Intro -- Acknowledgements -- 1 Performing Theory? -- 2 Transforming Finance -- 3 Theory and Practice -- 4 Tests, Anomalies, and Monsters -- 5 Pricing Options -- 6 Pits, Bodies, and Theorems -- 7 The Fall -- 8 Arbitrage -- 9 Models and Markets -- Appendix A An Example of Modigliani and Miller's...

We show that active equity funds deliberately alter their factor loadings rather than maintaining a constant style. Changes are larger following quarters in which funds either under- or out-perform other funds based on returns or fund flows. Motivated by this observation, we identify a new...