It is well known that the pro forma performance of a sample of investment funds contains
biases. These biases are documented in Brown, Goetzmann, Ibbotson, and Ross (1992) …

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 …

Dynamic graph neural networks (DyGNNs) have demonstrated powerful predictive abilities
by exploiting graph structural and temporal dynamics. However, the existing DyGNNs fail to …

From conspiracy theories to fake cures and fake treatments, COVID-19 has become a hot-
bed for the spread of misinformation online. It is more important than ever to identify methods …

Finance is a particularly challenging playground for deep reinforcement learning. However,
establishing high-quality market environments and benchmarks for financial reinforcement …

Dynamic graph neural networks (DyGNNs) currently struggle with handling distribution shifts
that are inherent in dynamic graphs. Existing work on DyGNNs with out-of-distribution …

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 …

This paper studies the flows of funds into and out of equity mutual funds. Consumers base
their fund purchase decisions on prior performance information, but do so asymmetrically …

This article develops and applies new measures of portfolio performance which use
benchmarks based on the characteristics of stocks held by the portfolios that are evaluated …

Mutual funds represent one of the fastest growing type of financial intermediary in the
American economy. The question remains as to why mutual funds and in particular actively …