We directly estimate annual trading costs for a sample of equity mutual funds and find that these costs are large and exhibit substantial cross sectional variation. Trading costs average 0.78% of fund assets per year and have an inter-quartile range of 0.59%. Trading costs, like expense ratios,...

Mutual funds price their shares using last-trade prices of their underlying assets. Because last-trade prices are often stale, this practice results in fund share prices (NAVs) whose daily changes are predictable. We show that the predictability is pervasive and economically significant in...

Fama (1977) and Miller (1977) predict, that one minus the corporate tax rate will equate after-tax yields from comparable taxable and tax-exempt bonds. Empirical evidence show that long-term tax-exempt yields are higher than the theory predicts. Two popular explanations for this empirical puzzle...

Managers choose to spend corporate resources to purchase directors' and officers' liability insurance, which protects directors and officers from personal financial liability in lawsuits brought against the firm and its directors and officers. We investigate whether the amount of Damp;O...

We analyze a sample of 72 IPO firms that went public between 1992 and 1996 for which we have detailed proprietary information about the amount and cost of Damp;O liability insurance. If managers of IPO firms are exploiting superior inside information, we hypothesize that the amount of insurance...

Many investors purchase mutual funds through intermediated channels, paying brokers or financial advisors for fund selection and advice. This paper attempts to quantify the benefits that investors enjoy in exchange for the costs of these services. We study broker-sold and direct-sold funds from...

We find that the aggregate asset allocation decisions of US mutual fund investors depend on economic conditions. Both anticipated economic downturns and periods of turmoil lead investors to direct flow away from risky equity funds and towards lower-risk money market funds. These patterns are...

We study the effects of economic conditions and destabilizing events on the aggregate asset allocations of mutual fund investors. In the universe of U.S. mutual funds between 1991 and 2008, we find that excess flow is consistently related to proxies for economic conditions. An expected...

In this paper, we analyze the determinants and effects of credit default swap (CDS) trading initiation in the sovereign bond market. CDS trading initiation is associated with a 30–150 basis point reduction in sovereign bond yields, with greater yield reductions accruing to higher default risk...