We investigate Morningstar's new qualitative, forward-looking analyst ratings, which reflect independent analysts' expectations of a fund's future performance. We find relatively higher flows to funds receiving higher ratings, suggesting that the average investor values the analyst's subjective...

REITs exhibit a strong and prevalent momentum effect that is not captured by conventional factor models. This REIT momentum anomaly hampers proper judgments about the performance of actively managed REIT portfolios. In contrast, a REIT momentum factor adds incremental explanatory power to...

Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks basedon the systematic pattern and significant spread in alphas from the existing models that do notcontrol for the higher-moment risks. The spread and pattern in alphas do not disappear withbootstrap...