This paper examines foreign institutional investors' portfolio allocation and performance in U.S. securities. We test how information immobility, proxied by cultural and geographical distance between the investors' home markets and the U.S., influences portfolio strategies. Consistent with...

This study takes a novel approach to testing the efficacy of technical analysis. Rather than testing specific trading rules as is typically done in the literature, we rely on institutional portfolio managers' statements about whether and how intensely they use technical analysis, irrespective of...

We develop a model of performance evaluation and fund flows for mutual funds in a family. Family performance has two effects on the estimate of a member fund's skill and its inflows: a positive common-skill effect, and a negative correlated-noise effect. The overall spillover is either positive...

This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the global financial crisis; (ii) identifies the main factors that could account for such behavior; (iii) discusses the implications of procyclical behavior; and (iv) proposes a...

This paper analyzes the relevance of Behavioral Finance in the functioning of financial markets. As a result of the empirical evidence through four surveys to professional investors with an average of 92 respondents, our main focus is to enhance the structure and systematization in the field. We...

Empirical studies document that investors typically deviate significantly from a globally market value weighted portfolio, concentrating their portfolio holdings in securities domiciled in their home country and in familiar foreign markets. Evidence that home country concentration stems from an...

In this paper, we examine and compare the form of the flow-performance relationship for U.S. retail and institutional mutual funds. We provide evidence that the convex form of the flow-performance function documented by previous research characterizes mostly the relationship in the upper region...

Are market experts prone to heuristics, and if so, do they transfer across closely related domains --- buying and selling? We investigate this question using a unique dataset of institutional investors with portfolios averaging $573 million. A striking finding emerges: while there is clear...

We have developed a structural model to explain defined benefit (DB) pension funds' investment behaviour. The model is calibrated to the aggregate UK DB pension fund and four different cohorts of funds. We use the model to estimate how pension funds can be expected to adjust their asset...

We document a novel channel through which coordinated trading exerts externalities on financial markets. We study the impact of a financial advisory firm that recommends frequent reallocations between equity and bond funds to Chilean pension investors. The recommendations generate large and...