Just over 20 years have passed since the publication of Mark Carhart's landmark 1997 study
on mutual funds. Its conclusion—that the data did “not support the existence of skilled or …

This study documents an association between changes in institutional ownership during a
calendar quarter and abnormal returns at the time of subsequent announcements of …

Using a sample free of survivor bias, I demonstrate that common factors in stock returns and
investment expenses almost completely explain persistence in equity mutual funds' mean …

We derive a parsimonious rational model of active portfolio management that reproduces
many regularities widely regarded as anomalous. Fund flows rationally respond to past …

This study analyzes the extent to which mutual funds purchase stocks based on their past
returns as well as their tendency to exhibit" herding" behavior (ie, buying and selling the …

Momentum in individual stock returns relates to momentum in factor returns. Most factors are
positively autocorrelated: the average factor earns a monthly return of six basis points …

We introduce a new measure of active portfolio management, Active Share, which
represents the share of portfolio holdings that differ from the benchmark index holdings. We …

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 …

We use a new database to perform a comprehensive analysis of the mutual fund industry.
We find that funds hold stocks that outperform the market by 1.3 percent per year, but their …

We find that the determinants of the cross-section of expected stock returns are stable in
their identity and influence from period to period and from country to country. Out-of-sample …