Using 13F position valuations, we show that hedge fund advisors intentionallymismark their stock positions. We document manipulation even after eliminatingissues inherent in the pricing of illiquid securities. The documented mismarking isrelated to hedge fund incentives. Mismarking is more...

Using detailed holdings of exchange-traded options, we examine how mutual funds use optionsand how options affect portfolio performance and risk. Options users underperform nonusers bytwo to three percent per year. The underperformance is especially pronounced for funds that areheavy users of...

US equity mutual funds, on average, prefer realization of capital losses to capital gains. Nevertheless,a substantial fraction exhibits the disposition effect of realizing gains more readily than losses. Myanalysis suggests that learning effects have reduced the manifestation of the disposition...

This is the first study of corporate-bond mutual fund performance that examines detailedsecurity-level holdings and returns. The new database allows us to decompose the costsand benefits of active management. In contrast to prior research on equity funds thatshows evidence of stock-selection...

This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...

This paper provides the first empirical test of the diversification of opinions theory and the groupshift theory using real business data. Our data set covers management teams and single managersof US equity mutual funds. Our results reject the group shift theory and support thediversification...

In this paper we develop the rst estimator of the covariance matrix that relies solely onforward-looking information. This estimator only uses price information from a cross-sectionof plain-vanilla options. In an out-of-sample study for US blue-chip stocks we show that aminimum-variance strategy...

This paper serves two purposes. First, we introduce a new data set on the German stock marketwhich is publicly available to all researchers. It comprises factor returns (a market factor, asize factor, a book-to-market factor, and a momentum factor) as well as returns of portfolioswhich are...

In dieser Arbeit untersuchen wir Höhe und Struktur der Vergütung von Fondsmanagern underklären diese durch Eigenschaften des Arbeitnehmers, des Arbeitgebers und desArbeitsplatzes. Die Vergütungshöhe hängt primär von der Bedeutung des Arbeitsplatzes imUnternehmen ab, die...

We study whether fund families efficiently allocate their fund managers to differentmarket segments. Whether a fund manager can generate alpha simultaneouslydepends on her skills, and on the efficiency of the market segment in which she isemployed. We show that in the more efficient investment...