We model and test the relations between the team management of mutual funds, fund manager ability, fund performance, and holdings. Our model predicts that team-managed funds will perform better, allocate their funds more conservatively, and trade less aggressively than single-manager funds....

This paper examines data from 45 world markets and shows that the previously documented relation between mean returns and idiosyncratic volatility arises because of biases in volatility estimates that we can attribute to the bid-ask bounce in trade prices. We show that no significant relation...

In this paper, we provide a trend factor that captures simultaneously all three stock price trends: the short-, intermediate-, and long-term, by exploiting information in moving average prices of various time lengths whose predictive power is justified by a proposed general equilibrium model. It...

We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading volume measures, alternative portfolio formation...

Intuition derived from the static capital asset pricing theory(CAPM) suggests that the market risk premium should be positively related to the market systematic risk as measured by the market volatility (variance). However, the empirical evidence is conflicting. While some studies find...

This paper considers the team management of mutual funds, fund manager ability, performance, and holdings. We find evidence suggesting there is a positive relation between performance and team management concurrent with a negative relation between managerial ability and the use of team...

This paper considers the team management of mutual funds, fund manager ability, fund performance, and holdings. We find evidence suggesting a positive relation between fund performance and team management concurrent with a negative relation between managerial ability and the use of team...

We examine the cross-sectional relation between idiosyncratic volatility and stock returns and propose that the joint effect of the percentage of zero returns, that affects the loading on the systematic risk factors, and the bid-ask spread, that inflates the variance of the returns, biases the...

In this paper, we document that an application of a moving average strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that often outperform the buy-and-hold strategy substantially. For high volatility portfolios, the abnormal returns,...

Recent studies provide strong statistical evidence challenging the existence of out-of-sample return predictability. The economic significance of return predictability is also controversial. In this paper, we find significant economic gains for dynamic trading strategies based on return...