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,...

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.(...)

The valuation of corporate debt is an important issue in asset pricing. While there has been an enormous amount of theoretical modeling of corporate bond prices, there has been relatively little empirical testing of these models 1.(...)

This book contains the recent contributions of Edwin J Elton and Martin J Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the nineteen articles have been published in the last ten years. This book...

Berk and Green (2004) have made a strong theoretical argument for why past performance should not predict future performance. There are two possible economic explanations that are consistent with their model: increasing expenses or increase in size following good performance along with...

Despite the size and importance of separately managed accounts and collective investment trusts, their characteristics and performance have not been previously studied in the financial economics literature. In this paper, we show that, using the Fama-French-Carhart 4-factor model, on average...

This is a survey article. In it we review the modern literature on the characteristics and performance of mutual funds. Key articles on open end stock and bond funds, closed end funds and exchange traded funds are reviewed. Topics range from measuring and predicting performance to explaining...

In this paper we use data on the monthly holdings for a set of mutual funds to study the timing ability of these funds. These data differ from holdings data used in previous studies in that our holdings data have a higher frequency and include a full range of securities (e.g., options, bonds and...

To implement mean variance analysis one needs a technique for forecasting correlation coefficients. In this article we investigate the ability of several techniques to forecast correlation coefficients between securities. We find that separately forecasting the average level of pair-wise...

Many investors confine their mutual fund holdings to a single fund family, either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within than between fund families. As a result, restricting...