We analyze why traditional returns-based tests of market timing ability suggest in many cases that mutual fund managers evidence a negative market timing ability. The explanation is based on asymmetric correlations of stocks, which establishes that correlations are stronger in bear markets than...

One of the major advantages of Equity mutual funds is that they allow retail investors to attain a diversified portfolio, which could not be easily obtained buying individual stocks. Our results indicate that mutual funds are not totally diversified; they hold a significant part of idiosyncratic...

This is a study of how contractual mechanisms can mitigate agency conflicts in sub-advised mutual funds. Sub-advising contracts allow fund families to expand their product offerings to include new investment styles and thereby gain market share. We show that costly contractual arrangements, such...

This empirical paper analyzes the role of investment companies' core competencies in explaining the growing importance of outsourcing within the mutual fund industry. We demonstrate that management companies tend to allocate portfolios that are not within their core competencies (defined as the...

Recent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual fund performance evaluation and...

Since the price of gold began climbing dramatically over a decade ago, gold-related industries have received a great deal of attention from investors. Moreover, investing in gold mutual funds has become a promising alternative to investing in gold directly because of the inherent difficulties...

We evaluate a strategy that minimizes the specific risk of investing in a reasonable number of mutual funds. Our results are consistent with the previous studies, which suggest that actively managed mutual funds are not totally diversified. Our strategy behaves well in terms of diversification,...