This paper examines the role of portfolio concentration at the stock level in generating abnormal returns and tries to reveal the factors behind the relationship between security concentration and fund performance. Our study finds that security-concentrated funds underperform...

Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock return and volatility connectedness increase across the...