This article finds strong evidence for the presence of the disposition effect among US mutual fund managers. The analysis can establish a link between the disposition effect and mutual fund characteristics as well as changes in the macroeconomic environment. Managers with a lower disposition...

We conduct an event study to investigate the processing of information and the existence of insider trading on the Swiss stock market. Although Swiss laws are less restrictive than those of other countries, we find the empirical evidence for systematic insider trading before the publication of...

This article presents the first detailed analysis of the intra-day characteristics of idiosyncratic stock price crashes. The analysis focuses on the impact of large crashes in single stocks on their intra-day returns and liquidity in the US market. Furthermore, optimal intra-daily behavior...

For investors it is important to know what trading strategies an asset manager pursues to generate excess returns. In this paper, we propose an alternative approach for analyzing trading strategies used in active investing. We use tracking error variance (TEV) as a measure of activity and...