We find that the 52-week high effect (George and Hwang, 2004) cannot be explained by risk factors. Instead, it is more consistent with investor underreaction caused by anchoring bias: the presumably more sophisticated institutional investors suffer less from this bias and buy (sell) stocks close...

We make use of a unique dataset of SEC Form N-SAR filings to examine the gross flows of U.S. bond funds. We find that gross inflows and outflows average around 4% of TNA per month, but net flows average only 0.26%. When modeling these flows, we see that, like equity funds, bond fund investors...

We find the low volatility anomaly is present in all but the smallest of stocks. Portfolios can be formed on either total or idiosyncratic volatility to take advantage of this anomaly, but we show measures of idiosyncratic volatility are key. Standard risk-adjusted returns suggest that there is...

We study the universe of absolute return mutual funds and find no evidence they deliver positive alpha. Additionally, these funds can have significant factor exposures. Compared to ordinary equity funds, absolute return funds have much higher fees and turnover. They perform worse than their...

Using a sample of U.S. firms from 1995 to 2002, we examine corporate payout policy in dual-class firms. The expropriation hypothesis predicts that dual-class firms pay out less to shareholders because entrenched managers want to maximize the value of assets under control and the private benefits...

The top 5 percent of actively managed U.S. equity mutual funds in 2012 had greater aggregate TNA than the remaining 95 percent of funds combined. This skewness in size has implications for mutual fund research: What is true of the average fund is not necessarily true of the average dollar. We...