Recent literature indicates that a liquidity investment style – the process of investing in relatively less liquid stocks within the liquid universe of publicly traded stocks – has led to excess returns relative to size and value. While previously documented at the security level, we examine...

A widespread concern in the investment industry is whether commonly used investment management fee arrangements encourage investment managers to act in their clients' interests. The value to managers of a one-period call performance fee is maximized by maximizing performance volatility. This is...

Research suggests certain investors face significant information disadvantages, particularly during earnings announcements. We investigate whether financial analysis on Seeking Alpha, a prominent social media platform hosting original financial analysis, can mitigate this disadvantage. First, we...

Passive investing, particularly in emerging markets, has become an increasingly popular means of quick, “diversified” exposure to a particular segment of the markets. Flows into passive emerging market products have been so strong that assets in exchange-traded funds (ETFs) designed to...

We study whether firms increase share repurchases when their shareholders have short-term preferences. We base our analysis on economic theory that establishes that greater transparency about an agent's action increases the agent's career concerns and short-termism. We use a...

We examine whether bank connections via common mutual fund ownership serve as a contagion channel affecting the systemic risk of the banking system. We first document that the extent of a bank’s connection with other banks via common ownership increases its contribution to systemic risk. We...

Chinese fund manager performance is interesting because in a market dominated by speculative retail trading, we expect professional fund managers to have persistent edge. Using data on the Chinese mutual fund industry, the authors compute a new skill measure to identify exceptional funds with...

In this paper I document the heterogeneous response of investors to fund performance across Socially Responsible Investing (SRI) funds versus conventional funds. I first show that the Morningstar categorization of funds into socially responsible (static classification) versus conventional is...