This study proposes that the performance of mutual fund managers is linked to how efficiently they allocate attention across assets in their investment set. Motivated by existing models of optimal portfolio choice and rational inattention, we posit that the efficiency of attention allocation...

This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...

We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with econometric forecasting models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly sensitive to...

We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...

The on-going debate over whether fund managers have skills and whether those skills are short-lived is still inconclusive. Using the performance measure that can't be manipulated with respect to the underlying distribution, time variation, nor estimation error, (the manipulation-proof...

In this study, we investigate the mutual fund managers' ability to time market coskewness. Analyzing nine investment styles of US equity fund, we find strong evidence to support that between 1973 and 2018, mutual fund managers investing in Small-Blend and Small-Growth schemes demonstrate the...

We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with the one of econometric forecast models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly...

This paper finds that the disposition effect, well-known in many financial markets, exists in the closed-end fund market, where fundamental values are known, yet the magnitude of the effect varies with the adoption of different reference points. Using the prospect theory explanation to this...

This paper proposes several new holdings-based measures of fund investment horizon, and examines the relation between manager skills and fund holding horizon. We find that both aggregate holdings and trades of long-horizon funds are informative about superior future long-term stock returns,...

We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System. We find that active investors earn higher returns and risk-adjusted returns than inactive investors. A performance decomposition analysis reveals that most of the...