Unlike mutual funds, unit investment trusts invest in a fixed portfolio of stocks for a predetermined period of time and hold limited cash positions. Thus, UITs provide an ideal sample to measure stock selection skill. We examine a sample of 1487 UITs over the period 2004 to 2013. We find that...

We examine the sensitivity of estimates of abnormal performance to models that vary in the degree to which they explicitly control for variation in the regional and emerging market allocations of diversified international mutual funds. Models based on the most commonly used global MSCI...

We examine the mutual funds that appeared in the Wall Street Journal's SmartMoney Fund Screen column from September 2004 through July 2009. We find that the majority of funds listed do not have Morningstar's highest five star rating. Regardless of Morningstar rating, the average prepublication...

We examine four separate classifications (high quality corporate, general corporate, government Treasury, and general government) of investment grade bond funds over the 1994-2004 period. We verify that distinct differences exist in investment styles across the classifications. We also document...

This paper examines whether U.S. commercial lenders are appropriately compensated on commitment loans under a constant spread, variable rate formula, during recessions. Using the Loan Pricing Corporation (LPC) DealScan database, for periods preceding, during, and following the 1990/91 and 2001...

Bond funds report both a distribution yield and a SEC yield, which are roughly analogous to the current yield and yield to maturity on an individual bond. We analyze the quarterly yields reported by municipal bond funds from September 1993 to September 2009. Despite substantial variation in the...

Using daily fund returns and a model comprised of the Fama and French (1993) stock and bond factors, the Carhart (1997) momentum factor, and an aggregate bond market factor, I examine the relationship between the allocation strategy, investing style, and performance of hybrid mutual funds. Funds...

Reported portfolio data indicate that bond fund managers engage in sector timing behavior. I use simulation procedures to examine the ability of various versions of the Treynor and Mazuy (1966) timing specification to detect positive sector timing skill. Results indicate that the models are...

We examine the market timing performance of a sample of high quality corporate bond funds over the 1994-2003 time period. After establishing that the funds do engage in market timing activity, we find strong evidence of perverse market timing ability between cash and bonds and additional...

We examine whether controlling for funds' fixed income exposure affects the conclusions drawn in performance evaluation when a fund sample holds a significant amount of fixed income securities. We use daily return data to measure the performance of hybrid funds. Compared to the Carhart (1997)...