The consensus wisdom of active mutual fund managers, as reflected in their average over- and underweighting decisions, contains valuable information about future stock returns. Analyzing a comprehensive sample of active U.S. equity funds 1984-2008, we find that stocks heavily overweighted by...

We construct hypothetical copycat funds to investigate the performance of free-riding strategies that duplicate the disclosed asset holdings of actively managed mutual funds. On average, copycat funds are able to marginally outperform their target mutual funds, but their relative success has...

This highly successful text focuses on exploring alternative techniques, combined with a practical emphasis, A guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical reference, this new edition builds on the strengths of the second edition...

Linear regression is a powerful tool for investigating the relationships between multiple variables by relating one variable to a set of variables. It can identify the effect of one variable while adjusting for other observable differences. For example, it can analyze how wages relate to gender,...

Frontmatter -- Preface -- Acknowledgments -- Contents -- Acronyms -- 1 Introduction -- 2 Linear static models -- 3 Dealing with heterogeneity and endogeneity: fixed effects, IV and GMM -- 4 Outliers, missing values and other data issues -- 5 Linear dynamic models -- 6 Models with limited...