We study the informativeness of trades via discount and full-service retail brokers. We find that trades via full-service retail brokers are statistically and economically more informative than are trades via discount retail brokers. This finding holds in every year over the twelve-year sample...

We propose a cohort model that evaluates hedge funds against peer groups executing similar investment strategies formed using return correlations. Our method improves identification of skilled managers, as evidenced by a strong ability to explain hedge fund returns out-of-sample together with...