Return-chasing investors almost exclusively consider top-performing funds for their investment decisions. When drawing conclusions about the managerial skill of these top performers, they tend to neglect fund volatility and the cross-sectional information contained in the number of funds and the...

The paper builds on a simple yet novel idea that the way investors react to the recent mutual fund performance depends largely upon the long-term historical performance of that fund. In particular, I find that investors react more actively to the fund's recent performance in case of the funds...

We examine the impact of social ties between mutual fund managers and auditors of public firms on mutual fund stockholdings. We find that mutual funds whose managers are socially connected with firm auditors hold more shares of these firms. In cross-sectional results consistent with...

This paper reports the results of a survey of nine Dutch (AUM EUR 342 billion) and five Canadian (AUM CAD 203 billion) pension funds and fiduciary managers on the investment and management decisions regarding illiquid assets. The Dutch pension funds in our sample invest 15% of their portfolio in...

The tendency of humans to shy away from using algorithms - even when algorithms observably outperform their human counterpart - has been referred to as algorithm aversion. We conduct an experiment to test for algorithm aversion in financial decision making. Participants acting as investors can...

Many investors purchase open-end mutual funds through intermediaries, paying brokers and financial advisors for fund distribution and advice via alternative sale charge fee structures. We argue that the fee structure choice reveals valuable information about investors horizon. That allows...

Fund trades and prices vary systematically with the quarterly reporting cycle. Funds are more likely to complete the building of a position at quarter-end, which is when most funds report positions to investors, and begin building new positions afterwards. While some of the observed shift in...

In these working notes, we introduce the concept of the diversification potential, which expresses the maximum diversification premium available by rebalancing to fixed target weights for a collection of assets. We distinguish between two forms of diversification potential: the unconstrained...

This paper documents that development exposure is an important determinant of private real estate returns and market risk exposure. It also documents that open-end private real estate funds have time-varying, procyclical market risk exposure through their development activities. As such, these...

I first show that the naïve equal-weighted 1/N investing in the set of 34 stock market anomalies is a robust implementation for out-of-sample diversification. Two types of popular portfolio optimization methods, including Sharpe-Ratio-optimizing with weight constraints and Dimension-Reduction...