This paper examines the determinants of cross-sectional variation in post-merger mutual fund performance. Mergers between funds with similar management objectives, as reflected by average portfolio book-to-market ratio, price–earnings ratio, beta and market capitalization values, outperform...

Using a factor-analytic model that extracts common valuation information from the prices of stocks that were not banned, we estimate that the ban on short-selling financial stocks imposed by the SEC in September 2008 led to substantial price inflation in the banned stocks. The inflation reversed...

This presentation was given to the MIT Alumni Association of Orange County. The goal was to deliver an educational presentation to demystify the world of hedge funds and quantitative investing. We discussed the money management industry and briefly described what quants do, how they do it, and...