We examine portfolio credit quality holding and daily return patterns in a large sample of bond mutual funds and document significant evidence of window dressing. First, using portfolio credit quality holdings data, we find strong evidence that bond funds on average hold significantly more...

This study investigates the relationship between the age of mutual funds and their Morningstar ratings. Using 37 different Morningstar data disks, we find and document an age bias in the Morningstar ratings. Specifically, we find that funds that are ten years or older systematically receive...

In this paper we examine estimation risk in the well-known Morningstar mutual fund star rating system. We show that due to using a system that rates funds regardless of age differences, Morningstar has created a situation where the estimates upon which younger funds ratings are based have...

This paper compares the out-of-sample performance of no-load and load mutual funds. Unlike the pervious literature, this paper provides a more comprehensive analysis as it uses methodologies to incorporate loads directly into the returns, utilizes a large sample of funds free of survivorship...

State lottery prizes are currently independent of all financial markets. If States made these prizes positively correlated with the stock market, financial risk would be transferred to lottery ticket holders. This would allow States to risklessly increase their lottery profits

The subject of this paper is to examine the effect of trade liberalization on the behavior of real emerging stock market prices. The paper first explores the theoretical link between trade liberalization and real stock price behavior by developing an open economy asset pricing model with...

Sharpe's (1966) portfolio performance ratio, the ratio of the portfolio?s expected return to its standard deviation, is a very well known tool for comparing portfolios. However, due to the presence of random denominators in the definition of the ratio, the sampling distribution of the Sharpe...

We examine the effect that an initial 5-starMorningstar mutual fund rating has on future fund performance, strategy, risk-taking, expenses, and portfolio turnover. Using a sample of diversified domestic equity funds from the 1990s we find that during the 3 years after a fund received its initial...

This study examines the degree to which the well-known Morningstar rating system is a predictor of out-of-sample mutual fund performance, an important issue given that high-rated funds receive the lion's share of investor cash inflow. We use a data set based on growth mutual funds that is free...