This paper examines the relationship between mutual fund managers' past professional backgrounds and their portfolio performance, using Chinese mutual fund data from 2003 to 2016. We focus on managers with prior work experience either as industry analysts or as macro analysts, the two most...

This paper examines the temporal relationship between sin stocks and investor sentiment using vector autoregressive models. It decomposes sin returns into a market-based and pure sin component and then performs dynamic statistical modeling on the pure sin portfolio. Next, it attempts to...

We use the introduction of exchange-traded notes (ETNs) as a way to examine which characteristics of institutional investors' preferences are generalizable across new types of security design, as well as to infer which of the novel characteristics of ETN are in demand from institutions. As with...

Investors often behave in puzzling ways. In this paper, we develop a theory that implies “unusual” investor behaviors in a market equilibrium with heterogeneous investors who formulate their investment strategies based on their individual assessments of market signals, where market signals...

This paper extends the work of Cecere et al. (Appl. Econ., 49(57): 5802-5813, 2017) and explores the antecedents of backers' decision to invest in projects from eight categories on a reward-based crowdfunding platform in China. We extract data from 2011 to 2016 from the pioneer Chinese...

This paper examines the predictive power of investment managers' sentiment revealed in their letters to shareholders for their future performance, using closed-end funds (CEFs) as a laboratory. We find that pessimistic tone in managers' letters to shareholders predicts superior future...

During the recent financial crisis dedicated short bias (DSB) hedge funds exhibited extremely strong results while many other hedge fund strategies suffered badly. This study, prompted by this recent episode, investigates DSB hedge fund performance over an extended sample period, from January...

This research examines how investment experience and financial literacy impact investment-related judgments. Financial literacy refers to a person's knowledge of fundamental financial concepts. I begin by documenting investors' demographic characteristics and financial literacy using a...

We establish key stylized facts about the post-crisis evolution of trading and pricing of credit default swaps. Using supervisory contract-level data, we document that dealers become net buyers of credit protection starting in the second half of 2014, both through reducing the amount of...

We examine the effect of algorithmic trading (AT) on directors’ learning from stock prices. We find that the sensitivity of forced CEO turnover to stock returns decreases with AT. We mitigate correlated omitted variable bias by using the 2016 Tick Size Pilot Program as an exogenous shock to...