We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...

China’s pension system is facing a large gap of more than one trillion RMB. The investment efficiency of the social security fund therefore receives widespread attention in academic circles. We collected data of stocks held by the Chinese National Council for Social Security Fund (CNCSSF) from...

I provide evidence that fund managers who overweight firms with the most differentiated products ('monopolies') exhibit a superior risk-adjusted performance. This is consistent with information advantages due to a better understanding of qualitative information on a firm's competitive...

We hypothesize and find that the value of active management depends on characteristics of markets and investors. Using unique data, we focus on the performance of actual passive and active equity positions of an important category of institutional investors (defined benefit pension plans) from...

This paper analyzes the relevance of Behavioral Finance in the functioning of financial markets. As a result of the empirical evidence through four surveys to professional investors with an average of 92 respondents, our main focus is to enhance the structure and systematization in the field. We...

Empirical studies document that investors typically deviate significantly from a globally market value weighted portfolio, concentrating their portfolio holdings in securities domiciled in their home country and in familiar foreign markets. Evidence that home country concentration stems from an...

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...

Traditional portfolio theory predicts that investors' portfolios should be diversified across international markets. In contrast, empirical studies document that investors are more likely to invest in their home country and in familiar foreign markets. These findings imply that investors do not...

Traditional portfolio theory predicts that investors' portfolios should be diversified across international markets. In contrast, empirical studies document that investors are more likely to invest in their home country and in familiar foreign markets. These findings imply that investors do not...

Using a novel database that tracks web traffic on the SEC's EDGAR server between 2004 and 2015, we show that institutional investors gather information on a very particular subset of firms and insiders, and their surveillance is very persistent over time. This tracking behavior has powerful...