Just over 20 years have passed since the publication of Mark Carhart’s landmark 1997 study
on mutual funds. Its conclusion—that the data did “not support the existence of skilled or …

The value of exchange traded fund (ETF) assets has increased from $66 billion in 2000 to
almost a trillion dollars in 2010. We use this massive expansion in ETF assets to study what …

Mutual fund managers should choose to increase their portfolio concentration when their
information set is valuable enough that the benefits of the expected increase in alpha more …

We introduce a new holdings-based procedure to identify whether a mutual fund has a
benchmark discrepancy, which we define as a benchmark other than the prospectus benchmark …

Given the rapid growth of investment products focused on socially responsible investing (SRI),
in March 2016 Morningstar began reporting standardized metrics to “grade” the …

We use variation in corruption convictions across judicial districts in the US to examine the
relationship between political corruption and risk-taking of public firms. Firms headquartered …

I develop new measures of the value of active mutual fund management using portfolio
holdings. These measures simultaneously test for trading and selection skill within stocks, …

We find that mutual fund investors are more likely to both purchase and redeem funds with
high idiosyncratic volatility (IV). Investors’ tendency to purchase high IV funds is largely driven …

We study the impact of risk on mutual fund flows. Consistent with prior literature, we find
evidence that net flows show aversion to risk. We show, however, that gross inflows and outflows …

We use a unique dataset of SEC Form N-SAR filings to examine the gross flows of US bond
funds. We find that gross inflows and outflows average around 4% of total net assets per …