We analyze whether the idiosyncratic risk puzzle noted by Ang et al. (2006, 2009) can be explained by the existence of market participants with different investment horizons. We adopt a wavelet multiresolution analysis to decompose returns distribution for different time scales. Our approach...

This empirical paper analyzes the role of investment companies' core competencies in explaining the growing importance of outsourcing within the mutual fund industry. We demonstrate that management companies tend to allocate portfolios that are not within their core competencies (defined as the...

This is a study of how contractual mechanisms can mitigate agency conflicts in sub-advised mutual funds. Sub-advising contracts allow fund families to expand their product offerings to include new investment styles and thereby gain market share. We show that costly contractual arrangements, such...