We test a Wall Street investment strategy, pairs trading, with daily data over 1962-2002. Stocks are matched into pairs with minimum distance between normalized historical prices. A simple trading rule yields average annualized excess returns of up to 11 percent for selffinancing portfolios of...

We use an iterative relocation algorithm to identify factors in common stock returns. The benefit of the approach is that factors are portfolios of assets with non-negative weights. As a result, they are readily interpretable in terms of the characteristics of the underlying securities. The...

Over the years numerous portfolio performance measures have been proposed. In general they are designed to capture some particular enhancement that might result from active management. However, if a principal uses a measure to judge an agent, then the agent has an incentive to game the measure....

In this paper, we find that existing classifications do a poor job at forecasting differences in future performance. We propose a different method for grouping mutual funds which is relatively impervious to strategic quot;gamingquot; of benchmarks. In particular, it captures active portfolio...

We examine the trades of individual and professional investors around stock splits and find that splits bring about a significant shift in investor clientele. We find that a higher fraction of post-split trades are made by less sophisticated investors, as individual investors increase and...

This paper investigates the impact of equity markets and top incomes on art prices. Using a newly constructed art market index, we demonstrate that equity market returns have had a significant impact on the price level in the art market over the last two centuries. We also find evidence that an...

In this paper, we collect individual stock prices for NYSE stocks over the period 1815 to 1925 and individual dividend data over the period 1825 to 1870. We use monthly price and dividend information on more than 600 individual securities over the period to estimate a stock price index and total...

Using a sample of daily net flows to nearly 1,000 U.S. mutual funds over a year and a half period, we identify a set of systematic factors that explain a significant amount of the variation in flows. This suggests the existence of a common component to mutual fund investor behavior and indicates...

This paper documents twenty years of performance of commercial real estate in the U.S. using a portfolio of properties that comprise the widely followed NCREIF Property Index (NPI). We develop an extension of the repeated-measures regression to examine the magnitude and duration of the of the...

Our analysis of daily index fund flows indicates a strong contemporaneous correlation between fund inflows and Samp;P market returns. We also document a strong negative correlation between fund out flows and Samp;P market returns with the exception of outflows from a back-end load fund. These...