This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify...

Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds'...

We undertake the first comprehensive investigation into the use of currency forwards at international equity mutual funds. Using a unique hand-collected dataset spanning 15-years and over 1,200 US mutual funds, we identify three distinct approaches to using currency forwards that span liquidity,...

We study product differentiation in the mutual fund industry. We design a model in which funds with heterogeneous perceived quality can choose their level of product differentiation. In equilibrium, high quality funds choose broad market designs (i.e., low differentiation) appealing to many...

We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under...

We study whether fund families efficiently allocate their fund managers to differentmarket segments. Whether a fund manager can generate alpha simultaneouslydepends on her skills, and on the efficiency of the market segment in which she isemployed. We show that in the more efficient investment...

This paper develops a new approach that controls for commonalities in actively managedinvestment fund returns when measuring their performance. It is well-known that manyinvestment funds may systematically load on common priced factors omitted from popularmodels, exhibit similarities in their...

This paper finds that fund managers do not expect mean reverting returns, as suggested by theory and empirical evidence, but mean averting returns. The degree of mean aversion is positively related to preferences for non-fundamental information and loss aversion.

Our questionnaire survey finds that most fund managers rely on the strategies of buy-&-hold, momentum and contrarian trading. These strategies are typically applied mutually. Their use is rooted in the attributes and beliefs of the respective fund managers: buy-&-hold traders behave...