We provide evidence regarding mutual funds' motivation to hold lottery stocks. Funds with higher managerial ownership invest less in lottery stocks, suggesting that managers themselves do not prefer such stocks. The evidence instead supports that managers cater to fund investors' preference for...

This paper evaluates in-sample and out-of-sample stock return predictability with inflation and output gap, the variables that typically enter the Federal Reserve Bank's interest rate setting rule. To examine the role of monetary policy fundamentals for stock return predictability, we introduce...

We construct a lottery factor that aggregates the information of 16 commonly used lottery features. The lottery factor significantly improves the explanatory power of the four-factor q model in Hou, Xue, and Zhang (2015) and explains all but a few major anomaly returns. In assessing the...

In this paper, we examine how liquidity affects cryptocurrency market efficiency and study commonalities in anomaly performance in cryptocurrency market. Based on the unique features of cryptocurrencies, we build a model with anonymous traders valuing cryptocurrencies as payments for goods and...

We document statistically significant relations between fund beta and past market returns that affect standard estimates of mutual fund market timing. Our evidence of “artificial” market timing emerges when we estimate market timing regressions across time periods that span time variation in...

The fund size is highly persistent and correlated with risk factor loadings. Hence, it is unrealistic to assume constant diseconomies of scale over a long time. The traditional two-step method underestimates the uncertainty of diseconomies of scale. We propose a one-step procedure with a random...