The relationship between the performance of mutual funds and their subsequent growth is examined. The focus of our paper is on the influence of the position of a fund within its family. So far only the influence of the position of a fund within its segment on its subsequent inflows has been...

The implementation of the Markowitz optimization requires the knowledge of the parameters of the return distribution. These parameters cannot be observed, but have to be estimated. Merton (1980) and Jorion (1985) point out that especially the expected returns are hard to estimate from time...

The measure of Jensen (1968) is not only the most commonly used performance measure, but also the most heavily criticized one. Jensen (1972) and Grinblatt and Titman (1989), (1995) blame security market analysis to overestimate the beta of a market timing fund, and therefore to underestimate its...

In this paper we empirically investigate the impact of the trading system on the integration of markets. Our data set consists of intraday quotes of screen traded stock index futures and two stock index price series. One index series results from stock prices determined in a floor trading system...

The paper is concerned with the influence of index arbitrage trading on the mispricing process in the presence of market frictions. Specifically, it highlights the as yet ignored impact of short selling restrictions in the spot market and early unwinding opportunities on the mispricing process.A...

We test the frequently made claim that SRI funds are conventional funds in disguise. For this purpose, we compare the portfolio holdings of SRI funds to conventional funds concerning their social and environmental standards. Our empirical study of US equity funds shows that SRI funds have a...

This paper provides the first empirical test of the diversification of opinion theory and the group shift theory using real business data. Our data set covers management teams and single managers of US equity mutual funds. Our results reject the group shift theory and support the diversification...

This paper investigates commonality in liquidity for electronic limit order markets. We use order book data from the electronic trading facility for German equities. We employ conventional spread and depth measures as liquidity proxies, parameter estimates of the price impact function as well as...

The seminal literature on liquidity (Garbade (1982), Kyle (1985), and Harris (1990)) identifies three main dimensions of liquidity: spread, depth and resiliency. While there has been extensive research focussing on spread and depth, there has been little empirical investigation on resiliency,...

We examine the influence of employment risk and compensation incentives on managerial risk taking. Our empirical investigation of the risk taking behavior of equity fund managers during 1980 to 2003 shows that managerial risk taking crucially depends on the relative importance of these...