Portfolio theory is a well-developed paradigm. There are excellent textbooks on the subject. Of course, we are especially partial to our own Modern Portfolio Theory and Investment Analysis. There are also good reviews in more advanced doctoral-level texts such as Ingersoll (1987) or Huang and...

This is the first study to examine both how well plan administrators select funds and howparticipants react to plan administrator decisions. We find that on average administrators select funds that outperform randomly selected funds of the same type. When administrators change offerings, they...

This paper examines problems in the CRSP Survivor Bias Free U.S. Mutual Fund Database CRSP, 1998! and compares returns contained in it to those in Morningstar.The CRSP database has an omission bias that has the same effects as survivorship bias. Although all mutual funds are listed in CRSP,...

The purpose of this article is to examine the impact of incentive fees on mutual fund performance. The paper proceeds as follows. In the first section we examine the characteristics and the use of incentive fees in the mutual fund industry. In the second section we explore the theory of the...

In 1970 Elton and Gruber (hereafter Eamp;G) started an industry by studying the impact of taxes on investor decisions using the behavior of share prices around the ex-dividend date. Eamp;G showed that if taxes enter investors decisions, then the fall in price on the ex-dividend day should...

This paper examines the effect of incentive fees on the behavior of mutual fund managers. Funds with incentive fees exhibit positive stock selection ability, but a beta less than one results in funds not earning positive fees. From an investor's perspective, positive alphas plus lower expense...

The CRSP database is a fairly new publicly available database on mutual funds. It is comprehensive and is corrected for survivorship bias. It and the Morningstar database are likely to be the standard databases used by researchers in the future. Despite the care that has been exercised in...

Mutual fund attrition can create problems for a researcher, because funds that disappear tend to do so due to poor performance. In this paper we estimate the size of the bias by tracking all funds that existed at the end of 1976. When a fund merges we calculate the return, taking into account...

We examine predictability for stock mutual funds using risk- adjusted returns. We find that past performance is predictive of future risk-adjusted performance. Applying modern portfolio theory techniques to past data improves selection and allows us to construct a portfolio of funds that...

In this paper, we develop relative-pricing (APT) models that are successful in explaining expected returns in the bond market. We utilize indexes as well as unanticipated changes in economic variables as factors driving security returns. An innovation in this paper is the measurement of the...