We study whether fund families efficiently allocate their fund managers to different market segments. Whether a fund manager can generate alpha simultaneously depends on her skills, and on the efficiency of the market segment in which she is employed. We show that in the more efficient...

This paper develops a new approach that controls for commonalities in actively managed investment fund returns when measuring their performance. It is well-known that many investment funds may systematically load on common priced factors omitted from popular models, exhibit similarities in their...

This paper studies the impact of mandatory portfolio disclosure of mutual funds on the liquidity of disclosed stocks and on fund performance. We consider a theoretical model of informed trading with different mandatory disclosure frequencies. Using a regulation change in May 2004 that increased...

We examine the determinants and consequences of the multitasking phenomenon in the mutual fund industry where fund managers simultaneously manage multiple funds. We show that wellperforming managers multitask either by taking over poorly performing funds within fund companies (i.e., acquired...

This paper develops two measures of performance inconsistency based on information derived from funds' actual performance and their disclosed portfolio holdings. Using these measures, we show that funds with unskilled managers and poor performance are associated with greater inconsistency....

We show that fund families allocate their fund managers to different market segments such that their skill is rewarded best. Whether a fund manager's skill is rewarded by higher alpha depends on the efficiency of the market segment in which she works. Even skilled managers can generate alpha...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...

We develop a stock return-predictive measure based on an efficient aggregation of the portfolio holdings of all actively managed U.S. domestic equity mutual funds, and use this model to study the source of fund managers' stock-selection abilities. This "generalized-inverse alpha" (GIA) approach...

We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the SEC regulation in May 2004 requiring more frequent disclosure. Stocks with higher fund...

We document that prior work experience of mutual fund managers outside of the asset management industry is valuable from an investment perspective in that it provides managers with a stock picking and industry timing advantage. Fund managers' stock picks from industries where they previously...