If a bidder launches a takeover offer for a listed company being part of a stock market index, then index funds and exchange traded funds (ETF) as shareholders of this company cannot easily tender their shares without losing track of the index. This paper analyzes the impact of index fund and...

We examine how liquidity and return concerns at large mutual funds explain their diminished participation in small IPOs since the late 1990s. Using 5,825 IPOs and portfolio-level information for 37,052 funds, we exploit Russia's 1998 debt default as an exogenous shock to funds' liquidity...

Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to assist sell-side analysts and institutional clients with stock selection strategies. Quants are associated with more efficient analyst forecasting behavior on anomaly predictors...

This paper investigates whether bond fund managers with credit rating experience outperform their peers. We document that bond fund managers who previously worked in credit rat- ing agencies on average create higher risk-adjusted returns than their peers by 11-16 bps per month, with better...

Final working paper version. "" Published version: The Review of Financial Studies, Volume 31, Issue 7, July 2018, pp. 2499–2552. Past fund performance does a poor job of predicting future outcomes. The reason is noise. Using a random effects framework, we reduce the noise by pooling...

This paper provides a first step in developing a system-wide stress simulation. The model incorporates several important features of the financial system. These include several types of institution (including banks and non-banks) and how their actions may propagate and amplify stress. Rather...

Purpose: Retail investors use information provided by mutual fund rating agencies to make investment decisions. This paper examines whether the ratings provide useful information to retail investors by analyzing the rating migration and closure risk of mutual funds that received Morningstar's...

We examine whether actively managed equity mutual funds trade on localised information events - syndicated loan covenant violations and changes in bank loan and entity ratings. Local investors achieve positive abnormal stock returns only around covenant violation periods rather than changes in...