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Antweiler, Werner, and Murray z. Frank, 2004, Is all that talk just noise? The information content of Internet stock message boards, Journal of Finance 59, 1259-1293.
Beneish, Messod D., and John C. Gardner, 1995, Information costs and liquidity effects from changes in the Dow Jones Industrial Average list, Journal of Financial and Quantitative Analysis 30, 135-157.
Cai, Jie, 2004, Are the S&P 500 index additions free of information? Evidence form the price and volume reaction of the industry and size matching firms, Working paper, Iowa University.
Campbell, John Y., Sanford J. Grossman, and Jiang Wang, 1993, Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 108, 9058-939.
Chen, Honghui, Gregory Noronha, and Vijay Singal, 2004, The price response to S&P 500 Index additions and deletions: Evidence of asymmetry and a new explanation, Journal of Finance 59, 1901-1929.
Culter, David M., James M. Poterba, and Lawrence H. Summers, 1989, What moves stock prices? Journal of Portfolio Management 15, 4-12.
Delong, J. Bradford, Andrei Shleifer, and Lawrence H. Summer, and Robert J. Waldmann, 1990a, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
Denis, Diane K., John J. McConnell, Alexei V. Ovtchinnikov, and Yun Yu, 2003, S&P 500 index additions and earnings expectations, Journal of Finance 58, 1821-1840.
Dhillon, Upinder, and Herb Johnson, 1991, Changes in the Standard and Poor’s 500 list, Journal of Business 64, 75-85.
Edmister, Robert O., Steven Graham, and Wendy Pirie, 1994, Excess returns of index replacement stocks: Evidence of liquidity and substitutability, Journal of Financial Research 17, 333-346.
Elliott, William B., and Richard S. Warr, 2003, Price pressure on the NYSE and NASDAQ: Evidence from S&P 500 index changes, Financial Management 32, 85-99.
Erfle, Stephen, and Henry McMillan, 1990, Media, Political Pressure, and the Firm: The Case of Petroleum Pricing in the Late 1970s The Quarterly Journal of Economics, 105, 115-134.
Erwin, Gayle R. and James M. Miller, 1998, The liquidity effects associated with additions of a stock to the S&P index: Evidence from bid/ask spreads, Financial Review 33, 131-146.
Gervais, Simon, Ron Kaniel, and Daniel Mingelgrin, 2001, The high-volume return premium, Journal of finance 56, 877-919.
Goetzmann, William N., and Mark Garry, 1986, Does delisting from the S&P 500 affect stock price? Financial Analyst Journal 42, 64-69.
Harris, Lawrence, and Eitan Gurel, 1986, Price and volume effects associated with changes in the S&P 500: New evidence for the existence of price pressure, Journal of Finance 41, 815-830.
Hegde, Shantaram, and John McDermott, 2003, The liquidity effects of revisions to the S&P 500 index: An empirical analysis, Journal of Financial Market 6, 413-459.
Jain, Prem C., 1987, The effect on stock price of inclusion or exclusion from the S&P 500, Financial Analyst Journal 43,58-65.
Jensen, Michael C., 1986, Agency cost of free cash flow, Corporate Finance, and Takeovers, American Economic Review, 76, 323-329.
Jensen, Michael C., and William H. Meckling, 1976, Theory of the firm: Managerial behavior, agency costs and ownership structure, Journal of Financial Economics 3, 305-360.
Kadlec, Gregory B., and John J. McConnell, 1994, The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings, Journal of Finance 49, 611-636.
Kaniel, Ron, Dong Li, and Laura T. Starks, 2003, The investor recognition hypothesis: International evidence and determinants, Working Paper, AFA 2004 San Diego Meetings; University of Texas at Austin.
Kaul, Aditya, Vikas Mehrotra, and Randall Morck, 2000, Demand curves for stocks do slope down: New evidence from an index weights adjustment, Journal of Finance 55, 893-912.
Lamoureux, Christopher G.. and James W. Wansley, 1987, Market effects of changes in the Standard and Poor’s 500 index, Financial Review 22, 53-69.
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Malkiel Burton G.. and Radisich Alekssander, 2001, The growth of index funds and the pricing of equity securities, Journal of Portfolio Management 27, 9-21.
Pruitt, Stephen W., and K.C. John Wei, 1989, Institutional ownership and changes in the S&P 500, Journal of Finance 44, 509-514.
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Shleifer, Andrei, 1986, Does demand curves for stocks slope down? Journal of Finance 41, 579-590.
Woolridge, R. and C. Ghosh, 1986, Institutional trading and security prices: The case of changes in the composition of the S&P 500 index, Journal of Financial Review 9, 13-24.
Wurgler, Jeffrey, and Katia Zhuravskaya, 2002, Does arbitrage flatten demand curves for stocks? Journal of Business 75, 583-608.
Essay 2.
Baks, Klaas, Andrew Metrick, and Jessica Watcher, 2001, Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation, Journal of Finance 56, 45-85.
Becker, Stan, and Greg Vaughan, 2001, Small is beautiful, Journal of Portfolio Management (Summer), 9-17.
