We exploit the merger between BlackRock and Barclays Global Investors to study how changes in expected ownership concentration affect the investment behavior of funds and the cross-section of stocks worldwide. We find that funds with open-end structures and a large exposure to commonly-held...

This study measured the individual and conjoint effects of Argentina's primaries and first- and second-voting presidential election results, as well as their post-election comparative effects, on the stock market performance of its most relevant economic sectors. Within four different estimation...

The tournament hypothesis of Brown et al. (1996) posits that managers of poorly performing funds actively increase portfolio risk in the second half of the year. At the same time, it is a well-established stylized fact that stock returns and the subsequent return standard deviation are...

This paper analyzes whether country-specific or foreign Economic Policy Uncertainty (EPU) can explain time-series variation in momentum returns in some international stock markets. First, we empirically tested three EPU index series on the return of Long-Short portfolios of momentum-based...

The majority of financial trades take place in open and highly regulated markets. As an alternative venue, large asset managers sometimes offset the trades of affiliated funds in an internal market, without relying on external facilities or supervision. In this paper, we employ institutional...

This paper examines the performance of US mutual funds investing primarily in convertible bonds. Although convertible-bond funds are popular investment vehicles, their return process is not well understood. We contribute an analysis of the complete universe of US convertible-bond funds proposing...

We investigate the validity and reliability of the bootstrap approach in fund performance evaluation by gauging the size. Monte Carlo simulations suggest that cross-sectional dependence may alter the size of this test and we propose a new panel bootstrap approach

The traditional fund-by-fund performance evaluation method suffers from various econometric problems such as multiple hypothesis testing, time-varying coefficients, cross-sectional dependence, etc. To overcome these problems, we tailor three high-dimensional cross-sectional tests to empirically...

The literature has not established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. When alpha is defined using the client's utility function, a positive alpha generally means the client would want to buy. When markets are incomplete investors...