This paper examines the relation between the performance of small-cap equity mutual funds and the liquidity characteristics of their asset holdings. We study the trading behavior of fund managers and show that on average, they tend to buy less liquid stocks and sell more liquid stocks. We...

We provide evidence of a significant relation between diversification and performance in the hedge fund industry. Measuring diversification across four distinct dimensions, we find a significant positive relation between hedge fund performance and diversification across sectors and asset...

Evidence of speculator profit and TCC price less than congestion charges suggests that additional competition in the TCC auction should be encouraged as a way to increase efficiency and lower the price of this "insurance" for hedgers.

We examine whether the increase in the flow of capital to hedge funds over the period 1994-2005 had a negative impact on performance. More specifically, we study the relative performance of small versus large funds for each of the hedge fund strategies. Our results indicate that on an absolute...