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 …

I propose and test a capital-flow-based explanation for some well-known empirical
regularities concerning return predictability—the persistence of mutual fund performance …

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 …

Among high active share portfolios—whose holdings differ substantially from their
benchmark—only those with patient investment strategies (with holding durations of over …

We hypothesize that a source of commonality in a stock's liquidity arises from the correlated
liquidity demand of the stock's investors. Focusing on correlated trading of mutual funds, we …

The convention when calculating corporate bond trading costs is to estimate bid–ask
spreads that customers pay, implicitly assuming that dealers always provide liquidity to …

We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity
and fund performance. We develop a model of informed trading with disclosure and test its …

We examine the impact of institutional trading on stock resiliency during the financial crisis of
2007–2009. We show that buy-side institutions have different exposure to liquidity factors …

We propose a new method to model hedge fund risk exposures using relatively high‐
frequency conditioning variables. In a large sample of funds, we find substantial evidence …

We analyze the investment behavior of affiliated funds of mutual funds (AFoMFs), which are
mutual funds that can only invest in other funds in the family, and are offered by most large …