I study the determinants of mutual fund managers' expectations about the stock market and its implications for decision making and fund performance. Using a direct measure of managers' market expectations extracted from mutual funds' semi-annual reports, I find that fund managers extrapolate...

We first provide evidence of some retail investors taking real trading (selling) decisions which are clearly sub-optimal even from an ex-ante perspective. We then show that these investors also exhibit stronger investment biases, namely, the disposition effect, underdiversification, preference...

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...

In this study, we use daily trading data to investigate the performance of institutional investors in the Chinese stock market, which is dominated by retail investors. We find that stocks with intense institutional net buying significantly outperform those with intense institutional net selling...

We hypothesize and find that the value of active management depends on characteristics of markets and investors. Using unique data, we focus on the performance of actual passive and active equity positions of an important category of institutional investors (defined benefit pension plans) from...

We examine the trading behavior of institutional investors in the Exchange Traded Fund (ETF) market from 1993 to 2007. We concentrate on the relation between cross-sectional institutional ETF ownership and returns, particularly on the relation between changes in ownership and future returns,...

We find substantial herding in U.S. corporate bonds among bond fund managers, much higher than that previously documented for the equity market. Herding is generally stronger among illiquid bonds, and buy herding and sell herding are driven by different factors. In particular, sell herding...

Recent research shows that small trade imbalances are negatively associated with future stock returns. I find that this negative association only exists when stocks have initially been mispriced. In addition, mispricing occurs before the sentimental trading of small investors. In stocks with...

This paper analyzes the relevance of Behavioral Finance in the functioning of financial markets. As a result of the empirical evidence through four surveys to professional investors with an average of 92 respondents, our main focus is to enhance the structure and systematization in the field. We...

Empirical studies document that investors typically deviate significantly from a globally market value weighted portfolio, concentrating their portfolio holdings in securities domiciled in their home country and in familiar foreign markets. Evidence that home country concentration stems from an...