This paper presents structural estimates for a bargaining model which nests the right-to-manage, the efficient wage bargaining, the seniority and the standard neo- classical labor demand model as special cases. In contrast to most existing models, our approach accounts for heterogeneous skill...

Determining whether an individual money manager's success encompasses any skill is a difficult task. Long financial streaks – successive years in which fund managers are able to outperform the S&P 500 index – can provide new insight into determining whether differential skill plays a role in...

We study the trading behavior of retail investors in the market of leveraged bank-issued retail derivatives designed to trade excessively, speculate and gamble on ongoing trends and market movements. We analyze whether retail investors have private information and benefit disproportionately or...

We develop a directional trading model and a crisis management model to measure fund manager skills more adequately. We test the robustness of both traditional market timing models and new management skill models to changes in their underlying investor utility function and excess return...

The authors examine the underlying factors that drove the outsized performance of the Yale University Endowment over the past two decades. With the aid of the Endowment's published asset allocation targets and their own "Proxy Portfolios" designed to replicate the Endowment's exposure to common...

In this research authors show that institutional investors' skill matters the most during high sentiment periods when market signals are noisy. The results reveal that fund managers with the highest (lowest) skill add (lose) $7.71 ($5.64) million of value during high sentiment periods, compared...

This study examines fund manager skill using a sample of Real Estate Investment Trust Unit Investment Trusts (REIT UITs). It also investigates how REIT UIT performance compares to investing in REIT mutual funds. Are REIT UIT fund managers able to select REITs that deliver superior performance?...

What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions in this regard. First, we propose new style-based spatial methods to identify the...

We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level: As the size of the active mutual fund industry increases, a fund's ability to outperform passive benchmarks declines. At the fund level,...

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option features being endogenously defined in our replication model. On top of providing a flexible...