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...

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...

This paper examines mutual fund predictability for common stock funds, using a sample free of survivorship bias, andmeasures performance using risk-adjusted returns. We reconfirm the hot hands result that high return can predict high return in the short run. Like Hendricks, Patel and Zeckhauser,...

In this paper we use data on the monthly holdings for a set of mutual funds to study the timing ability of these funds. By examining monthly holdings we are able to see how management changes the risk parameters and industry holdings in a fund and to examine how this contributes to timing. We...

In this paper we show that selecting mutual funds using alpha computed from a fund's holdings and security betas produces better future alphas than selecting funds using alpha computed from a time series regression on fund returns. This is true whether future alphas are computed using holdings...

A number of articles in financial economics have used quarterly or semi-annual mutual fund holdings data to test hypotheses about investment manager behavior. This article reexamines four well-known hypotheses in finance to determine whether the results of prior tests of these hypotheses remain...

This is the first study to examine both how well plan administrators select funds for 401(k) plans and how participants react to plan administrator decisions. We find that, on average, administrators select funds that outperform randomly selected funds of the same type. When administrators...

Defined-contribution plans represent a major organizational form for investors' retirement savings. Today more than one third of all workers are enrolled in 401K plans. In a 401K plan, participants select assets from a set of choices designated by an employer. For over half of 401K-plan...

Since Elton and Gruber's (Eamp;G) original article on taxes and ex-dividend price behavior was published in 1970, over 100 articles have appeared in the leading journals of financial economics examining whether prices fall by less than the dividends and, if so, whether or not the phenomenon is...

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...