In this paper we develop the rst estimator of the covariance matrix that relies solely onforward-looking information. This estimator only uses price information from a cross-sectionof plain-vanilla options. In an out-of-sample study for US blue-chip stocks we show that aminimum-variance strategy...

Using detailed holdings of exchange-traded options, we examine how mutual funds use optionsand how options affect portfolio performance and risk. Options users underperform nonusers bytwo to three percent per year. The underperformance is especially pronounced for funds that areheavy users of...

This paper introduces two measures to investigate potential window-dressing behavior amongmutual fund managers. We show that unskilled managers that perform poorly are more likely towindow dress by strategically purchasing winner stocks and selling loser stocks near quarterends. Further, funds...

US equity mutual funds, on average, prefer realization of capital losses to capital gains. Nevertheless,a substantial fraction exhibits the disposition effect of realizing gains more readily than losses. Myanalysis suggests that learning effects have reduced the manifestation of the disposition...

This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where thequarter-end equity holdings are disclosed with a significant delay through amendments to the Form 13F.Our evidence supports hiding private information as the dominant motive for hedge...

Analysts providing more accurate earnings forecasts also issue more profitable recommendations. We demonstrate how investors can profit from this contemporaneous link by differentiating between able and lucky analysts. In line with previous studies, we find that past track records alone are not...

Analysts providing more accurate earnings forecasts also issue more profitable recommendations. We demonstrate how investors can profit from this contemporaneous link by differentiating between able and lucky analysts. In line with previous studies, we find that past track records alone are not...