We develop a new method for detecting portfolio manager activity. Our method relies exclusively on portfolio returns and, consequently, avoids the pitfalls associated with disclosed portfolio holdings. We investigate the link between activity and performance of actively managed U.S. equity funds...

We evaluate the performance of 51 mutual fund families based on a study of their diversified US managed mutual funds over an 11 year period and explore the determinants of performance gross of published expenses. We find that mutual fund families which charge loads, high expenses to their most...

Is there timing ability in the exchange rate markets? We address this question by examining foreign firms' decisions to issue American Depositary Receipts (ADRs). Specifically, we test whether foreign firms consider currency market conditions in their ADR issuance decisions and, in doing so,...

American Depository Receipts (ADRs) represent shares of foreign firms that are issuedand traded in the U.S. Since an ADR and its underlying shares represent ownership interest ofthe same firm, they should be perfect substitutes in a perfect market. However, marketimperfections such as...

American Depository Receipts (ADRs) represent shares of foreign firms that are issued and traded in the U.S. Since an ADR and its underlying shares represent ownership interest of the same firm, they should be perfect substitutes in a perfect market. However, market imperfections such as...

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce...

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of...

In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new specification to study market timing. Instead of considering an average market exposure for mutual...

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce...