We provide an exploratory investigation of mutual funds' investment styles. Funds' styles tend to cluster around a broad market benchmark. When funds deviate from the benchmark they are more likely to favor growth stocks with good past performance. There is some consistency in styles, although...

This paper investigates whether abnormal returns exist due to transparent changes in domestic U.S. Russell equity indexes. Newly-listed (delisted) companies in the Russell 1000 and Russell 2000 indexes have significant positive (negative) abnormal returns in May and June but not in July....

We investigate the value of active mutual fund management by examining the stockholdings and trades of mutual funds. We find that stocks widely held by funds do not outperform other stocks. However, stocks purchased by funds have significantly higher returns than stocks they sell-this is true...

This study presents new evidence that industry-wide earnings surprises indeed diffuse gradually across the supply chain at both industry and individual-firm levels. This evidence provides fundamental support for studies in the literature of gradual information diffusion, commonly using lagged...

A positive SMB coefficient in a Fama-French regression is often interpreted as signaling a portfolio weighted toward small-cap stocks. We present a portfolio with known very large size, which has a positive SMB coefficient for all periods. We emphasize that this is associated with the...

Valuation risk of a security—uncertainty about its fair value—is a subject of considerable concern in the mutual fund industry. If funds report different values for identical securities, investors cannot easily compare performance. Yet it is not unusual to see identical illiquid stocks,...