Marketing and distribution expenses are responsible for about a third of the cost of active management in the mutual fund industry. We develop and estimate a structural model of mutual fund marketing with learning about unobserved skill and costly investor search. Our estimates suggest that...

We quantify financial returns to backers in reward-based crowdfunding projects on Kickstarter and show that such investments provide profitable opportunities in addition to non-monetary benefits. The average unconditional annualized return is 11.5% and the average return on successful projects...

We examine the investment performance of over 160 thousand U.S. private pension plans. We find significant economies of scale in performance and administrative expenses, which are more prominent for defined benefit (DB) plans than for defined contribution (DC) plans. DC plans outperform...

In this note we make use of theAverage Internal Rate of Return (AIRR) approach, first introduced in Magni (2010), to introduce a pair of metrics, opposed to IRR and TWRR, which measure the manager's performance and the investor's performance on the basis of the market values of the fund. We also...

Combining brokerage records and matching monthly survey measurements of a sample of individual investors from the Netherlands for the period April 2008 through March 2009, we examine how individual investors update their beliefs (return expectations and risk perceptions) and preferences (risk...

With-profit life insurance contracts are designed with a return smoothing collective savings component sharing the investment risks amongst different generations of policyholders. We analyze the resulting implications from the point of view of a multi-asset mean-variance investor by evaluating...

Most retirement withdrawal rate studies are either based on historical data or use a particular assumption about portfolio returns unique to the study in question. But planners may have their own capital market expectations for future returns from stocks, bonds, and other assets they deem...

We investigate the optimal asset allocation of an investor who can invest in a fixed-term security that is only traded at time 0. Using a generalized martingale approach, we solve the investor's optimal portfolio problem, determine the optimal allocation to fixed-term securities, and provide a...

In a calibrated consumption-portfolio model with stock, housing, and labor income predictability, we evaluate the welfare effects of predictability on life-cycle consumption-portfolio choice. We compare skilled investors who are able to take advantage of all sources of predictability with...

We find that crowds' analyses of stocks, disclosed on a social trading platform, provide explanatory power for stock returns. Exploiting a novel dataset that contains more than 14.9 million individual stock assessments for 10,452 stocks over the period from August 1, 2007, to July 15, 2015, our...