This paper uses various (un)conditional metrics to measure the benefits of diversification to determine if a minimum portfolio size should be prescribed to achieve a naively but sufficiently well-diversified portfolio for various investment opportunity sets (un)differentiated by cross-listing...

This paper examines the impact of social performance (SP) on the financial firm's risk (total, idiosyncratic, systematic and tail). We find that the aggregate measure of SP (concerns) is significantly and negatively (positively) related to a financial firm's risk. Only some SP dimensions...

In this paper, we investigate the profitability of characteristics-based mutual fund investment strategies. We analyze the existence of capacity effects on the individual fund level and its interactions with fund flows, family TNA, and family size. Recent studies suggest the existence of...

We investigate the existence of capacity effects on the winner fund level for US equity mutual funds between 1992 and 2007. Conditioning on fund size yields positive yet insignificant four-factor alphas for small winner funds. Small winner funds with low inflows generate significantly positive...

This paper investigates the relationship between short sales and governance. We argue that short sales are reversely linked to the overall level of corporate governance of a firm and that sellers react contemporaneously to changes in such governance. Our results show that short traders may also...

This study proposes a novel method based on within-zone leverage variations to measure the magnitude of stable leverage episodes at the firm level. Using this method, we investigate a leading candidate determinant of such episodes' length: access to credit. Using a discontinuity approach with...

We formulate a Cournot-type market equilibrium model of simultaneous trading in the CDS and Loan CDS (LCDS) markets. We use novel formulations of two-market demand functions that include trading costs and margins. The equilibrium identifies a relation between premiums, elasticities and recovery...