In contrast to the literature involving U.S. bank domestic lending, we find that mutual funds affiliated with lending banks reduce their equity investment and turnover in the non-U.S. listed stock of their non-U.S. borrowers compared to non-lending banks or unaffiliated mutual funds. Reduced...

We introduce a measure of regret for stock market investors and investigate its cross-sectional asset pricing implications. We propose a theoretical framework in which investors experience regret due to not achieving the highest possible return in the same industry with their stock investment,...

In this paper, we build estimation error in mean returns into the mean-variance (MV) portfolio theory under the assumption that returns on individual assets follow a joint normal distribution. We derive the conditional sampling distribution of the MV portfolio along with its mean and risk return...

This paper documents predictable time-variation in stock market Sharpe ratios. Predetermined financial variables are used to estimate both the conditional mean and volatility of equity returns, and these moments are combined to estimate the conditional Sharpe ratio, or the Sharpe ratio is...