This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false...

Academics responded to the challenges posed by the 2008 financial crisis with a flurry of studies. This collection of articles is just the academic community's first look into it. The articles begin with an examination at the last national housing price crash: the great depression of the 1930s....

Editorial: Presumably, academic journals exist and publish articles to disseminate new ideas. Somehow that simple goal has been lost. Today, articles appear in print only after a referee is convinced that all other alternative explanations for its results have been ruled out. In reality, no...

The Review of Financial Studies has among its missions the facilitation and promotion of a vigorous academic debate across unsettled questions in finance. This issue represents a cross section of views regarding one such debate: Can ourempirical models accurately forecast the equity premium any...

The authors examine an adverse selection model of trading in which both informed and uninformed traders are rational, maximizing agents. Replacing the price inelastic "noise" or "liquidity" traders with strategic, utility-maximizing hedgers permits an explicit analysis of the uninformed traders'...

A simple classical Walrasian framework is proposed for the study of manipulation among asymmetrically informed risk-averse traders in financial markets, and it is used to analyze the occurrence of a market breakdown in the trading system. Such a phenomenon occurs when the outsiders refuse to...