We examine whether actively managed equity mutual funds trade on localised information events - syndicated loan covenant violations and changes in bank loan and entity ratings. Local investors achieve positive abnormal stock returns only around covenant violation periods rather than changes in...

We examine the effects of algorithmic trading (AT) on the US mutual fund industry and find that funds holding stocks with higher AT intensity have lower holdings returns and higher interim trading profits (return gap). This effect survives controls of effective spread and execution shortfall....

This study examines the use of insider trading information by hedge funds. We find that hedge funds tend to trade in the same direction as insiders when insider trading is likely driven by information, but do not respond to likely liquidity-driven insider trades. This finding is consistent with...

We examine the effect of algorithmic trading (AT) on the US mutual fund performance and find that funds holding stocks with higher AT intensity have lower holdings return and higher interim trading profits as measured by return gap. This positive effect of AT on return gap survives controls of...

Studying equity mutual funds that are nominated for the prestigious Morningstar Mutual Fund Manager of the Year award, we document that investors react by reducing flows to non-winners. Since winners and nonrecipients are nominated based on strong past performance, this runner-up effect is...

We examine the information content of managed fund ratings for Australian retail investors. Because fund ratings, premised on a quantitative-qualitative model, are highly transitory, we question whether investors formulate their investment decisions with respect to changes in ratings and whether...