The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...

This paper proposes several new holdings-based measures of fund investment horizon, and examines the relation between manager skills and fund holding horizon. We find that both aggregate holdings and trades of long-horizon funds are informative about superior future long-term stock returns,...

This paper develops two measures of performance inconsistency based on information derived from funds' actual performance and their disclosed portfolio holdings. Using these measures, we show that funds with unskilled managers and poor performance are associated with greater inconsistency....

We study whether fund families efficiently allocate their fund managers to different market segments. Whether a fund manager can generate alpha simultaneously depends on her skills, and on the efficiency of the market segment in which she is employed. We show that in the more efficient...

This paper develops a new approach that controls for commonalities in actively managed investment fund returns when measuring their performance. It is well-known that many investment funds may systematically load on common priced factors omitted from popular models, exhibit similarities in their...

This paper analyzes the performance of portfolio strategies that invest in noload, open-end U.S. domestic equity mutual funds, incorporating predictability in (i) manager skills, (ii) fund risk-loadings, and (iii) benchmark returns. Predictability in manager skills is found to be the dominant...

We study a set of German open-end mutual funds for a time period during which this industry emerged from its infancy. In those years, the distribution channel for mutual funds was dominated by the brick-and-mortar retail networks of the large universal banks. Using monthly observations from...

This paper provides new evidence supporting the rationality of closed-end fund discounts by analyzing the time-series dynamics of individual fund discounts and their relation to portfolio performance and manager turnover. We show that discount changes reflect rational investor learning about...

Short sellers are perceived as informed, sophisticated investors. Yet little is known about their actual performance and trading strategies. Using a novel, hand-collected data set of daily position disclosures in Europe, we identify the entry, change, and exit dates of large short-sale positions...