This study attempts to test the performance persistence hypothesis for Commodity Trading Advisors (CTAs) considering the impact of incubation and backfill bias. From the empirical test using Fama-MacBeth regression and quintile analysis, we suggest a robust result that ranking CTAs using the...

We study financial analysts’ recommendation when firms receive contentious shareholder-sponsored proposals on governance-related issues. We find that analysts’ stock recommendations in the month immediately prior to the annual meeting (at which shareholder voting on contested proxy proposals...

This study investigates the relationship between the comprehensibility of a firm's annual report and its stock return synchronicity in the Indian market. The study employs the readability of annual reports as a measure for the cost of information processing. The findings suggest that firms with...

This study examines how the quality of corporate disclosures impacts the precision of information that financial analysts incorporate into their forecasts of annual earnings. Our empirical measures distinguish between individual analysts' common and idiosyncratic (uniquely private) information...

This paper provides evidence on the net stock price effects associated with managers following a disclosure strategy of guiding earnings down to a level where they can report a positive earnings surprise. Prior literature documents a stock price premium when firms meet or beat analysts'...

Analysts' earnings pressure not only drives corporate managers to improve short-term financial performance but also encourages them to engage in myopic decisions detrimental to environmental performance. However, evidence on whether analysts' earnings pressure affects environmental information...

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen’s alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...

This paper provides evidence on the hypothesis that many behavioral finance patterns are so deeply rooted in human behavior that they are difficult to overcome by learning. We test this on a target group which has undoubtedly very strong incentives to learn efficient behavior, i.e. fund...

This study compares a measure of market-share changes with net flows to revisit the fund flow-performance relationship from the viewpoint of the heteroscedasticity of fund flows. We decompose market-share changes (net flows) into inflow and outflow shares and other parts (inflow and outflow) to...

In this Article, we examine the content and compliance of mutual fund summary prospectuses. Fund disclosures are subject to `plain English' requirements promising to make disclosures accessible to ordinary investors and level the investment playing field. Despite recent SEC regulations intending...