On the Demand for High-Beta Stocks: Evidence from Mutual Funds

Author:

Christoffersen Susan E. K.1,Simutin Mikhail2

Affiliation:

1. University of Toronto and Copenhagen Business School

2. University of Toronto

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Reference66 articles.

1. Portfolio choice and trading in a large 401(k) plan;Agnew,;American Economic Review,2003

2. Why constrain your mutual fund manager;Almazan,;Journal of Financial Economics,2004

3. Illiquidity and stock returns: Cross-section and time-series effects;Amihud,;Journal of Financial Markets,2002

4. Mutual fund R$^{\mathrm{2}}$ as predictor of performance;Amihud,;Review of Financial Studies,2013

5. The cross-section of volatility and expected returns;Ang,;Journal of Finance,2006

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