Suppose that a group of agents having divergent expectations can share risks efficiently. We examine how this group should behave collectively to manage these risks. We show that the beliefs of the representative agent is in general a function of the group.s wealth level, or equivalently, that...

Over the last decades passive investment products have continuously increased in importance. The efficiency of financial markets is often identified as the main reason for this development. We propose a theoretical framework which reverses the causality by showing that market efficiency might...

This paper examines whether portfolio disclosure requirements for actively managed investment funds affect the investment decisions of firms owned by those funds. We argue that mandatory portfolio disclosures reduce fund managers’ incentive to collect and trade on private information, which...

This paper examines whether portfolio disclosure requirements for actively managed investment funds affect the investment decisions of firms owned by the funds. We argue that mandatory portfolio disclosures reduce fund managers’ incentive to collect and trade on private information, which...

An effective portfolio disclosure regime must balance both its costs and benefits across the entire financial services industry. This study examines a number of disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure....

Mutual funds generally do not invest in venture capital, private equity, or restricted shares of public companies. Consequently, individuals who desire to invest in such securities are unable to do so through diversified mutual funds. In this paper, we identify public policies and regulations...