We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System. We find that active investors earn significantly higher returns and risk-adjusted returns than inactive investors. A performance decomposition analysis reveals that most of...

We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System in the period 2000 to 2010. We find that active investors outperform passive investors, and that there is a causal effect of fund changes on performance. Chosen funds...

We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System. We find that active investors earn significantly higher returns and risk-adjusted returns than inactive investors. A performance decomposition analysis reveals that most of...

This paper reports the results of a behavioural finance experiment on the ability of Thai individuals to make informed investment decisions under a defined contribution self-management option. Using an asset allocation dataset from members of the Thai Government Pension Fund (TGPF) and a control...

We compare two bootstrap methods for assessing mutual fund performance. Kosowski, Timmermann, Wermers and White (2006) produces narrow confidence intervals due to pooling over time, while Fama and French (2010) produces wider confidence intervals because it preserves the cross-correlation of...

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 paper examines the value of hedge fund activism from the perspective of activist hedge funds' investors. On average, an activist hedge fund's equity holdings of intervention targets do not perform differently from its own non-target holdings. However, its target holdings outperform its...

Processing qualitative information about a firm's product market competition matters for professional investors. Consistent with a superior understanding of a firm's market power, fund managers who overweight companies with the fewest competitors (monopolies) outperform their peers. An exogenous...

This paper examines the effect of regulatory constraints on fund performance and risk by comparing conventional and UCITS hedge funds. Using a matching estimator approach, we estimate the indirect cost of UCITS regulation to be between 1.06% and 4.05% per annum in terms of risk-adjusted returns....

We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...