We document that institutional investors, and particularly hedge funds, increased their holdings of smaller stocks from 1980 to 2010 and decreased their holdings of larger stocks. As of 1990 institutions began to underweight, relative to market weights, those stocks that make up the largest 40...

This paper reports the results of a survey of nine Dutch (AUM EUR 342 billion) and five Canadian (AUM CAD 203 billion) pension funds and fiduciary managers on the investment and management decisions regarding illiquid assets. The Dutch pension funds in our sample invest 15% of their portfolio in...

We find remarkable heterogeneity in the investment strategies of pension funds with similar objectives. We use bias-free data to measure their investment strategies through factor exposures within equity and fixed income portfolios. Consistent with our model we find that the funding ratio, risk...

How does memory shape individuals' financial decisions? We find experimental evidence of a self-serving memory bias. Subjects over-remember their own positive investment outcomes and under-remember negative ones. In contrast, subjects who did not invest but merely observed outcomes do not have...

We propose and test a framework of private information acquisition and decision timing for asset allocators hiring outside investment managers. Using unique data on due diligence interactions between an allocator and 860 hedge funds, we find that the production of private information complements...

Defined benefit pension funds invest in illiquid asset classes for return, diversification or liability hedging reasons. So far, little is known about factors influencing how much they invest in illiquid assets. We conjecture that liquidity and capital requirements are pivotal in this decision....

We develop a dynamic general-equilibrium framework with multiple households and multiple risky assets to explain how less- and more-sophisticated households differ in their portfolio and wealth dynamics. Differences in sophistication are modeled via heterogeneous confidence about asset returns,...

In recent years, exchange-traded fund (ETF) markets have grown exponentially due to their rising popularity amongst retail investors with a preference for passive investments. However, the effect of this rising popularity on the performance of ETF markets remains understudied. Therefore, the...

In this paper, I examine the flow and performance of mutual funds in Brazil and their portfolio allocations during the global financial crisis. First, I show that mutual funds exposed to deposits and securities issued by small banks suffered significant outflows, due to the increased risk...

Environmental, social, and governance (ESG) objectives have risen to near the top of the agenda for corporate executives and boards, driven in large part by their perceptions of shareholder interest. We quantify the value that shareholders place on ESG using a revealed preference approach, where...