Despite the nonlinearity in the relation between interest rate risk and expected return, bond fund performance regressions usually lever expected benchmark returnslinearly to the fund’srisk. This causes systematic miscalculations of expected passive style returns and active alphas. I propose a...

We investigate carbon risk in global equity prices. We develop a measure of carbon risk using industry standard databases and study return differences between brown and green firms. We observe two opposing effects: Brown firms are associated with higher average returns, while decreases in the...

Previous research has suggested that information processing and hierarchy costs play a role in firm-level diseconomies of scale. Using separate accounts (SAs) as a laboratory, we examine if these costs vary across investment style (quantitative vs. fundamental) and what role, if any, they play...

This Internet Appendix contains mathematical and empirical results on the market timing induced bias in Jensen's alpha using conditional models with time-varying skill in the spirit of Kacperczyk et al. (2014).Full paper available at "https://ssrn.com/abstract=1253923"...

Despite the nonlinearity in the relation between interest rate risk and expected return, bond fund performance regressions usually lever expected benchmark returnslinearly to the fund’srisk. This causes systematic miscalculations of expected passive style returns and active alphas. I propose a...

Bond fund performance regressions usually lever expected benchmark returns linearly to the fund’s risk exposure. The relation of expected return and interest rate risk is, however, nonlinear. This leads to miscalculations of expected passive fund returns and active performance. I propose a...