The literature assessing whether mutual fund managers have skill typically regards skill as an immutable attribute of the manager or the fund. Yet, many measures of skill, such as returns, alphas, and measures of stock-picking and market-timing, appear to vary over the business cycle. Because...

If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future value of these assets before he invests, which assets should he learn about? The best assets to acquire information about are ones the investor expects to hold. But the assets the...

Many explanations for home or local bias rely on information asymmetry: investors know more about their home assets. A criticism of these theories is that asymmetry should disappearwhen information is tradable. This criticism is flawed. If investors have asymmetric prior beliefs, but choose how...

We develop a rational model of investors who choose which asset payoreg;s to acquire informa-tion about, before forming portfolios. Scale economies in information acquisition lead investors to specialize in learning about a set of highly-correlated assets. Knowing more about these assets makes...

We solve the problem of an investor who chooses which assets' payoff to acquireinformation about before making an investment decision. Investors specialize becauseinformation has increasing returns: As an investor learns more about an asset, itbecomes less risky and more desirable to hold; as he...

Many explanations for home or local bias rely on information asymmetry: investors know more about their home assets. A criticism of these theories is that asymmetry should disappear when information is tradable. This criticism is flawed. If investors have asymmetric prior beliefs, but choose how...

When a boom ends, the downturn is generally sharp and short. When growth resumes, theboom is more gradual. Our explanation rests on learning about productivity. When agentsbelieve productivity is high, they work, invest, and produce more. More production generates higher precision information....

Many papers have argued that home bias arises because home investors can predict pays off their home assets more accurately than foreigners can. But why does this information advantage exist in a world where investors can learn foreign information? We model investors who are endowed with a small...

The question of whether and how mutual fund managers provide valuable services for their clients motivates one of the largest literatures in finance. One candidate explanation is that funds process information about future asset values and use that information to invest in high-valued assets....

Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has estimated picking and timing skill, assuming that each manager is endowed with a fixed amount of each and found some evidence of picking skills and little evidence of timing...