This paper extends the standard Merton portfolio choice model to include illiquid private equity funds. This is done in a realistic modeling framework where private equity funds cannot be traded during their entire bounded lifecycle and involve capital commitments and intermediate capital...

This paper addresses the questions whether European mutual fund managers rely on sell-side analyst information with respect to their investment decisions and whether this behavior impacts fund performance. Based on a sample of over 4,300 European mutual funds and around 1.2 million portfolio...

This Article offers a broad theory of what distinguishes investment funds from ordinary companies, with ramifications for how these funds are understood and regulated. The central claim is that investment funds (i.e., mutual funds, hedge funds, private equity funds and their cousins) are...

This paper analyzes exit strategies of buyout funds in their portfolio companies following Initial Public Offerings. We use a data set of 222 buyout-backed IPOs in the United States between 1999 and 2008 including hand-collected data about each exit process to draw up a detailed road map of...

Most of the performance measures proposed in the financial and academic literature are subject to be gamed in an active management framework (Goetzmann et al., 2007). One of the main reasons of this drawback is due to an incomplete characterization by these measures of studied return...

Using a matched sample of separately managed accounts (SMAs) and mutual funds (MFs) with the same portfolio manager and investment style, we find that concurrently managed MFs consistently underperform their SMAs counterparts and generate more negative return gaps. Fund characteristics and...

A popular strategy to assess mutual funds is to look at past returns and rank funds based on their risk and return characteristics. This simple approach has its advantages but it is uni-dimensional in nature and misses important characteristics that may impact future returns. We propose...