Our study is among the first to examine the net asset value (NAV) inflation practices of fund managers in China, finding that equity funds bolster their portfolios at quarter-end and especially year-end. In support of the NAV inflation hypothesis in China, we further document the following: (1)...

This study documents the significant profitability of “time-series momentum” strategies in individual stocks in the US markets from 1927 to 2014 and in international markets since 1975. Unlike cross-sectional momentum, time-series stock momentum performs well following both up- and...

We document a systematic seasonal component in the aggregate underperformance of active mutual funds. At the aggregate level, active funds underperform the market and other passive benchmarks only in the first month of a quarter. This intra-quarter performance seasonality holds across fund sizes...

We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings during January, the one month when losers...

This study empirically explores the dynamic relation between the environmental and social (ES) performance of a firm and its stock market returns. We find robust evidence that worse stock market performance increases firms' efforts on ES activities. We show these patterns are present in firms...

We provide a novel framework and empirical results to understand the relation between profitability growth and returns. By connecting a concave profit function to a standard valuation framework, we argue that if growth-rate risk carries a positive risk premium, firms with higher current...

The negative association between pre-financing price run-ups and post-financing price drift-downs is well documented in the literature. We find that firms experiencing pre-financing run-ups and firms experiencing post-financing drift-downs may not always be the same firms. This reversal pattern...

Environmental, social, and governance (ESG) ratings are widely used in practice but lack evidence of their underpinning. We find that firms sharing the same major shareholders with the rater (“sister firms”) receive higher ESG ratings. We make causal inference for the ownership effect by...

We study the interaction between ETF rebalancing and hedge fund “front-running” trades and its implications for the capital market. First, we document that ETF rebalancing has a strong negative relation with future stock returns. Second, we observe that hedge funds gradually increase...

Insiders, including directors and managers, are instrumental in establishing corporate strategy and steering a firm’s direction. Our findings show a positive relation between insider horizon and a firm’s corporate social responsibility (CSR) performance. This positive relation is likely...