Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. For the S&P 500 Index, in the year after a change in the index, additions lose relative to...

A number of recent papers illustrate that moving to continuous time and having Brownian motion distorted signal provides a tractable procedure allowing to compute the set of payoffs achievable in the equilibrium of a repeated game. However many processes in economics are discontinuous and are,...

Absent mandatory reporting, and although many companies report their carbon emissions, much of the emissions data are estimated by data providers. As we evaluate the forward-looking carbon scores from several popular data providers, we find no evidence that these scores predict future changes in...

Historically, manager skill has been measured simply as the difference in average returns between the portfolio and the benchmark index. Managers were considered skillful if their active weights against the benchmark led to outperformance. However, a manager tilting toward a certain risk-factor,...

Classical performance attribution methods do not explicitly assess managers' dynamic allocation skill in the factor domain. The authors propose a generalized framework for performance attribution that decomposes the allocation effect into value added from both static and dynamic factor exposures...

When agents can learn about their abilities as active investors, they rationally "trade to learn" even if they expect to lose from active investing. The model used to develop this insight draws conclusions that are consistent with empirical study of household trading behavior: Households'...

Individual investors lose money around earnings announcements, experience poor posttrade returns, exhibit the disposition effect, and make contrarian trades. Using simulations and trading records of all individual investors in Finland, I find that these trading patterns can be explained in large...