Using data on $18 trillion of assets under management, we show that actively managed institutional accounts outperformed strategy benchmarks by 88 (44) basis points on a gross (net) basis during the period 2000–2012. Estimates from a Sharpe (1992) model imply that asset managers'...

We investigate the extent to which hedge fund managers smooth self-reported returns. In contrast with prior research on the “anomalous” properties of hedge fund returns, we observe the mechanisms used to price the fund's investment positions and report the fund's performance to investors,...

We investigate the extent to which hedge fund managers smooth self‐reported returns. In contrast with prior research on the “anomalous” properties of hedge fund returns, we observe the mechanisms used to price the fund's investment positions and report the fund's performance to investors,...

Daniel and Titman (2006) propose that the value premium is due to investors overreacting to in- tangible information. They therefore decompose five-year changes in firms' book-to-market ratios into stock returns and a residual that is a proxy for tangible information based on accounting...