Despite the rapid rise of the number of liquid alternative mutual funds (LAMFs) available to retail investors in recent years, few studies have compared how their return and risk characteristics differ from their hedge fund counterparts across their entire history. Being among the first...

Some exchange-traded funds (ETFs) are specifically designed for harvesting factor premiums, such as the size, value, momentum and low-volatility effects. Other ETFs, however, may implicitly go against these factors. This paper analyzes the factor exposures of US equity ETFs and finds that,...

This paper identifies a novel channel of information transfer in a common shareholder (CS) relationship, in which a shareholder of a fund management company (FMC) also has a substantial stake in a listed company held by the FMC. We find that the holdings of common shareholder–connected FMCs...

This study aims to clarify whether Long Term Equity Funds (henceforth LTFs) are worth the investment of those planning for retirement. The 5-year quarterly returns (2012 -2016) were used to calculate beta and Sharpe ratio of the LTFs then compared to the gold and Thailand stock market's data....

By using a unique dataset on mutual fund visits to listed firms in China, we investigate whether mutual funds are able to obtain private information or benefit from their communication with firms. Our findings are as follows: 1) such communication significantly increases the subsequent trading...

This article proposes a straightforward measure of the residual unsystematic risk that a selective portfolio investment strategy, such as socially responsible investment, eventually bears. The model is empirically employed in order to analyse whether the MSCI socially responsible indices bear...

We show that poor mutual fund performance can result from agency problems that drive fund inceptions. Funds created to exploit investor irrationality have different portfolio compositions at inception, loading heavily on past winner stocks. Investors reward these funds with abnormally high...

We examine whether stock-level options information drives mutual fund performance. Our paper is motivated by existing studies indicating that options prices or implied volatilities predict stock returns. We find that stock-implied volatility innovations forecast mutual fund performance....

We examine the relation between short-term mutual fund performance and fund size around the world. Using a large sample of worldwide equity funds we show that small funds outperform large funds, suggesting diseconomies of scale for the mutual fund industry across countries. We find that fund...