We use a holdings-based attribution model to disaggregate the benchmark-adjusted returns to U.S. equity mutual funds into components that reflect persistent segment tilts, the timing of segment returns, and stock selection relative to their benchmarks. We find that large-cap funds add value by...

The active shares of traditional value style indexes are dominated by industry bets. They also capture less than the entire value premium; because they weight constituents on the basis of capitalization, they tend to hold large positions in overpriced stocks and small positions in underpriced...

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...

Value stocks outperform growth stocks. The academic literature provides two competing interpretations on what drives the value premium: exposure to risk factors or mispricing of securities. Existing empirical studies, which are largely based on U.S. data, have not conclusively rejected one...