We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

I build a model of delegated asset management with moral hazard and security lending. Lending markets transfer informational rents from short-sellers to funds. Investors optimally receive the proceeds as state-contingent dividends which correlate with shorting demand, providing a natural hedge....

The rising sustainability awareness among regulators, consumers and investors results in major sustainability risks for firms. We construct three ESG risk factors (Environmental, Social, and Governance) to quantify the ESG risk exposures of firms. Taking these factors into account significantly...

As we noted in Grover and Kizer [2016], the proliferation of style (or factor) investing has created a more complicated landscape for investors. It can be difficult for investors and their advisors to understand what style exposures a particular fund or strategy provides, whether the net expense...

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...

Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to assist sell-side analysts and institutional clients with stock selection strategies. Quants are associated with more efficient analyst forecasting behavior on anomaly predictors...

This study investigates the influence of fund management firm characteristics on mutual fund performance. Using a sample of European-domiciled open-end equity funds for the period 1998-2008, this study finds that the funds of private companies have performed better than the funds of public...

This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...

This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced—or has failed to influence—federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH has...