This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...

As we noted in Grover and Kizer [2016], the proliferation of style (or factor) investing has created a more complicated landscape for investors. It can be difficult for investors and their advisors to understand what style exposures a particular fund or strategy provides, whether the net expense...

We study the effects of quantitative equity investing, an increasingly popular investment style, on financial market quality. Within a noisy REE model of strategic speculation with two informed market participants, we define discretionary investing as fully strategic trading and quantitative...

In this research I empirically study the effects of information acquisition by investors or traders on analysts' forecast bias. Based on the theoretical literature on sell-side analysts, I argue that forecast bias is correlated to investors' information gathering, in two opposite directions. On...

We construct an information factor (INFO) using the informed stock buying of corporate insiders and the informed selling of short sellers and option traders. INFO strongly predicts future stock returns -- a long-short portfolio formed on INFO earns monthly alphas of 1.24%, substantially...

American university and college endowments now hold close to one-third of their portfolios in private equity and hedge funds. We estimate the implied beliefs of endowments about alternative assets' returns relative to equities and bonds. At the end of 2012, the typical endowment believes that...

This paper explores the time-varying institutional investor preference for lottery-like stocks. On average, institutional investor holdings reflect an aversion to lottery-like stocks. However, I find that an institutions' aversion to lottery-like stocks is reduced when investor sentiment is low....

This paper investigates herding behaviors in U.S treasury markets. We document novel evidence that mutual funds exhibit strong herding behaviors on trading long-term treasuries. This “term-structure” herding is only pronounced for buy herding, not sell herding. The relationship between...

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

This study proposes that the performance of mutual fund managers is linked to how efficiently they allocate attention across assets in their investment set. Motivated by existing models of optimal portfolio choice and rational inattention, we posit that the efficiency of attention allocation...