, A Kumar - Review of Finance, 2008 - academic.oup.com
This study shows that US individual investors hold under-diversified portfolios, where the
level of under-diversification is greater among younger, low-income, less-educated, and less-…

Pairs trading: Performance of a relative-value arbitrage rule

E Gatev, WN Goetzmann… - The Review of Financial …, 2006 - academic.oup.com
We test a Wall Street investment strategy, “pairs trading,” with daily data over 1962–2002.
Stocks are matched into pairs with minimum distance between normalized historical prices. A …

Offshore hedge funds: Survival and performance 1989-1995

SJ Brown, WN Goetzmann, RG Ibbotson - 1997 - nber.org
We examine the performance of the offshore hedge fund industry over the period 1989
through 1995 using a database that includes defunct as well as currently operating funds. The …

Accounting for taste: Art and the financial markets over three centuries

WN Goetzmann - The American Economic Review, 1993 - JSTOR
In this paper, transaction prices of paintings brought to market at least twice over the period
1715-1986 are used to construct an art return index. The index allows a comparison of …

Cognitive dissonance and mutual fund investors

WN Goetzmann, N Peles - Journal of financial Research, 1997 - Wiley Online Library
We present evidence from questionnaire responses of mutual fund investors about
recollections of past fund performance. We find that investor memories exhibit a positive bias, …

Do winners repeat?

WN Goetzmann, RG Ibbotson - Journal of portfolio management, 1994 - elibrary.ru
Examines the link between past mutual fund performance of money managers and future
performance. Focus on stock market open-ended mutual funds; Previous studies; Monthly total …

Mutual fund styles

SJ Brown, WN Goetzmann - Journal of financial Economics, 1997 - Elsevier
Mutual funds are typically grouped by their investment objectives or the ‘style’ of their managers.
We propose a new empirical to the determination of manager ‘style’. This approach is …