We are the first to analyze bond mutual funds' permission and use of complex investment practices like derivatives, restricted securities and securities lending. Based on unique regulatory information from the SEC's N-SAR filings, we show that most complex investments do not affect fund...

Based on comprehensive regulatory data on equity mutual fund option use from the SEC's N-SAR filings, we are the first to present consistent evidence that equity funds' option use generates higher risk-adjusted performance. We further show that this is a direct effect of option use and not an...

Performance regressions lever expected benchmark returns linearly to the risk exposures of the fund. The interest rate (IR) risk premium, however, usually follows a decreasingly upward-sloping yield curve, characterizing the nonlinearity between expected return and IR risk exposure, e.g....