Russ Wermers

University of Maryland - Robert H. Smith School of Business

Professor of Finance

Department of Finance

College Park, MD 20742-1815

United States

http://www.rhsmith.umd.edu/finance/rwermers/

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 421

SSRN RANKINGS

Top 421

in Total Papers Downloads

33,993

CITATIONS
Rank 530

SSRN RANKINGS

Top 530

in Total Papers Citations

910

Scholarly Papers (38)

1.

Is Money Really 'Smart'? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence

Number of pages: 56 Posted: 23 Jul 2003
Russ Wermers
University of Maryland - Robert H. Smith School of Business
Downloads 5,471 (730)
Citation 111

Abstract:

mutual funds, market efficiency, performance evaluation

2.

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of pages: 53 Posted: 05 Mar 2008 Last Revised: 03 Feb 2011
Laurent Barras, O. Scaillet and Russ Wermers
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 4,960 (937)
Citation 75

Abstract:

Mutual Fund Performance, Multiple-Hypothesis Test, Luck, False Discovery Rate

3.
Downloads 3,907 ( 1,566)
Citation 51

Investing in Mutual Funds when Returns are Predictable

Number of pages: 58 Posted: 08 Jun 2004
Doron Avramov and Russ Wermers
Hebrew University of Jerusalem - Jerusalem School of Business Administration and University of Maryland - Robert H. Smith School of Business
Downloads 3,907 (1,539)
Citation 51

Abstract:

Equity mutual fund, asset allocation, manager skills, business cycle

Investing in Mutual Funds when Returns are Predictable

Journal of Financial Economics (JFE), Forthcoming
Posted: 01 Jun 2005
Doron Avramov and Russ Wermers
Hebrew University of Jerusalem - Jerusalem School of Business Administration and University of Maryland - Robert H. Smith School of Business

Abstract:

4.

Forecasting Stock Returns through An Efficient Aggregation of Mutual Fund Holdings

Review of Financial Studies, Forthcoming, AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 19 Mar 2006 Last Revised: 17 Jul 2012
Russ Wermers, Tong Yao and Jane Zhao
University of Maryland - Robert H. Smith School of Business, University of Iowa - Henry B. Tippie College of Business and PanAgora Asset Management
Downloads 2,542 (3,160)
Citation 7

Abstract:

mutual funds, performance persistence, portfolio disclosure, stock selection

Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available

Number of pages: 28 Posted: 20 Mar 2009 Last Revised: 09 Jan 2013
Daniel Li, Michael Markov and Russ Wermers
Markov Processes International LLC, Markov Processes International LLC and University of Maryland - Robert H. Smith School of Business
Downloads 1,832 (5,804)
Citation 4

Abstract:

hedge funds, hedging, replication, portfolio management, risk management, VaR

Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available

Journal of Investment Consulting, Vol. 14, No. 1, 57-68, 2013
Number of pages: 14 Posted: 23 Dec 2013
Daniel Li, Michael Markov and Russ Wermers
Markov Processes International LLC, Markov Processes International LLC and University of Maryland - Robert H. Smith School of Business
Downloads 19 (440,547)
Citation 4

Abstract:

G10, G11

6.

The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers

Journal of Financial and Quantitative Analysis
Number of pages: 45 Posted: 07 Jul 2000
Emory University - Department of Finance, University of Illinois at Chicago - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 1,610 (6,907)
Citation 140

Abstract:

7.
Downloads 1,429 ( 9,076)
Citation 274

Mutual Fund Herding and the Impact on Stock Prices

Number of pages: 49 Posted: 21 Oct 1998
Russ Wermers
University of Maryland - Robert H. Smith School of Business
Downloads 1,429 (8,883)
Citation 274

Abstract:

Mutual Fund Herding and the Impact on Stock Prices

Journal of Finance
Posted: 24 Oct 1998
Russ Wermers
University of Maryland - Robert H. Smith School of Business

Abstract:

8.
Downloads 1,129 ( 13,297)
Citation 6

Runs on Money Market Mutual Funds

Number of pages: 60 Posted: 14 Mar 2011 Last Revised: 12 Sep 2015
University of Chicago - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 825 (20,908)
Citation 6

Abstract:

Money market mutual funds; bank runs; strategic complementarities

Runs on Money Market Mutual Funds

Number of pages: 44 Posted: 19 Mar 2012
Russ Wermers
University of Maryland - Robert H. Smith School of Business
Downloads 304 (76,083)
Citation 6

