The 52-week high share price has been shown by George and Hwang (2004) to carry significant predictive ability for individual stock returns, dominating other common momentum-based trading strategies. This study examines the performance of trading strategies for mutual funds based on (1) an...

This study applies an innovative return-based approach to determine the style-shifting activity of mutual funds. Based on daily returns, we measure style-shifting activity as inter-quarterly changes in the style exposures of a fund. In order to test the robustness of style-shifting activity we...

Recent evidence indicates that market model alphas are stronger predictors of mutual fund flows than alphas with other models. Berk and van Binsbergen (2016) claim that this evidence indicates CAPM is the best asset pricing model but Barber, Huang and Odean (2016) (BHO) claim it is evidence...

This study introduces an innovative approach to measuring the “style-shifting activity” (SSA) of mutual funds using daily returns. Applying our new measure to a comprehensive sample of 2631 active US equity mutual funds, we show (i) that SSA predicts future performance, especially for...

One of the most crucial decisions for investors and plan sponsors is the selection of funds among the thousands of available alternatives. We stress that an investor first needs to specify a target alpha, i.e., the expected fund return in excess of a benchmark, and that the target alpha...

We develop two investment strategy measures by investor type and explore their predictive capability on idiosyncratic volatility, liquidity risk and liquidity commonality. The measures indicate whether each of our nine investor types persistently implements a “positive-feedback” or a...

Risk forecasting is crucial for informed investment decision-making. Moreover, the salience of investment risk increases during economically uncertain times. In this paper, we study how sell-side analysts form expectations of firm risk, under different macroeconomic conditions (low versus high...

Our study explores the impact financial crisis has on performance of microfinance institutions in Zimbabwe employing the Vector Autoregression using annual time series data from 1990 to 2018. The findings from our study revealed a positive impact of financial crisis on performance of...

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...