Fund managers can only exhibit selectivity through purchasing (selling) stocks that appreciate (depreciate) more frequently than expected from random occurrence, if stocks are incorrectly priced. We develop a method that can statistically identify fund managers that exhibit net, buy, and sell...

This paper examines the relation between financial development, energy consumption and economic growth in the United States (U.S) for the period 1966-2011. We use a vector error correction model (VECM) to investigate the effect of financial development and energy consumption on economic growth...

Stocks with high sentiment betas are more sensitive to investor sentiment, with more subjective valuations. We contend that sentiment beta also captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders. We...

We use portfolio holdings to show that mutual funds preferentially trade stocks according to the stocks' sentiment betas. Stocks with high sentiment betas are more responsive to investor sentiment and increase (decrease) in value as sentiment increases (decreases). Sentiment-based trades may be...

SUMMARY: We examine whether bank auditor effort, proxied by audit fees, is related to asset securitization risks (ASR) and whether the incremental auditor effort attributed to ASR is related to audit quality. Our sample period encompasses the Global Financial Crisis (GFC) and the introduction of...