Russ Wermers

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Russ Wermers
Wermers1.jpg
NationalityAmerican
OccupationAcademic
Academic background
Alma materUCLA
Academic work
DisciplineFinancial economics
InstitutionsUniversity of Maryland
Main interestsMutual fund performance measurement
Impact of mutual funds on stock markets
Empirical tests of stock market efficiency
WebsiteHome page

Russ Wermers is an Associate Professor of Finance, Robert H. Smith School of Business at the University of Maryland at College Park.

Wermers current research interests include studies of mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets.

Papers

Wermers coauthored a 2011 Graham & Dodd Scroll Award[1] winning paper, Active Management in Mostly Efficient Markets.[2]

Wermers is the author/coauthor of the following most cited papers, listed from most to least cited.

Year Study
1997 Measuring mutual fund performance with characteristic‐based benchmarks[3]
1995 Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior[4]
1999 Mutual fund herding and the impact on stock prices[5]
2000 Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses[6]
2006 Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis[7]
2000 The value of active mutual fund management: An examination of the stockholdings and trades of fund managers[8]
2010 False discoveries in mutual fund performance: Measuring luck in estimated alphas[9]
2003 Is money really'smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence[10]
1997 Momentum investment strategies of mutual funds, performance persistence, and survivorship bias[11]
2006 Investing in mutual funds when returns are predictable[12]
2013 Analyst recommendations, mutual fund herding, and overreaction in stock prices[13]
2012 Mutual fund performance and governance structure: The role of portfolio managers and boards of directors[14]

Books

  • Fischer, Bernd R.; Wermers, Russ (December 31, 2012). Performance Evaluation and Attribution of Security Portfolios. Academic Press. p. 724. ISBN 978-0127444833.CS1 maint: uses authors parameter (link)

See also

References

  1. "Graham and Dodd Award Winners". CFA Institute. Retrieved December 14, 2015.
  2. Jones,Robert C.; Wermers, Russ (2011). Active Management in Mostly Efficient Markets (PDF). Financial Analysts Journal Volume 67.CS1 maint: uses authors parameter (link)
  3. Daniel, Kent; Grinblatt, Mark; Titman, Sheridan; Wermers, Russ (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of Finance Volume 52: Blackwell Publishing Ltd. pp. 1035–1058.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  4. Grinblatt, Mark; Titman, Sheridan; Wermers, Russ (1995). Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. The American Economic Review: American Economic Association. pp. 1088–1105.CS1 maint: uses authors parameter (link)
  5. Wermers, Russ (1999). Mutual fund herding and the impact on stock prices. The Journal of Finance Volume 54 (2): Blackwell Publishers, Inc. pp. 581–622.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  6. Wermers, Russ (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance 55 (4): Blackwell Publishers, Inc. pp. 1655–1703.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  7. Kosowski, Robert; Timmermann, Allan; Wermers, Russ; White, Hal (2006). Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. The Journal of finance 61 (6): Blackwell Publishing Inc. pp. 2551–2595.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  8. Chen, Hsiu-Lang; Jegadeesh, Narasimhan; Wermers, Russ (2000). The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis 35 (03): Cambridge University Press. pp. 343–368.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  9. Barras, Laurent; Scaillet, Olivier; Wermers, Russ (2010). False discoveries in mutual fund performance: Measuring luck in estimated alphas. The Journal of Finance 65 (1): Blackwell Publishing Inc. pp. 179–216.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  10. Wermers, Russ (2003). Is money really'smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence.CS1 maint: uses authors parameter (link)
  11. Wermers, Russ (1997). Momentum investment strategies of mutual funds, performance persistence, and survivorship bias. Unpublished Working Paper, University of Colorado.CS1 maint: uses authors parameter (link)
  12. Avramov, Doron; Wermers, Russ (2006). Investing in mutual funds when returns are predictable. Journal of Financial Economics 81 (2). pp. 339–377.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  13. Brown, Nerissa C.; Wei, Kelsey D.; Wermers, Russ (2013). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science 60 (1): INFORMS. pp. 1–20.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  14. Ding, Bill and Wermers, Russ (2012). Mutual fund performance and governance structure: The role of portfolio managers and boards of directors. SSRN.CS1 maint: uses authors parameter (link)

External links