Multiple studies have examined the relationship between performance and subsequent fund flows. Prior work takes a fund's dollar flows divided by its assets under management as the dependent variable. However, individual fund flows have to add up to the aggregate flow in every period. If...

The behavior of institutional investors often deviates from established personal or social norms, which may reflect either an informational advantage or psychological bias. In this paper, we investigate the incentives of Chinese mutual funds holding lottery-type stocks, which are characterized...

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with...

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with...

The mutual fund industry consists of heterogeneous managers and investors. Hence, traditional models of delegated portfolio management need to be extended to allow heterogeneity. We propose that this extension can be modeled as a dual matching-contracting problem of endogenously repeated trust...