The authors test the hypothesis that, when their compensation is linked to relative performance, managers of investment portfolios likely to end up as 'losers' will manipulate fund risk differently than those managing portfolios likely to be 'winners.' An empirical investigation of the...

The terrorist attacks on the World Trade Center caused unprecedented economic and structural ramifications in the insurance markets, resulting in considerable uncertainty and informational asymmetry. We test several theoretical models of how markets respond to and recover from extreme capital...

We examine the hypothesis that closed-end fund shareholders garner greater returns than holders of the underlying assets as compensation for bearing "noise trader risk." We demonstrate that the returns on fund shares are more volatile and exhibit greater mean reversion than the returns on the...

This article evaluates the tax-loss-selling hypothesis against the window-dressing hypothesis as explanations for turn-of-the-year anomalies. The authors examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the...

This article provides empirical tests of the risk differences between two types of ownership structure in the property-liability insurance industry. Empirical evidence is provided that suggests stock insurers have more risk than mutuals where the risk inherent in future cash flows is proxied by...

This article examines potential explanations for the wealth effects surrounding dividend change announcements. We find that new information concerning managers' investment policies is not revealed at the time of the dividend announcement. We also find that dividend increases (decreases) are...

This paper analyzes the general equilibrium implications of performance fees linking the compensation of fund managers to the return of the managed portfolio relative to that of a benchmark portfolio. We find that symmetric ("fulcrum") performance fees distort the allocation of managed...