We propose a measure of dispersion in fund managers׳ beliefs about future stock returns based on their active holdings, i.e., deviations from benchmarks. We find that both the level of and the change in dispersion positively predict subsequent stock returns on a risk-adjusted basis. This effect...

This paper establishes a robust link between the trading behavior of institutions and the book-to-market effect. Building on work by Daniel and Titman (2006), who argue that the book-to-market effect is driven by the reversal of intangible returns, I find that institutions tend to buy (sell)...

This paper ?nds that fund herding, de?ned as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor of mutual fund performance. Examining actively managed U.S. equity mutual funds over the period 1990-2009, we ?nd that funds with a higher herding...

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures...

In this study, we produced biodiesel by utilising waste cooking oil as a raw material, unrefined methanol produced by a chemical plant as a transesterification agent and sodium hydroxide as a catalyst. The yield and heating value of the biodiesel produced with unrefined methanol were...

We investigate whether skilled hedge fund managers are more likely to pursue unique investment strategies that result in superior performance. We propose a measure of the distinctiveness of a fund's investment strategy based on historical fund return data. We call the measure the "Strategy...

The asymmetrical distribution of debris-flow velocity in a cross-section has long been observed and is currently regarded as one of the most essential issues in debris-flow research. Due to a lack of quantitative models for the velocity distributions of debris flows, most studies consider only...

Subsequent rainfall after a strong earthquake can easily trigger landslides. Aerial photography is always available after a strong earthquake but not always available in a timely manner after a subsequent rainfall following the earthquake. Sometimes, only panchromatic imagery is available...

We study a significant innovation with widespread consequences for the mutual fund industry: the introduction of multiple-class funds that give investors a choice among alternative load and fee structures. The transition to a multiple-class structure represents an important step in the evolution...