The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
AFA members can log in to view full-text articles below.
View past issues
Search the Journal of Finance:
Search results: 12.
Returns from Investing in Equity Mutual Funds 1971 to 1991
Published: 06/01/1995 | DOI: 10.1111/j.1540-6261.1995.tb04795.x
BURTON G. MALKIEL
Several recent studies suggest that equity mutual fund managers achieve superior returns and that considerable persistence in performance exists. This study utilizes a unique data set including returns from all equity mutual funds existing each year. These data enable us more precisely to examine performance and the extent of survivorship bias. In the aggregate, funds have underperformed benchmark portfolios both after management expenses and even gross of expenses. Survivorship bias appears to be more important than other studies have estimated. Moreover, while considerable performance persistence existed during the 1970s, there was no consistency in fund returns during the 1980s.
DISCUSSION
Published: 05/01/1975 | DOI: 10.1111/j.1540-6261.1975.tb01829.x
Burton G. Malkiel, Fred D. Arditti, Manak C. Gupta
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00318
John Y. Campbell, Martin Lettau, Burton G. Malkiel, Yexiao Xu
This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm‐level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested.