User profiles for William N. Goetzmann
William GoetzmannYale University Verified email at yale.edu Cited by 37929 |
Efficiency and the bear: Short sales and markets around the world
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 …
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 …
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 …
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-…
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 …
Stocks are matched into pairs with minimum distance between normalized historical prices. A …
Offshore hedge funds: Survival and performance 1989-1995
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 …
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 …
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, …
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 …
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 …
We propose a new empirical to the determination of manager ‘style’. This approach is …