This paper analyzes determinants of home bias in equity funds based on monthly holdings data using panel and quantile regressions. We investigate 699 equity funds, domiciled in fifteen European countries, that broadly invested in European stocks from January 2003 to December 2016. More than...

We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...

We study the economic significance of social dimensions in investment decisions by analyzing the holdings of U.S. equity mutual funds over the period 2004-2012. Using these holdings, we measure funds' exposures to socially sensitive stocks in order to answer two questions. What explains...

The proposition that a prudent investor should be diversified is widely accepted if not incontrovertible for ordinary investors – investors who have no reasonable expectation of influencing company management or business policy. Indeed, fiduciary duty requires that trustees and other...

This paper shows that low-expense index funds draw investor attention to a fund family, and the investors' subsequent incomplete search within funds in the family raises flows of actively managed funds in the same family by 10%. These spillover effects are more salient among retail investors and...

Rational investors should account for risk factor exposure when allocating capital to mutual funds. Two recent influential studies use mutual fund flows to test whether investors distinguish between performance driven by managers' skill and systematic risk factors. Both studies found that...

This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...

This paper analyzes the effect of investor monitoring on the performance of equity investment funds. For that purpose, we analyze the relationship between fund performance, measured using four-factor Alpha, and a set of control variables and monitoring proxy variables. We used monthly data for...

This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...

This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...