Objective – Even though the unit trust industry witnessed high growth in portfolios size, performances and regulations, however, there is still insufficient understanding of various aspects of the industry such as the lack of information on the funds' unit price behavior and their trend in the...

We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises about the state of the economy and after three...

This paper studies the real mutual fund performance accounting for the presences of lucky funds. We quantify the impact of luck with an innovative measure built on False Discovery Rate (FDR). These FDR measures compute the number and the proportion of fund with truly positive and negative...

This paper studies the performance of ETFs that invest in companies involved in artificial intelligence (AI) technologies, such as firms focused on AI research, development, and applications. Using daily data from 15 American ETFs focused on AI-related companies over the period from 1 February...

We test the frequently made claim that SRI funds are conventional funds in disguise. For this purpose, we compare the portfolio holdings of SRI funds to conventional funds concerning their social and environmental standards. Our empirical study of US equity funds shows that SRI funds have a...

We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and its disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...

This paper establishes a new empirical fact: mutual funds' flow-performance sensitivity is a hump-shaped function of aggregate risk-factor realizations. Explanations based on extant theories can only explain a fraction of the pattern. We thus develop a new parsimonious model. It assumes Bayesian...

We examine the determinants and consequences of the multitasking phenomenon in the mutual fund industry where fund managers simultaneously manage multiple funds. We show that wellperforming managers multitask either by taking over poorly performing funds within fund companies (i.e., acquired...

We argue that active management's popularity is not puzzling despite the industry's poor track record. Our explanation features decreasing returns to scale: As the industry's size increases, every manager's ability to outperform passive benchmarks declines. The poor track record occurred before...