We test the role of funding-constrained investors across developed financial markets. We compile direct measures of the severity of funding frictions, or illiquidity, from deviations of government bond yields from a fitted yield curve. Using these illiquidity measures, we first show that higher...

Using a sample of U.S. international equity mutual funds, we show that funds that hire sub-advisors abroad do not outperform. For example, funds that hire outsourced international sub-advisors underperform on a risk-adjusted basis by up to 126 bps annually, relative to funds that do not...

This research adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-factor model to be six-factor model to evaluate the equity mutual fund performance both unconditionally and conditionally, and between up and down market of three selected countries in Asia - China,...

We examine the ability of one- and two-factor regime switching models to describe U.S., developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns without the need to model...

We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...

Private Equity (PE) has grown into a substantial asset class, but there remain major problems with measuring PE fund returns. Investors continue to use the internal rate of return (IRR) as a key measure of fund performance. It is well known that early returns of cash can have a substantial...

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Short selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pessimistic expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. We determine that sector-based ETFs...

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...