We find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of...

We examine the ability of one- and two-factor regime switching models to describe US, developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns without the need to model...

"We examine whether institutional investors are able to avoid future litigation. Our results show that institutions provide a fiduciary role by decreasing or eliminating their positions in sued firms well before litigation begins. We also find that institutional groups with high monitoring...