Blume, Marshall, 1998, An anatomy of Morningstar Ratings, Financial Analysts Journal (March/April), 19-27.
Brown, Keith C., W. V. Harlow, and Laura T. Starks, 1996, Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry, Journal of Finance 51, 85-110.
Brown, Stephen J., and William N. Goetzmann, 1995, Performance persistence, Journal of Finance 50, 679-698.
Busse, Jeffrey A., 2001, Another look at mutual fund tournaments, Journal of Financial and Quantitative Analysis 36, 53-73.
Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
Carhart, Mark M., Ron Kanile, David K. Musto, and Adam V. Reed, 2002, Learning for the tape: Evidence of gaming behavior in equity mutual funds, Journal of Finance 57, 661-693.
Chen, Joseph, Harrison Hong, Ming Huang, and Jeffrey D. Kubik, 2004, does fund size erode performance? The role of liquidity and organization, American Economic Review 94, 1276-1302.
Chevalier, Judith, and Glenn Ellison, 1997, Risk taking by mutual funds as a response to incentives, Journal of Political Economy 105, 1167-1200.
Christoffersen, Susan E. K., and David K. Musto, 2002, Demand curves and the pricing of money management, Review of Financial Studies 15, 1499-1524.
Edelen, Roger M., and Jerold B. Warner, 2001, Aggregate price effects of institutional trading: A study of mutual fund flows and market returns, Journal of Financial Economics 59, 195-220.
Elton, J.Edwin, Martin J. Gruber, and Christopher R. Blake, 1996, The persistence of risk-adjusted mutual fund performance, Journal of Business 69, 133-157.
Goetzmann, William N. and Nadav Peles, 1997, Cognitive dissonance and mutual fund investors, Journal of Financial Research 20, 145-158.
Goetzmann, William, and Roger Ibbotson, 1994, Do winners repeat? Patterns in mutual fund performance, Journal of Portfolio Management 20, 9-18.
Greene, Jason. T. and Charles W. Hodges, 2002, The dilution impact of daily fund flows on open-end mutual funds, Journal Financial Economics 65, 131-158.
Grinblatt, Mark, and Sheridan Titman 1989, Mutual fund performance: an analysis quarterly portfolio holdings, Journal of Business 62, 393-416.
Grinblatt, Mark, and Sheridan Titman 1992, The persistence of mutual fund performance, Journal of Finance 47, 1877-1984.
Gruber, Martin J., 1996, Another puzzle: The growth in actively managed mutual funds, Journal of Finance 51, 783-810.
Howe, Thomas, S., and Ralph A. Pope, 1996, Equity mutual fund historical performance ratings as predictors of future performance, Journal Financial and Strategic Decision 9, 33-43.
Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser, 1993, Hot hands in mutual fund: short run persistence of relative performance, 1974-1988, Journal of Finance 48, 93-130.
Indro, Daniel C., Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee, 1999, Mutual fund performance: does fund size matter? Financial Analysts Journal 55, 74-87.
Ippolito, R. A., 1992, Consumer reaction to measures of poor quality: evidence from the mutual fund industry, Journal of Law and Economics 40, 403-427.
Jegadeesh, Narasimhan, and Sheridan Titman, (1993), Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
Jensen, Michael C., 1969, Risk, the pricing of capital assets, and evaluation of investment portfolios, Journal of Business 42, 167-247.
Khorana, Ajay, 1996, Top management turnover: An empirical investigation of mutual fund managers, Journal of Financial Economics 40, 403-427.
Sandmo, Agnar, 1971, On the theory of the competitive firm under price uncertainty, American Economic Review 61, 65-73.
Santini, Donald, L., and Jack W. Aber, 1998, Determinants of net money flow to the equity mutual fund industry, Journal of Economics and Business 50, 419-429.
Sapp, Travis, and Ashish Tiwari, 2004, Does stock return momentum explain the “smart money” effect? Journal of Finance 59, 2605-2622.
Sawicki, Julia, and Frank Finn, 2002, Smart money and small funds, Journal of Business Finance and Accounting 29, 825-846.
Shu, Pei-Gi, Yin-Hua Yeh, and Takeshi Yamada, 2002, The behavior of Taiwan mutual fund investors—performance and fund flows, Pacific-Basin Finance Journal 10, 583-600.
Sirri, Erik, and Peter Tufano, 1998, Costly search and mutual fund flows, Journal of Finance 53, 1589-1622.
Wang, Ching-Chang, and C. Jerry Yu, 2007, The holdings mark-up behavior of mutual funds—Evidence from an emerging market, 2007 FMA Annual Meeting International, Orlando, Florida.
Warther, Vincent A., 1995, aggregate mutual fund flows and security returns, Journal of Financial Economics 39, 209-235.
Wermers, Russ, 2000, Mutual fund performance: An empirical decomposition into stock picking talent, style transaction costs and expenses, Journal of Finance 55, 1655-1695.
Zeckhauser, Richard, Jayendu Patel, and Darryll Hendricks, 1991, Nonrational actors and financial market behavior, Theory and Decision 31, 257-287.
Zheng, Lu, 1999, Is money smart? A study of mutual fund investors’ fund selection ability, Journal of Finance 54, 901-933.