Abstract:

Money market funds, banking

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Number of pages: 56 Posted: 28 Nov 2005 Last Revised: 17 Oct 2013
Imperial College Business School, University of California, San Diego (UCSD) - Department of Economics, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,120 (13,206)
Citation 132

Abstract:

mutual funds, performance evaluation, bootstrap

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Journal of Finance, Vol. 61, No. 6, December 2006
Posted: 19 Dec 2011
Imperial College Business School, University of California, San Diego (UCSD) - Department of Economics, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

Abstract:

mutual funds, performance evaluation, bootstrap

Mutual Fund Performance Evaluation with Active Peer Benchmarks

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 54 Posted: 19 Feb 2009 Last Revised: 13 Aug 2013
University of Hawaii at Manoa - Shidler College of Business, Hebrew University of Jerusalem - Department of Economics, Deceased and University of Maryland - Robert H. Smith School of Business
Downloads 826 (20,868)
Citation 4

Abstract:

Endogenous Benchmarks

AFA 2010 Atlanta Meetings Paper
Number of pages: 45 Posted: 21 Mar 2009
University of Hawaii at Manoa - Shidler College of Business, Hebrew University of Jerusalem - Department of Economics, University of Maryland - Robert H. Smith School of Business and Deceased
Downloads 209 (113,350)
Citation 4

Abstract:

11.

Seasonal Asset Allocation: Evidence from Mutual Fund Flows

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 127 Posted: 17 Nov 2011 Last Revised: 04 Sep 2015
York University - Schulich School of Business, University of Toronto - Rotman School of Management, University of British Columbia (UBC) - Sauder School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 980 (16,481)
Citation 5

Abstract:

household finance, mutual fund flow seasonality, net exchanges, net flows, sentiment, time-varying risk aversion, risk tolerance

12.

Herd Behavior in Voluntary Disclosure Decisions: An Examination of Capital Expenditure Forecasts*

AAA 2006 Financial Accounting and Reporting Section (FARS) Meeting Paper
Number of pages: 55 Posted: 17 Jan 2005
University of Delaware - Alfred Lerner College of Business and Economics, University of Maryland - Department of Accounting & Information Assurance and University of Maryland - Robert H. Smith School of Business
Downloads 782 (20,380)
Citation 6

Abstract:

herding, disclosure

13.

Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices

Management Science, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 37 Posted: 22 Mar 2009 Last Revised: 23 May 2013
Nerissa C. Brown, Kelsey D. Wei and Russ Wermers
University of Delaware - Alfred Lerner College of Business and Economics, University of Texas at Dallas and University of Maryland - Robert H. Smith School of Business
Downloads 759 (24,035)
Citation 28

Abstract:

analyst revisions, mutual fund herding, managerial myopia

14.

Portfolio Performance, Discount Dynamics, and the Turnover of Closed-End Fund Managers

EFA 2006 Zurich Meetings Paper, AFA 2008 New Orleans Meetings Paper
Number of pages: 45 Posted: 23 Mar 2005 Last Revised: 27 Nov 2008
Russ Wermers, Youchang Wu and Josef Zechner
University of Maryland - Robert H. Smith School of Business, University of Oregon and Vienna University of Economics and Business
Downloads 727 (23,628)
Citation 1

Abstract:

Closed-end fund, manager turnover, discount

15.

Mutual Fund Performance and Governance Structure: The Role of Portfolio Managers and Boards of Directors

Number of pages: 59 Posted: 30 Jan 2013 Last Revised: 13 Feb 2014
Bill Ding and Russ Wermers
Zhejiang University and University of Maryland - Robert H. Smith School of Business
Downloads 597 (33,542)
Citation 22

Abstract:

governance of asset management institutions, mutual fund boards, portfolio manager disciplinary mechanisms

16.

Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios

Number of pages: 35 Posted: 19 Mar 2012
Russ Wermers
University of Maryland - Robert H. Smith School of Business
Downloads 476 (31,127)
Citation 15

Abstract:

Mutual fund performance, style drift

17.

Performance Evaluation of Active Managers: An Overview of Current Practice

Investments & Wealth Monitor, January/February 2011
Number of pages: 8 Posted: 27 Oct 2010 Last Revised: 22 Nov 2011
Jason C. Hsu, Vitali Kalesnik and Russ Wermers
Rayliant Global Advisors, Research Affiliates LLC and University of Maryland - Robert H. Smith School of Business
Downloads 451 (43,057)

Abstract:

Performance, Evaluation

18.

