I investigate whether mutual fund manager possess superior stock picking skills, by comparing the performance of stocks they hold in their portfolios versus that of stocks which they do not hold. In particular, I focus on a class of assets identified as "Lottery Stocks". These are stocks with...

We theoretically establish a market microstructure bias embedded in the estimate of industry-adjusted idiosyncratic variance and empirically show that the bid-ask spread eliminates the observed time trend in aggregate idiosyncratic variance (Campbell, Lettau, Malkiel, and Xu, 2001). These...

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the estimation of stock returns and their volatility and market betas have been documented. Using a dataset of daily equity mutual fund returns, we extend previous studies to analyze...

Our paper analyzes the performance of different methods to adjust beta. Specifically, we compare the standard OLS regression method with the Blume and the t-distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the...

The biggest challenge in testing mutual funds for manager skill is the lack of a probability distribution of returns under the null hypothesis of no skill. A methodology based on randomly trading portfolios and non parametric statistical tests is explored, and a test of skill is proposed....

We introduce a novel methodology to identify copycat behavior in mutual funds. We find that imitation is pervasive in the mutual fund industry. While most copycats underperform, a small number are 'smart imitators'. We find that funds at the high and low ends of the Copycat Score range...

After building up foreign currency denominated (FC) liabilities over several years, Colombian firms might be vulnerable to a shift in external conditions. We undertake three empirical exercises to better understand these vulnerabilities. First, we identify the determinants of FC borrowing....

Using the 2003 and 2008 Quality of Life Surveys, this paper identifies the factors that affect housing tenure decisions in Colombia. Households with higher incomes are more likely to purchase than to rent, and the choice of formal housing is positively associated with wealth. Households eligible...

Estimation of conventional Taylor rules for Brazil, Chile, Colombia and Peru shows that central banks increase their repo rate in response to increases in the output gap and, except in Peru, to deviations of inflation expectations from target. Using a Markov-Switching methodology, it is found...