In this paper we examine the differences in aggregate ownership of stocks held by passive equity funds and active equity funds and in the characteristics of stocks held by these funds. We find that holdings of passive funds do not mirror the holdings of active funds. There are systematic...

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

This study establishes a multi-tier framework to evaluate how fund manager characteristics systematically affect mutual fund performance. The framework includes three tiers of performance elements: 1) comprehensive performance, 2) return and risk, and 3) timing skill and picking ability. Using...

Purpose- This study investigates the impact of Corporate Social Responsibility (CSR) on stock prices of Indian listed companies. The literature reviews show a strong contradictory of the relationship between CSR and stock prices which is still debatable. This study will tell whether there is a...

This study is the first to combine returns based (RBS) and characteristics based (CBS) style analysis into a single style analysis model. We address the issue of whether RBS and CBS style analysis complementary. Out of sample tests confirmed two things; membership of style groups explain a...

We examine how active share—the extent to which a portfolio's holdings differ from its benchmark's holdings—affects the performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the average bond fund has an issue-level...

We study the use of firms' book-to-market ratios (B/M) in value investing and its implications for comovements in firms’ stock returns and trading volumes. We show B/M has become increasingly detached from common alternative valuation ratios over time while also becoming worse at forecasting...

I examine whether the market's reaction to firms' earnings news varies with analysis (i.e., editorial content) produced by financial journalists. A series of restructuring events at The Wall Street Journal (WSJ) suggests that WSJ articles improve price discovery and increase trading volume at...

During the last two decades of the twentieth century, the investing world saw declining dividend and bond yields, with prices generally moving higher for both equities and bonds over the period. In the early years of this century, investors seemed to belittle the importance of income as a...

InvestorLit is a subscription service providing reviews of institutional investment literature. The reviews cover a wide range of investment topics and are published on their website. Bruce Grantier, Founder of InvestorLit, is a member of the Brandes Institute Advisory Board. Members of the...