This paper investigates whether profit-seeking and values-driven investor decisions have an impact on the timing ability of socially responsible mutual fund managers. Surprisingly, we find evidence of successful market timing skill for positively screened mutual fund managers who fulfill the...

This study uses a multifactor REIT-specific model to estimate and compare REIT idiosyncratic volatility vis-à-vis the same from the Fama–French three-factor model. Estimates of conditional idiosyncratic volatility and conditional betas obtained from a multifactor REIT-returns model and a...

Market timing is the ability of portfolio managers to anticipate stock market return by increasing (decreasing) portfolio sensitivity in upward (downward) markets. To assess market timing, the financial literature has proposed return-based and holdings-based measures. Our objective is to analyze...

Applying a novel data set that covers the emerging Asia equity funds over a period from 2003 to 2009 at weekly frequency, we provide evidence of the existence of a U-shaped relationship between fund size and performance. Moreover, we find that (i) the size-performance relation is highly...

This paper uses Hansen and Jagannathan's (1991) volatility bounds to evaluate models with idiosyncratic consumption risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and the distribution of the idiosyncratic shock is...

Do investors confuse the quality of a firm with its attractiveness as an investment? If so, shares of well-run companies will be bid up too high and subsequently earn negative abnormal returns. Our analysis of Fortune magazine's annual survey of quot;America's Most Admired Companiesquot; for...

We explore the impact of capital market integration on the welfare of domestic investors, in particular, with closed-form solutions to optimal asset holdings and utility changes in a simple equilibrium framework wherein agents have mean–variance utility. Our model allows us to show the welfare...

Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of intraday data of five US equity indices and is also...

Empirical evidence showing significant effects of local factors on international equity returns while failing to find significant effects from global systematic risk seems counter-intuitive in today's integrated world markets. This paper uses the conditional second moments estimated from an...

I use the second Hansen and Jagannathan (1997) distance measure (HJD) to examine whether index-based models similar to Cremers, Petajisto, and Zitzewitz (forthcoming) are more reliable benchmark models of expected returns than the Fama and French (1993) and Carhart (1997) models in U.K. stock...