In simple univariate tests, the disposition effect for a stock nearly disappears if the portfolio is at a gain. We find a large disposition effect when the portfolio is at a loss. The portfolio-driven disposition effect that we document is not explained by extreme returns, portfolio rebalancing,...

We examine how active share—the extent to which a portfolio's holdings differ from its benchmark's holdings—affects the performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the average bond fund has an issue-level...

Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policymakers that large redemptions will lead to asset fire sales. We find little evidence, however, that bond fund redemptions drive fire sale price pressure after controlling for time-varying...

We examine "reaching for yield" in U.S. corporate bond mutual funds. We define reaching for yield as tilting portfolios toward bonds with yields higher than the benchmarks. We find that funds generate higher returns and attract more inflows when they reach for yield, especially in periods of...

Zero returns are widely prevalent among fixed-income funds: on over 30% of trading days, net asset values (NAVs) do not change. We show that this high prevalence of zero returns is a symptom of stale pricing by funds that exercise valuation discretion over illiquid security holdings. Further...