Which trading strategies differentiate skilled mutual fund managers from their unsuccessful peers? This study provides evidence for a positive association between holdings' implied cost of capital (ICC) and future fund performance. Consistent with large transaction costs of ICC-based investments...

The paper addresses an issue of the performance persistence in a mutual fund market. The study focuses especially on the evidence from Poland. The past performance of mutual funds is widely regarded as a key criterion in investment decision making in Poland nowadays, whereas existing empirical...

This study provides evidence for a positive association between mutual fund holdings’implied cost of capital (ICC) and future performance. Consistent with large transactioncosts of ICC-based investments impeding their exploitation and employing a ICC-basedstrategy reflecting skill,...

We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the style proclaimed for a mutual fund actually matches...

Combining novel data on analyst employment history and mutual fund commission payments, we show that client funds generate higher returns on stocks for which they have access to research by industry expert analysts. The outperformance is greater when funds are more important clients, and it...

We formally test the age-old question of whether professionally managed equity funds outperform portfolios of stocks selected at random, also known as ‘dartboard' or ‘monkey' portfolios. We examine the case of UK equity mutual funds between 1980 and 2011. We employ alpha and the t-statistic...

This study investigates whether firm opacity impacts the investment behaviors and outcomes of retail investors using the fintech brokerage Robinhood (i.e., “RH investors”). We theorize that higher firm opacity leads RH investors to make nonrational investment decisions. The testable...

We analyze trading strategies involving triple-leveraged and inverse triple-leveraged ETF pairs by simulating daily returns over a 48 year period. Our results show that many such strategies significantly outperform the S&P 500 on a risk-adjusted basis. The Sharpe ratio appears to be maximized...

We show that a real-time trading strategy which front-runs the anticipated forced sales by mutual funds experiencing extreme capital outflows generates an alpha of 0.5% per month during the 1990-2010 period. The abnormal return stems from selling pressure among stocks that are below the NYSE...

This paper examines the appropriate measure of performance for real estate mutual funds. Several popular performance measures including Sharpe, Treynor and Sortino measures are evaluated. The results demonstrate that the Sharpe index outperforms the other two alternatives. In order to consider...