This paper investigates the role of the family organization of the mutual fund industry in shaping managerial portfolio decisions and fund performance. Mutual fund managers who actively deviate from the "average" portfolio of other funds in the same fund family significantly outperform managers...

We characterize linkages between average returns calculated at different horizons. Theoretically, when stocks incorporate information slowly, average short-horizon returns are downward biased. Buy-and-hold strategies can amplify the effect. In contrast, existing theories analyze price noises...

Prior studies have documented that pension plan sponsors rigorously monitor a fund's performance relative to a benchmark. We use a first-difference approach to show that in an effort to beat benchmarks, fund managers controlling large pension assets tend to increase their exposure to high-beta...

Prior theory suggests that time variation in the degree to which leverage constraints bind affects the pricing kernel. We propose a measure for this leverage constraint tightness by inverting the argument that constrained investors tilt their portfolios to riskier assets. We show that the...

A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...

Ostensibly passive index funds and ETFs are surprisingly active. A third of these funds exhibit more activeness than the median actively managed fund, as measured by conventional proxies. Using hand-collected prospectus data, we find that "passive" funds offer an increasingly wide assortment of...