This paper presents a novel approach to measure firm-level labor-shortage exposure by leveraging finance-specialized machine learning techniques. Specifically, we use FinBERT to extract information from earnings conference call transcripts to develop a reliable measure of labor-shortage...

We construct a fund-specific measure of crowding using the equity holdings overlap of 17,364 global funds which are actively managed. Funds in the top decile of crowding underperform the passive benchmark by 1.4% per year. The poor performance cannot be attributed to fees and transaction costs...

We show that a real-time trading strategy which front-runs the anticipated forced sales by mutual funds experiencing extreme capital outflows generates an alpha of 0.5% per month during the 1990-2010 period. The abnormal return stems from selling pressure among stocks that are below the NYSE...

We show that international equity mutual funds underweight equity markets with risky currencies and overweight equity markets with less risky ones. This risk-management practice is an important determinant for allocations among foreign equities and can also help explain levels of home bias for...

We study the trading performance of actively-managed mutual funds from 16 domicile countries investing in 42 equity markets over the period 2001-2014. In the aggregate, funds achieve particularly poor returns in U.S. equity: after adjusting for style, the stocks they buy underperform those they...