Closet indexing is the practice of staying close to the benchmark index while still claiming to be an active mutual fund manager and charging active-management fees. Recent work shows that active mutual fund managers are more likely to closet index during down markets. Around the time of the...

A number of well-known practitioners such as Warren Buffett and Jeremy Siegel have long advocated a strategic asset allocation in which investors hold a majority of their assets in equities. However, in this simple straightforward study we find that in order to maximize the well-known Sharpe...

Background: We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios. Methods: Following Lakonishok et al. (J Financ...

This paper shows that tracking error volatility (TEV) is characterized by reversion toward the mean. Mutual funds with relatively high (low) TEV in a given period tend to reduce (increase) their TEV in subsequent periods, and the degree to which a given fund’s TEV is relatively high or low...

We examine the relation between investor attention and financial market anomalies. We find that anomaly returns are higher following high-attention days. The result is robust after controlling for risk factors, the effect of news, and in a natural experiment setting in which the rounding of...