This paper develops a diagnostic tool for candidate performance measures that accounts for investor disagreement in mutual funds. We compare the evaluation for best clienteles, specified by an upper admissible performance bound, to the one for representative investors implicit in twelve models....

We link dividends with profits and good corporate governance. However, do dividends provide other information? Are they useful in identifying the economic cycle? And if so, how might one use that information as to gain an edge when investing in the stock market? We study in details different...

This paper examines the predictive power of investment managers' sentiment revealed in their letters to shareholders for their future performance, using closed-end funds (CEFs) as a laboratory. We find that pessimistic tone in managers' letters to shareholders predicts superior future...

The Pension Protection Act of 2006 identified target-date funds as an appropriate default investment for defined contribution retirement plans. Using the 2009 National Financial Capability Study, this paper examines the relation between investor sophistication and the decision to primarily...

A number of papers have demonstrated that over historical periods, a specified set of factors have outperformed actively managed funds. However, in almost all cases, the factors employed or the procedures followed are not replicable by tradable passive investments. In addition, tradable passive...

This study analyzes how equity mutual fund investor behavior has changed over time, and the associated impact on investor returns. First, we find that from 1991-2016 investor return-chasing behavior declined and more recently disappeared, while investor flows have become more sensitive to...

Mutual funds investing in emerging market economy (EME) bonds have increased almost seven-fold since the 2008 Great Financial Crisis (Graph 1). This development has raised two questions from a financial stability perspective. Firstly, how important is it to understand the fund-flow performance...

We provide the first in-depth examination of exchange-traded funds (ETFs) within actively managed mutual fund (AMMF) portfolios to better understand why AMMFs make substantial investments in passive ETFs. We examine the association between holding ETF positions and AMMF performance, as well as...

This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price and no-good-deal conditions, we obtain an upper bound on admissible...