This paper develops a model of active portfolio management in which fund managers may secretly gamble in order to manipulate their reputation and attract more funds. We show that such trading strategies may expose investors to severe losses and are more likely to occur when fund managers are...

Fund managers can only exhibit selectivity through purchasing (selling) stocks that appreciate (depreciate) more frequently than expected from random occurrence, if stocks are incorrectly priced. We develop a method that can statistically identify fund managers that exhibit net, buy, and sell...

By applying the concept of “information ratio” to data published in The 2014 Berkshire Hathaway's Annual Report, this work discuss with quantitative data and equations Warren Buffett's management strategy and financial accomplishment at Berkshire Hathaway. Furthermore, a combined analysis of...

We examine the relationship between portfolio risk and equity returns over different investment horizons of institutional investors. Compared to long-term institutions, portfolios held by short-term institutions exhibit higher factor loadings in market, size, and momentum. In particular, they...