We analyze the effects of income support on unemployment and welfare dynamics when stigma is attached to welfare provision. Stigma has been modeled in the literature as a cost of welfare participation; in this paper we analyze the effect of income support on unemployment and welfare dynamics by...

This paper takes a new approach to investigate the interaction between the U.S. and China's stock markets. Since the U.S. and China's stock markets have no overlap in their trading hours, many empirical studies show that the daily returns on these two markets are not correlated. In this paper,...

Purpose – The paper aims to empirically examine the forecasting ability of US-based world mutual funds during the 2001-2007 time period. Design/methodology/approach – World mutual funds are treated as portfolios composed of two sets of securities, i.e. domestic and foreign and two...

We document that the speed of information dissemination within mutual fund families positively affects the performance of member funds. This suggests that the resulting benefits of higher information precision far outweigh free-riding costs associated with fast internal dissemination. The...

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen's alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor...

Change point models using hierarchical priors share in the information of each regime when estimating the parameter values of a regime. Because of this sharing, hierarchical priors have been very successful when estimating the parameter values of short-lived regimes and predicting the...

Sexual harassment, a widespread problem in the workplace, arguably keeps female employees from optimally employing their human capital. We show that removing or diminishing this friction improves productivity. Specifically, using the male-dominated fund industry as our testing ground, we show...

We propose a new approach for estimating mutual fund performance that simultaneously controls for both factor exposure and firm characteristics. This double-adjusted alpha is motivated by the recent findings that traditional Fama-French style factor models do not fully adjust returns for the...

This study provides evidence that investors’ demographic similarity to CEOs affects their investment decisions. We find that mutual fund managers overweight firms led by CEOs who resemble them in terms of age, ethnicity and gender. This finding is robust to excluding educational and local ties...

The empirical evidence documenting the association between a firm's level of corporate social performance (CSP) and corporate financial performance (CFP) remains divided. This paper reinvestigates the CSP/CFP association using a more rigorous methodology whilst taking advantage of a superior...