Mutual funds experiencing large outflows (inflows) tend to decrease (expand) existing positions, creating downward (upward) price pressure in the stocks held in common by them (Coval and Stafford 2007). This study shows that corporate insiders exploit the resulting mispricing by buying (selling)...

This paper uses proprietary data on self-reported employee reviews from Glassdoor.com to study the relationship between employee satisfaction and mutual funds’ performance. Using the staggered adoption of Anti-SLAPP (Strategic Lawsuits Against Public Participation) laws in the U.S. and...

We study the interaction between ETF rebalancing and hedge fund “front-running” trades and its implications for the capital market. First, we document that ETF rebalancing has a strong negative relation with future stock returns. Second, we observe that hedge funds gradually increase...

I sort domestic all-equity mutual funds into different categories of active management using Active Share and tracking error. I find that over my sample period until the end of 2009, the most active stock pickers have outperformed their benchmark indices even after fees and transaction costs. In...

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...

The mutual funds' returns, inter alia, are dependent on fund managers' performance. This makes human capital efficiency very central for consistent risk-adjusted performance. The persistence in performance becomes more critical during periods of high turbulence, like the one we are experiencing...

The paper applies a two-state switching regression to examine the behavior of a hypothetical portfolio of ten socially responsible equity mutual funds during the expansion and contraction phases of US business cycles between April 1991 and June 2009, based on the Carhart four-factor model, using...

Target-Date Funds (TDFs) facilitate retirement planning by varying asset allocation over time with the goal of reducing portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation. We find that TDFs under-perform balanced funds...

Since Markowitz (1958) and Sharpe (1966), the increasing number of criteria and performance indicators made mutual funds analysis more complex and sometimes risky. In this study we propose to identify the most relevant indicators to classify mutual funds based on their statistical properties....