This paper examines the style-based feedback trading behavior of mutual fund managers. We provide an empirical version of the model for style-switching behavior of Barberis and Shleifer (2003). We find style-based feedback trading for 77% of the funds, half of which is positive- (negative-)...

We estimate a heterogeneous agent model on five prominent equity investment styles - value, size, profitability, investment, and momentum - and find evidence for behavioral heterogeneity in expected return formation. Our model features two groups of boundedly rational investors, fundamentalists...

This paper studies the added value of intentional style herding for mutual fund managers. We find that herding in styles is significant and persistent, especially for active funds. We also report that herding tends to increase after periods of high market volatility, and decrease with sentiment....

American university and college endowments now hold close to one-third of their portfolios in private equity and hedge funds. We estimate the implied beliefs of endowments about alternative assets' returns relative to equities and bonds. At the end of 2012, the typical endowment believes that...

The joint-hypothesis problem casts doubt on the results of market efficiency research. Specifically, it is hard to assess to what extent financial markets reflect economic fundamentals or mispricing. To address this issue, we study price formation in a large virtual asset market where...

American university and college endowments now hold close to one-third of their portfolios in private equity and hedge funds. We estimate the implied beliefs of endowments about alternative assets' returns relative to equities and bonds. At the end of 2012, the typical endowment believes that...

We study intentional herding in investment styles by mutual funds, and its consequences. We find that style herding is significant and persistent, especially for active funds. Herding tends to increase after periods of high market volatility and decrease with sentiment, consistent with the...

We study intentional herding in investment styles by mutual funds, and its consequences. We find that style herding is significant and persistent, especially for active funds. Herding tends to increase after periods of high market volatility and decrease with sentiment, consistent with the...

We introduce a methodology to estimate the historical time-series of returns to investment in private equity funds. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners, and is robust to sparse data. We decompose private equity...