In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite the dramatic changes in the market over the last 20...

Stocks with high sentiment betas are more sensitive to investor sentiment, with more subjective valuations. We contend that sentiment beta also captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders. We...

We explore whether style investing by mutual fund investors contributes to return comovement of stocks in the same style, classified by market capitalization and book-to-market ratio. We find that a stock's comovement with other stocks in its style is significantly greater when this stock is...

We examine whether stock-level options information drives mutual fund performance. Our paper is motivated by existing studies indicating that options prices or implied volatilities predict stock returns. We find that stock-implied volatility innovations forecast mutual fund performance....