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 …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

We propose a new definition of skill as general cognitive ability to pick stocks or time the
market. We find evidence for stock picking in booms and market timing in recessions …

Exploiting the fact that insiders trade for a variety of reasons, we show that there is
predictable, identifiable “routine” insider trading that is not informative about firms' futures. A …

Using Active Share and tracking error, the author sorted all-equity mutual funds into various
categories of active management. The most active stock pickers outperformed their …

We show that familiarity affects the portfolio decisions of mutual fund managers. Controlling
for fund location, funds overweight stocks from their managers' home states by 12 …

We propose a theory of momentum and reversal based on flows between investment funds.
Flows are triggered by changes in fund managers' efficiency, which investors either observe …

Mutual funds change their risk levels significantly over time. Risk shifting might be caused by
ill-motivated trades of unskilled or agency-prone fund managers who trade to increase their …

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

We show that analyst coverage proxies contain information about expected returns. We
decompose analyst coverage into abnormal and expected components using a simple …