I study how analysts' performance depends on their incentives using a regulatory shock and the textual content of analyst reports. My results focus on two aspects of performance, information production and bias. After incentives are reduced, analysts produce less information that is also less...

We show that abnormal returns to analysts' recommendations stem from both the ratings levels assigned as well as the changes in those ratings. Conditional on the ratings change, buy and strong buy recommendations have greater returns than do holds, sells, and strong sells. Conditional on the...

Since the introduction of Bitcoin in 2008, trading venues for cryptocurrencies, so called cryptocurrency exchanges, have undergone a fast development. Today cryptocurrencies totaling to more than USD 16bn are traded on more than 200 of such platforms, thereby surpassing the volume traded of...

We investigate the biases in the backtested performance of “alternative beta” strategies using a sample of 215 commercially promoted trading strategies across five asset classes. Our results lend support to the cautions in recent literature regarding backtest overfitting and lack of...

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...

Using hedge funds' holdings of IPO stocks, we find that stocks with abnormally high hedge fund holdings, based on stock and deal characteristics, yield abnormal returns. Moreover, hedge funds are able to sell IPO stocks in a timely fashion before long-run underperforming periods start,...

We use a proprietary dataset to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publically announced....

We document strong comovement in the returns of hedge funds sharing the same prime broker. This comovement is driven neither by funds in the same family nor in the same style, and it is distinct from market-wide and local comovement. The common information hypothesis attributes this phenomenon...

Utilizing an influential event, the 2005 Lehman index rule change, we examined the role of multiple bond ratings in corporate hedging. We find that U.S. firms exhibit a sharp increase in their demand for a third Fitch rating after the Lehman event, with the pattern particularly significant for...

The hedge fund industry represents a significant and viable alternative for mainstream investment business clientèle, as well as a growing number of sophisticated high net worth individuals. The hedge fund raison d'être has been relative independence of other (more traditional) asset classes...