We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with...

We study the dynamics of fund manager ownership for a sample of U.S. equity mutual funds from 2005 to 2011. We find that ownership changes positively predict changes in future risk-adjusted fund performance. A one-standarddeviation increase in ownership predicts a 1.6 percent increase in alpha...

We examine the determinants and consequences of mutual fund managers simultaneously managing multiple funds. Well-performing managers multitask by taking over poorly performing funds or launching new funds. Subsequent to multitasking, funds run by managers prior to multitasking (i.e., incumbent...

We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...

CAPM alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors pool together sophisticated model alpha with returns from exposures to traditional (except for the market) and exotic risks. We decompose performance into traditional and exotic...

We document a significant decline in the level of generalized trust among finance professionals relative to the decline of trust in the general U.S. population. This decline occurs across all subsectors and at all hierarchy levels and is unique to the finance industry. It is related to a lack of...

More and more investors apply socially responsible screens when building their stock portfolios. This raises the question whether these investors can increase their performance by incorporating such screens into their investment process. To answer this question we implement a simple trading...

We test the frequently made claim that SRI funds are conventional funds in disguise. For this purpose, we compare the portfolio holdings of SRI funds to conventional funds concerning their social and environmental standards. Our empirical study of US equity funds shows that SRI funds have a...

We examine the extent of the Status Quo Bias (SQB) in a real-world repeated decision situation. Individuals who are subject to a SQB tend to choose an alternative that was chosen previously (i.e. their status quo), even if it is not the optimal choice any more. We examine the US equity mutual...

This paper investigates the trading behavior of major market participants during an attempted delivery squeeze in a bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their strategic trading behavior, price distortion and learning in a...