In this paper we show that simple buy-and-hold strategies over-perform market-timing strategies effectively used by Italian investors in equity mutual funds. We estimate returns from market-timing strategies using aggregate data on net flows for a large sample of equity mutual funds, available...

We compare the stock return forecasting performance of alternative payout yields. The net payout yield produces more accurate forecasts relative to alternatives, including the traditional dividend yield. This remains true even after excluding several years during the Great Depression when...

This study compares a measure of market-share changes with net flows to revisit the fund flow-performance relationship from the viewpoint of the heteroscedasticity of fund flows. We decompose market-share changes (net flows) into inflow and outflow shares and other parts (inflow and outflow) to...

Using a large sample of institutional investors' investments in private equity funds raised between 1991 and 2011, we estimate the extent to which investors' skill affects their returns. Bootstrap analyses show that the variance of actual performance is higher than would be expected by chance,...

Why do investors keep buying underperforming mutual funds? To address this issue, we develop a one-period principal-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the investors perception of the fund plays the key role...

I provide evidence that fund managers who overweight firms with the most differentiated products ('monopolies') exhibit a superior risk-adjusted performance. This is consistent with information advantages due to a better understanding of qualitative information on a firm's competitive...

Several scholars analyze the relationship between individuals’ willingness to take risks and financial investment decisions. We add to this literature in using data from the German Socio-Economic Panel which allow ruling out that investments in risky assets itself impact on risk attitudes. We...

We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...