This study complements the scarce literature on conditional market timing in the mutual fund industry by assessing determinants of market timing throughout the distribution of market exposure. It builds on the intuition that the degree of responsiveness by fund managers to investigated factors...

This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...

I provide evidence that fund managers who overweight firms with the most differentiated products ('monopolies') exhibit a superior risk-adjusted performance. This is consistent with information advantages due to a better understanding of qualitative information on a firm's competitive...

Why do investors keep buying underperforming mutual funds? To address this issue, we develop a one-period principal-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the investors perception of the fund plays the key role...

We document that the speed of information dissemination within mutual fund families positively affects the performance of member funds. This suggests that the resulting benefits of higher information precision far outweigh free-riding costs associated with fast internal dissemination. The...

This paper shows that the stylized fact of average mutual fund underperformance documented in the literature stems from expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when risk-adjusted fund performance is positive. These...

Using data on investments of fund family employees in their 401(k) plans, I show that employee flows predict fund performance up to two years. Moreover, employee flows lead flows of other investors, but not vice versa, further indicating that employee flows are smart. The predictive power of...

Prior studies challenge the practical usefulness of Markowitz portfolio optimization in improving the return-risk tradeoff in portfolio management. We approach this question from a unique angle by examining whether one can improve the performance of a large sample of actual mutual fund...

There is little empirical evidence regarding downside risk in asset pricing, due in part to problems inherent in estimating downside risk. We argue that Berk and van Binsbergen (2016)'s approach to testing asset pricing models using the relation between investor flows and risk-adjusted fund...

The majority of financial trades take place in open and highly regulated markets. As an alternative venue, large asset managers sometimes offset the trades of affiliated funds in an internal market, without relying on external facilities or supervision. In this paper, we employ institutional...