Berk and Green (2004) argue that investment inflow at high-performing mutual funds eliminates return persistence because fund managers face diminishing returns to scale. Our study examines the role of trading costs as a source of diseconomies of scale for mutual funds. We estimate annual trading...

Under the typical institutional trading arrangement a portfolio manager makes the trade decision and a trading desk executes the trade, with execution performance evaluated against a benchmark such as the volume weighted average price (VWAP). We show that this trading arrangement provides...

This study develops and tests a theoretical rationale for the well-documented fact that IPO prices are revised only partially in response to waiting-period market returns. Rational issuers maximize the expected surplus from going public by weighing the probability of deal success against offer...

We directly estimate annual trading costs for a sample of equity mutual funds and find that these costs are large and exhibit substantial cross sectional variation. Trading costs average 0.78% of fund assets per year and have an inter-quartile range of 0.59%. Trading costs, like expense ratios,...

We directly estimate annual trading costs for a sample of equity mutual funds and find that these costs are large and exhibit substantial cross sectional variation. Trading costs average 0.78% of fund assets per year and have an inter-quartile range of 0.59%. Trading costs, like expense ratios,...

Mutual funds price their shares using last-trade prices of their underlying assets. Because last-trade prices are often stale, this practice results in fund share prices (NAVs) whose daily changes are predictable. We show that the predictability is pervasive and economically significant in...

Weekly returns of stock portfolios exhibit substantial autocorrelation. Analytical studies suggest that nonsynchronous trading is capable of explaining from 5 to 65 percent of the autocorrelation. The varying importance of nonsynchronous trading in these studies arises primarily from differing...

This study provides empirical evidence on the role of disclosure in resolving agency conflicts in delegated investment management. For certain expenditures fund managers have alternative means of payment which differ greatly in their opacity: payments can be expensed (relatively transparent); or...

We examine the behavior of stock prices and trading activity around the issue day of seasoned common stock offerings. We find a distinct V-shaped pattern in prices, which decline before the issue and then rise following it. These price changes are nontrivial, especially for over-the-counter...