Strategies that overweight low beta stocks and underweight high beta stocks earn positive alphas. Price noise is known to affect high beta stocks, hence, noise trading can be expected to significantly affect the performance of these strategies. I study the impact of flows between bond and equity...

Forward-looking metrics of uncertainty based on options-implied information should be highly predictive of equity market returns in accordance with asset pricing theory. Empirically, however, the ability of the VIX, for example, to predict returns is statistically weak. In contrast to other...

We present a novel measure to declare a magnitude of the difference between fund's prospectus investment styles and the fund's actual investment styles on a long- term basis. Our measure incorporates parameter uncertainty in its measurement and through a sequence of pair-wise comparisons of the...

This paper examines different clienteles' reactions to style changing behavior of mutual funds. Using the granularity of daily mutual fund data, we show that heterogeneity in investors' sophistication levels strongly relates to heterogeneity in responses to style changing behavior. The empirical...