The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals.(...)

Because a money manager learns more about her skill from her management experience than outsiders can learn from her realized returns, she expects inefficiency in future contracts that condition exclusively on realized returns.(...)

Defined-contribution plans represent a major organizational form for investors´ retirement savings. Today more than one third of all workers are enrolled in 401K plans.(...)

We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly subjective and are difficult to arbitrage.(...)

The methodology of Bai and Ng (2002, 2003) for decomposing large panel data into systematic and idiosyncratic components is applied to both returns and turnover. Combining this with a GLS-based principal components approach, we demonstrate that their procedure works well for both returns and...

The paper describes how two types of traders, marketmakers and speculators, establish their positions and manage their risk exposure. We show that balance sheets are insufficient to determine whether a trader is a marketmaker or a speculator.(...)

This paper examines problems in the CRSP Survivor Bias Free U.S. Mutual Fund Database (CRSP, 1998) and compares returns contained in it to those in Morningstar. The CRSP database has an omission bias that has the same effects as survivorship bias. Although all mutual funds are listed in CRSP,...

This paper provides one potential explanation for the rise, persistence and eventual fall of internet stock prices. Specifically, we appeal to a model of heterogenous agents with varying degrees of beliefs about asset payoffs who are subject to short sales constraints.(...)

This paper offers a comprehensive study of survivorship issues, in the context of mutual fund research, using the mutual fund data set of Carhart (1997). We find that funds in our sample disappear primarily because of multi-year poor performance.(...)

This paper demonstrates that an an institutional feature inherent in a multitude of mutual funds managing billions in assets generates fund NAVs that reflect stale prices. Since, in many cases, investors can trade at these NAVs with little or no transactions costs, there is an obvious trading...