In this paper, we analyze how large institutions differ from other investors and the implications that these differences have for stock returns, market liquidity, and corporate governance. We find that large institutional investors -- a category including all managers with greater than $100...

This paper provides the first systematic analysis of performance patterns for emerging hedge funds and managers in the hedge fund industry. Emerging managers have particularly strong financial incentives to create investment performance and, because of their size, may be more nimble than...

In this paper the relation between aggregate mutual fund flows and stock market returns is analysed with respect to three issues. First, we study the relation between fund flows and long-term realized returns (past, current and future). Second, we find out that fund flows are not driven by...

Socially responsible investors are similar to conventional investors in some ways but different in others. Like conventional investors, socially responsible investors want high returns and low risk, but socially responsible investors also want their portfolios to conform to their values, whether...

What do we know about socially responsible investments? What distinguishes socially responsible companies from conventional companies? Should investors expect socially responsible investments to yield higher or lower returns than conventional investments? What has been the performance of...

We develop conditional alpha performance measures that are consistent with conditional mean-variance analysis and the magnitude and sign of the implied true conditional time-varying alphas. The sequence of conditional alphas and betas is estimable from surprisingly simple unconditional...

This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment...

We introduce a new dynamic trading strategy based on the systematic mispricing of U.S. companies sponsoring Defined Benefit pension plans. This portfolio produces an average return of 1.51% monthly between 1989 and 2004, with a Sharpe Ratio of 0.26. The returns of the strategy are not explained...

We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buying ndash; buyers with excess liquidity ndash; rather than what is being purchased....

Empirical evidence suggests that investors share price-relevant information via their social networks. I analyze why and under what circumstances skilled investors (ldquo;arbitrageursrdquo;) will rationally share private information via this word-of-mouth mechanism. My...