This paper uses stochastic dominance techniques to examine whether managerial skills vary across fund managers in European equity funds. The use of these techniques allows us to compare different investment alternatives in an uncertain setting under very simple assumptions regarding investor...

We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a new measure that captures a mutual fund's offshore exposure concentration through holding U.S. multinational firms. The proposed offshore concentration index...

We measure the ability of professional investment managers in timing cashflow vs. discount-rate news, the two components of market returns. We find that the average U.S. equity mutual fund exhibits cashflow-timing skills of 2.12/year, but discount-rate timing of -0.84/year; further,...

This study provides formal theoretical evidence that constructions of fund alpha that are implemented using robust specifications of asset pricing models generate alpha estimates that are well defined. Regardless, the formal theoretical model shows fund alphas that are constructed with the...

We apply methods designed to measure mutual fund skill to a cross-section of traded funds that should not exhibit managerial portfolio selection skill: index funds. Surprisingly, these tests imply index fund skill exists, is persistent, and is in similar proportion as in active funds. We use the...