We examine two forward-looking mutual fund ratings: the analyst rating produced by human analysts and the quantitative rating generated by a machine learning technique. The analyst rating identifies outperforming funds, while the quantitative rating fails to do so—this difference is mostly due...

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buying, buyers with excess liquidity, rather than what is being purchased. We document...

In this paper we investigate whether herding by actively managed equity funds affects their performances and flows over the 1980-2013 period. We show that during the herding quarter, on average, funds that trade with the herd benefit from this behavior. Although this does not directly translate...

We provide a solid framework in analyzing of what drives mutual fund performance in Chinese mutual fund industry, and show that fund performance is determined not only by efforts of fund manager, but also by fund investor behavior. Our empirical evidence shows that the total purchase and...

I show that the shape of flow–performance relationship among open-end funds varies with investor sentiment. This link is stronger when the market tone is optimistic. Cross-sectional comparison reveals that the convexity of the relationship is more pronounced among funds of the type that...

We document that mutual fund investors take risk independent of fund managers. The independent risk taking is manifested through channeling more fund flows to certain fixed income mutual funds that invest more on risky assets. Further, this kind of risk-taking by investors is not observed in...

We propose a new definition of mutual fund skill in tracking retail investors through characterizing trading synchronicity between mutual funds and retail flows. Firstly, we find robustness evidence that funds with low trading synchronicity significantly outperform funds with high trading...

We show that active equity funds deliberately alter their factor loadings rather than maintaining a constant style. Changes are larger following quarters in which funds either under- or out-perform other funds based on returns or fund flows. Motivated by this observation, we identify a new...

This paper provides evidence on the impact of fund board quality on (a) the fund flow-performance relation, (b) persistence in fund performance, and (c) a fund's potential change of strategy following a period of underperformance. We use Morningstar's board quality ratings as a proxy for the...