Mutual funds value private security holdings at considerably different prices, update evaluations infrequently, and revise valuations dramatically at follow-on funding events. Predictable private valuation changes at follow-on rounds yield predictable fund returns, but effects are muted for...

We show that mutual funds report their junior stakes in startups at 43% higher valuation than model fair values that consider multi-tier capital structures of startups. The latest-issued and most senior security is worth 48% per share than junior securities held by mutual funds, implying that...

This paper introduces two measures to investigate potential window-dressing behavior amongmutual fund managers. We show that unskilled managers that perform poorly are more likely towindow dress by strategically purchasing winner stocks and selling loser stocks near quarterends. Further, funds...

This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where thequarter-end equity holdings are disclosed with a significant delay through amendments to the Form 13F.Our evidence supports hiding private information as the dominant motive for hedge...

Recently there has been a rapid growth in the assets managed by "hedged mutual funds" - mutual funds mimicking hedge funds strategies. In this paper, we examine the performance of these funds relative to hedge funds and traditional mutual funds. We find that despite their use of similar trading...

Hedge fund flows chase alpha, yet they also follow returns attributable to traditional and exotic risk exposures. Investors appear more cognizant of exotic risks over time, with flows increasing their relative emphasis on returns from exotic betas in recent years. Investors also discriminate...

We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tailsensitive stocks as well as options,...

We examine the determinants and consequences of mutual fund managers simultaneously managing multiple funds. Well-performing managers multitask by taking over poorly performing funds or launching new funds. Subsequent to multitasking, funds run by managers prior to multitasking (i.e., incumbent...

Although the 1940 Act restricts interfund lending (i.e., a fund lending to other funds belonging to the same mutual fund family), fund families can obtain permission from the regulators to set up interfund lending programs. We analyze the determinants and consequences of such programs. We find...