In this study we use a comprehensive database of mutual funds and study performance persistence across different styles, regions, and asset classes. While we find strong evidence of performance persistence for some markets, there is weak or no evidence for other markets. Contrary to popular...

A common misconception in finance is that investors who believe in an efficient market will not invest with an active fund manager. In this paper I develop a model of active money management in which both the investor and the fund manager believe that the market is efficient and that all assets...

In recent years, investors have increasingly delegated the management of their investment portfolios to institutional asset managers. The scale of such delegated investing and its development over time are apparent from the growth in the size of assets under management by different types of...

This study empirically compares the pricing efficiency of Exchange Traded Funds (ETFs) across countries in terms of the deviations of trading price from Net Asset Value (NAV) as well as the persistence of such deviations. A sample of 17 ETFs tracking popular equity indices of five dominant...

Over the last decades passive investment products have continuously increased in importance. The efficiency of financial markets is often identified as the main reason for this development. We propose a theoretical framework which reverses the causality by showing that market efficiency might...

Using the Foreign Account Tax Compliance Act (FATCA) as an exogenous shock that reduces the tax advantages of offshore funds sold to U.S. investors, we document that affected funds significantly enhance their performance as a response. This effect is stronger for funds domiciled in tax havens...

Exchange Traded Funds (ETFs) are a remarkable example of financial innovation that provides the investors with unique inherent feature of a mutual fund and an ordinary corporate stock. The present study is motivated by the need to examine the performance, index tracking capabilities and pricing...

Exchange Traded Funds are a remarkable example of financial innovation that provides the investors with unique inherent feature of a mutual fund and an ordinary corporate stock. The present study is motivated by the need to examine the performance, index tracking capabilities and pricing...