Measuring fund clientele by investors’ revealed usage of different asset pricing models, we show that funds with more CAPM investors perform better, all else equal. This predictability is not because the CAPM-alpha predicts future fund performance but because it reflects investor...

There is existing evidence of equity returns having a mixture distribution with multiple component structures. Following the increasing interest in intraday trading, this article examines determinants of intraday equity return distributions and finds that greater information flow and stock...