Dichev [2007. American Economic Review 97, 386-401], in an influential paper, examines the gap between the performance of major stock markets and the dollar-weighted performance of investors in these markets. He finds a significant gap of 1.3 percent per year for NYSE/AMEX and 1.5 percent...

We use a new data set to study the determinants of the performance of open--end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the USA and elsewhere...

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that US findings concerning its shape do not apply universally. We find that mutual fund...

Existing work on mutual fund performance persistence obtains diverse results, depending on the group of funds studied. We examine whether performance persistence within a peer group of competing mutual funds depends on the group's composition. The U.K. mutual fund industry is ideal for such an...

We compare the performance of a structural and a reduced form default risky bond pricing model for Brady bonds from different countries. Goodness of fit statistics indicate comparable in-sample model performance whilst our out-of-sample tests favour the reduced form model. We also find evidence...

<link rid="b16">Gruber (1996)</link> and <link rid="b35">Zheng (1999)</link> report that investors channel money toward mutual funds that subsequently perform well. <link rid="b31">Sapp and Tiwari (2004)</link> find that this "smart money" effect no longer holds after controlling for stock return momentum. While prior work uses quarterly U.S. data, we employ a...

We compare the long run reaction to anticipated and surprise information announcements using stock splits. Although there is underreaction in both cases, anticipated splits are treated differently to those that are unforeseen. After anticipated splits, cumulative abnormal returns peak at...