Records of over half a million participants in more than 600 401(k) plans indicate that participants tend to allocate their contributions evenly across the funds they use, with the tendency weakening with the number of funds used. The number of funds used, typically between three and four, is...

A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through...

The authors propose a likelihood- ratio test of the hypothesis that the minimum-variance frontier of a set of K assets coincides with the frontier of this set and another s et of N assets. They study the relation between this hypothesis, exac t arbitrage pricing, and mutual-fund separation. The...

The authors characterize the sets of mimicking positions whose returns can serve in place of factors in an exact K-factor arbitrage pricing relation for a set of N assets. All of the sets are K-dimensional nonsingular linear transformations of each other. The authors interpret three examples of...

A Sunday "New York Times" article on a potential development of new cancer-curing drugs caused EntreMed's stock price to rise from 12.063 at the Friday close, to open at 85 and close near 52 on Monday. It closed above 30 in the three following weeks. The enthusiasm spilled over to other...

Using a large hand-collected data set from 2001 to 2006, we find that activist hedge funds in the United States propose strategic, operational, and financial remedies and attain success or partial success in two-thirds of the cases. Hedge funds seldom seek control and in most cases are...

This paper empirically investigates directors' ownership in the mutual fund industry. Our results show that, contrary to anecdotal evidence, a significant portion of directors hold shares in the funds they oversee. Ownership patterns are broadly consistent with an optimal contracting...