Style Migration and the Cross-Section of Stock Returns

AFA 2011 Denver Meetings Paper, UIC College of Business Administration Research Paper No. 10-05
Number of pages: 56 Posted: 19 May 2010 Last Revised: 02 Jan 2011
Hsiu-Lang Chen and Russ Wermers
University of Illinois at Chicago - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 430 (49,890)
Citation 1

Abstract:

19.

Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds

Number of pages: 51 Posted: 22 Apr 2012
Kelsey D. Wei, Russ Wermers and Tong Yao
University of Texas at Dallas, University of Maryland - Robert H. Smith School of Business and University of Iowa - Henry B. Tippie College of Business
Downloads 398 (41,827)
Citation 5

Abstract:

Mutual Fund Return Predictability in Partially Segmented Markets

Number of pages: 77 Posted: 23 Mar 2009 Last Revised: 22 Oct 2011
Board of Governors of the Federal Reserve System, California Institute of Technology, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 323 (71,137)
Citation 3

Abstract:

European equity markets; mutual fund performance; time-varying investment opportunities.

The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets

Journal of Financial Economics (JFE), Forthcoming
Posted: 23 Mar 2011 Last Revised: 05 Sep 2012
Board of Governors of the Federal Reserve System, California Institute of Technology, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business

Abstract:

European equity markets, mutual fund performance, time-varying investment opportunities

Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds

Review of Financial Studies, Forthcoming
Number of pages: 60 Posted: 21 Nov 2012 Last Revised: 04 Jul 2016
Youchang Wu, Russ Wermers and Josef Zechner
University of Oregon, University of Maryland - Robert H. Smith School of Business and Vienna University of Economics and Business
Downloads 293 (79,303)
Citation 1

Abstract:

closed-end fund, closed-end fund discount, portfolio manager, managerial rent

Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds

CFS WP No. 548
Number of pages: 63 Posted: 26 Oct 2016
Youchang Wu, Russ Wermers and Josef Zechner
University of Oregon, University of Maryland - Robert H. Smith School of Business and Vienna University of Economics and Business
Downloads 13 (474,542)
Citation 1

Abstract:

G23, G34

22.

Do Institutional Investors Monitor their Large vs. Small Investments Differently? Evidence from the Say-On-Pay Vote

Robert H. Smith School Research Paper No. RHS 2510442
Number of pages: 56 Posted: 17 Oct 2014 Last Revised: 15 Dec 2016
Miriam Schwartz-Ziv and Russ Wermers
Michigan State University and University of Maryland - Robert H. Smith School of Business
Downloads 204 (56,413)

Abstract:

shareholder's votes, say-on-pay, financial institutions, small shareholders

23.

The Freedom of Information Act and the Race Towards Information Acquisition

Robert H. Smith School Research Paper No. RHS 2517075, Finance Down Under 2015 Building on the Best from the Cellars of Finance Paper
Number of pages: 54 Posted: 01 Nov 2014 Last Revised: 30 Apr 2015
Antonio Gargano, Alberto G. Rossi and Russ Wermers
University of Melbourne - Department of Finance, University of Maryland - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 200 (83,299)

Abstract:

Institutional Investors, Hedge Funds, Freedom of Information Act

24.

Share Restrictions and Investor Flows in the Hedge Fund Industry

Number of pages: 50 Posted: 20 Nov 2015
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, University of Massachusetts Amherst - Department of Finance, University of California at Irvine and University of Maryland - Robert H. Smith School of Business
Downloads 106 (201,128)
Citation 4

Abstract:

hedge fund flows, investor flow restrictions, hedge fund flow-performance relation

25.

Institutional Trading around Corporate News: Evidence from Textual Analysis

Robert H. Smith School Research Paper
Number of pages: 49 Posted: 05 Oct 2013 Last Revised: 19 Oct 2016
Alan Guoming Huang, Hongping Tan and Russ Wermers
University of Waterloo, York University - Schulich School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 79 (155,448)

Abstract:

Institutional trading, Public news, Textual analysis

26.

Decentralized Investment Management: Evidence from the Pension Fund Industry

CEPR Discussion Paper No. DP7679
Number of pages: 57 Posted: 10 Feb 2010
City University London - Cass Business School - The Pensions Institute, University of California, San Diego (UCSD) - Department of Economics, University of Bath School of Management and University of Maryland - Robert H. Smith School of Business
Downloads 15 (445,729)
Citation 5

Abstract:

asset management, decentralized management, pension funds, principal agent problems

27.

