In questioning Kamstra, Kramer, and Levi's (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due...

While Merton (1987) proposes that firm value increases with the number of shareholders, relatively few studies have explicitly sought to identify the factors that affect investor participation per se in equity markets. Using a unique dataset that measures the inflow and outflow of equity...

This paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes. First, we revisit the posed question within an in-sample setting by employing mean–variance and non-mean–variance spanning tests. Then, we form...

Investors' holding periods determine how transaction costs are amortized and priced as liquidity premium in asset returns. Using a dataset containing two million trades made by over 66,000 households, this paper shows that transaction costs are an important determinant of investors' holding...

This paper is the first to characterize the intraday performance of leveraged exchange-traded funds (ETFs), for which I introduce a superior volatility estimator for high-frequency analysis. Leveraged ETFs, which attempt to reproduce two or three times the daily performance of their underlying...

Target-Date Funds (TDFs) facilitate retirement planning by varying asset allocation over time with the goal of reducing portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation. We find that TDFs under-perform balanced funds...