We propose an innovative methodology for decomposing the value added generated by a money manager within a given assessment interval into the contributions of the manager's investment decisions made in the various periods, in order to identify the most (and the least) impactful period decisions....

We provide the first quantitative survey of the empirical literature on hedge fund performance. We examine the impact of potential biases on the reported results. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alpha") collected from 74...

Mutual funds’ maximum drawdowns are persistent, indicative of manager skill, and predictive of subsequent performance. Among funds with relatively strong past performance, those with relatively low past maximum drawdowns, on average, have an out of sample alpha of 2.40% per year. That alpha is...

We analyze changes to mutual funds' self-declared benchmarks using hand-collected data from funds’ prospectuses. Under existing rules, funds can freely change their benchmark indexes and, implicitly, the historical returns to which they compare their past performance. Funds exploit this...

The present study aims to construct an inclusive, Literature-based, and statistically vetted environmental, social and corporate governance disclosure (ESGD) index, measure the item-wise, theme-wise, and factor-wise ESG performance of the top 80 Indian companies for the period 2013-2016, and...

The present study aims to construct an inclusive, Literature-based, and statistically vetted environmental, social and corporate governance disclosure (ESGD) index, measure the item-wise, theme-wise, and factor-wise ESG performance of the top 80 Indian companies for the period 2013-2016, and...

Investors are increasingly demonstrating a preference for superior ESG performance among their portfolio firms. Concurrently, the use of ESG-related contracting metrics in executive compensation contracts has increased. We investigate these two related issues in the context of the adoption of...

We examine the effect of relative performance contracts on a manager’s economic incentives to manipulate earnings. Using data on actual peer firms, we find that higher earnings manipulation in the set of peer firms leads to higher earnings manipulation in the target firm. If the peer firm also...

From a contingency view, we aim to contribute to a better understanding of how exploitation and exploration influence performance. By conducting a meta-analysis, we aim to answer the following research question: How do substantive moderators (slack resources, organizational structure,...