Runs on Money Market Funds

CEPR Discussion Paper No. DP9906
Number of pages: 63 Posted: 02 Jun 2014
University of Chicago - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 3 (503,685)
Citation 6

Abstract:

bank runs, money market mutual funds, quantile regression, strategic complementarities

28.

Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis

Number of pages: 65 Posted: 16 Dec 2016
Washington Univ. in St. Louis - Olin Business School & Center for Social Development, University of Chicago - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Downloads 0 (391,267)

Abstract:

Money market funds, Eurozone crisis, financial fragility, endogenous information acqui- sition, transparency in short-term funding markets

29.

Network Centrality and Delegated Investment Performance

Netspar Discussion Paper No. 12/2015-065
Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 02 Oct 2016
University of Maryland - Department of Finance, City University London - Cass Business School - The Pensions Institute, University of California, San Diego (UCSD) - Department of Economics, University of Bath School of Management and University of Maryland - Robert H. Smith School of Business
Downloads 0 (259,149)

Abstract:

Networks, Investment Management, Performance

30.

Cash-Flow Timing vs. Discount-Rate Timing: A Decomposition of Mutual Fund Market-Timing Skills

Finance Down Under 2016 Building on the Best from the Cellars of Finance , American Finance Association Meetings, 2017 Chicago
Number of pages: 67 Posted: 01 Oct 2015 Last Revised: 26 Jul 2016
Chunhua Lan and Russ Wermers
UNSW Business School and University of Maryland - Robert H. Smith School of Business
Downloads 0 (283,350)

Abstract:

Cash-flow timing, discount-rate timing, market timing

31.

Investor Flows to Asset Managers: Causes and Consequences

Annual Review of Financial Economics, Vol. 6, pp. 289-310, 2014
Posted: 25 Nov 2014
University of Toronto - Rotman School of Management, University of Pennsylvania - Finance Department and University of Maryland - Robert H. Smith School of Business

Abstract:

32.

Holding Horizon: A New Measure of Active Investment Management

American Finance Association Meetings 2015 Paper
Number of pages: 60 Posted: 31 Oct 2014 Last Revised: 26 Jul 2016
Chunhua Lan, Fabio Moneta and Russ Wermers
UNSW Business School, Queen's University - Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 0 (224,693)

Abstract:

mutual funds, performance evaluation, investment horizons, selection skills

33.

Active Management in Mostly Efficient Markets

Financial Analysts Journal, Vol. 67, No. 6, 2011
Posted: 23 Nov 2011
Russ Wermers and Robert W. Jones
University of Maryland - Robert H. Smith School of Business and affiliation not provided to SSRN

Abstract:

Portfolio Management, Equity Portfolio Management Strategies, Active Management, Fixed-Income Portfolio Management Strategies, Active Management, Portfolio Concepts from Capital Market Theory, Efficient Market Hypothesis, Risk Management

Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts

Annual Review of Financial Economics, Forthcoming
Posted: 20 Oct 2011
Russ Wermers
University of Maryland - Robert H. Smith School of Business

Abstract:

mutual funds, hedge funds, institutional investors, pension funds, performance evaluation

Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts

Annual Review of Financial Economics, Vol. 3, pp. 537-574, 2011
Posted: 10 Jan 2012
Russ Wermers
University of Maryland - Robert H. Smith School of Business

Abstract:

35.

Active Management in Mostly Efficient Markets

Financial Analysts Journal, Forthcoming
Posted: 20 Oct 2011
Robert Jones and Russ Wermers
Arwen Advisors and University of Maryland - Robert H. Smith School of Business

Abstract:

mutual funds, active management, performance evaluation

36.

Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses

Journal of Finance
Posted: 03 Jul 2000
Russ Wermers
University of Maryland - Robert H. Smith School of Business

Abstract:

37.

Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior

Posted: 07 Sep 1999
Mark Grinblatt, Sheridan Titman and Russ Wermers
University of California, Los Angeles (UCLA) - Finance Area, University of Texas at Austin - Department of Finance and University of Maryland - Robert H. Smith School of Business

Abstract:

38.

Herding, Trade Reversals, and Cascading by Institutional Investors

Posted: 20 Dec 1998
Russ Wermers
University of Maryland - Robert H. Smith School of Business

Abstract: