We examine fund-by-fund whether managers tilt their portfolios by purchasing stocks that appreciate while disposing stocks that depreciate. Using a unique method we identify statistically whether these managers exhibit selectivity in their trades. We find proportions of funds exhibiting good or...

This study investigates whether the relation between macro-level fund flow and market returns varies between the retail and institutional fund management markets. We find evidence of a contemporaneous relation between flow and market return for retail funds and also find evidence to support the...

This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade-offs between wealth creation and security. The dynamic portfolio adjustment of marketed target-date funds, with varied asset allocations, along age and various time horizons is shown....

This paper analyses how unconventional monetary policy by the major central banks in developed markets affects the geographical portfolio choice of international mutual fund managers. We find that large-scale asset purchases have significant international spillover effects, in contrast to...

We examine how active share—the extent to which a portfolio's holdings differ from its benchmark's holdings—affects the performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the average bond fund has an issue-level...

We document statistically significant relations between fund beta and past market returns that affect standard estimates of mutual fund market timing. Our evidence of “artificial” market timing emerges when we estimate market timing regressions across time periods that span time variation in...

We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a new measure that captures a mutual fund's offshore exposure concentration through holding U.S. multinational firms. The proposed offshore concentration index...

When using daily mutual fund returns to study the market timing, heavy tails and heteroscedasticity significantly challenge the existing methods. We to accommodate them, we propose a new measure and an efficient test for market timing ability and find that the traditional test misclassifies...

We find that a large portion of U.S. equity mutual funds almost second-order stochastically dominates the market portfolio. Consistent with the canonical definition of second-order stochastic dominance, both fund investors and managers reveal their preference for funds with a higher degree of...

Mutual funds hold 32% of the U.S. equity market and comprise 58% of retirement savings, yet retail investors consistently make poor choices when selecting funds. Theory suggests that poor choices are partially due to mutual fund managers creating unnecessarily complex disclosures and fee...