We show that fund-specific return skewness is associated with managerial skill and future hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment skill that accounts for this managerial ability, we...

We demonstrate that fund investors employ a heuristic benchmark model to estimate alphas and allocate capital. This can result in observational equivalence to CAPM driven investment decisions. The benchmark estimator trades off bias against precision, accommodating finite sample constraints. The...

Using firm-level ESG news indices, we examine whether active mutual fund managers skillfully integrate material ESG information into their portfolio decisions. We find firm-level ESG news affects mutual fund holdings. Fund managers incorporate material ESG news to cater to investor demand and...

We show that name-induced stereotypes affect the investment choices of U.S. mutual fund investors. Managers with foreign-sounding names have about 10% lower annual fund flows and this effect is stronger among funds with investor clienteles more likely to be suspicious of foreigners. Foreign-name...