This paper studies the investment behavior of investors and fund managers within the mutual funds industry. We find that investors are biased in their fund purchase decisions in a way described by prospect theory: The prospect theory value predicts future fund flows, even though it is not...

Using mutual fund flow, we empirically test whether choices made by investors are consistent with preferences implied by prospect theory. Our findings support this hypothesis. When allocating capital to mutual funds, investors evaluate funds based on the past performance distribution and choose...

Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...

Neben einer theoretischen Analyse ausgewählter klassischer und moderner Performancemaße präsentieren wir in diesem Papier eine speziell zum Zweck der Performanceanalyse entwickelte Erweiterung des Funktionsumfanges von MS-Excel. Der vorgestellte VBA-Quellcode ermöglicht es, die beschriebenen...

In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite the dramatic changes in the market over the last 20...

Some exchange-traded funds (ETFs) are specifically designed for harvesting factor premiums, such as the size, value, momentum and low-volatility effects. Other ETFs, however, may implicitly go against these factors. This paper analyzes the factor exposures of US equity ETFs and finds that,...

We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be confirmed by comparing the return autocorrelations of funds with shorter vs. longer...

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...

Funds that invest in illiquid assets report returns with spurious autocorrelation. Consequently, investors need to unsmooth returns when evaluating the risk exposures of these funds. We show that funds investing in similar assets have a common source of spurious autocorrelation, which is not...

A popular strategy to assess mutual funds is to look at past returns and rank funds based on their risk and return characteristics. This simple approach has its advantages but it is uni-dimensional in nature and misses important characteristics that may impact future returns. We propose...