This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...

We examine the performance-flow relationship(PFR) in Chinese open-end fund market and find that PFR is negative and concave. The shape of PFR indicates that investors¡¯ choice does not pose an incentive mechanism on fund managers: The better an open-end fund performs, the higher the net...

In this, the fourth article in the economists’ hubris paper series, we look at the contributions of academic thought to the field of asset management. We find that while the theoretical aspects of the modern portfolio theory are valuable, they offer little insight into how the asset management...

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced—or has failed to influence—federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH has...

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...

Processing qualitative information about a firm's product market competition matters for professional investors. Consistent with a superior understanding of a firm's market power, fund managers who overweight companies with the fewest competitors (monopolies) outperform their peers. An exogenous...

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

We measure misvaluation using the discounted residual income model. Confirming the findings in the literature, we show that there are significant returns on a misvaluation based long-short portfolio that buys under- and sells short overvalued shares. We define misvaluation spread as the...

As we noted in Grover and Kizer [2016], the proliferation of style (or factor) investing has created a more complicated landscape for investors. It can be difficult for investors and their advisors to understand what style exposures a particular fund or strategy provides, whether the net expense...