We develop a new method for detecting portfolio manager activity. Our method relies exclusively on portfolio returns and, consequently, avoids the pitfalls associated with disclosed portfolio holdings. We investigate the link between activity and performance of actively managed U.S. equity funds...

Using a 57-year global panel of listings on foreign stock exchanges, we identify waves in foreign listing activity at the host market, home market, and industry levels. We observe that the waves in the host market are often due to cross-listing waves in home markets or industries that share a...

Purpose – The purpose of this paper is to explore how hedge fund database biases developed during the 2007-2009 financial crisis. Design/methodology/approach – The sample consists of 8,935 hedge funds from the Lipper TASS Hedge Fund Database for the January 2002-September 2010 time period....

We compare post-financing stock performance for debt-issuing portfolio with equity-issuing one in Taiwan to identify whether firms’ financing decisions were driven by managerial optimism or market timing. Our result supports corporate financing decisions in Taiwan are driven by managerial...

Purpose - The purpose of this paper is to study performance and market timing ability of equity real estate investment trusts (REITs). Design/methodology/approach - The authors use classical regression-based framework and their multi-index, multifactor, and conditional extensions to jointly...

Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics. Ignoring the self-reported benchmark results in different measurement of stock selection and timing components of...