In this paper, we examine the performance of an impact investing strategy using the most ethical companies to build an impact investing portfolio. We test the time-series and cross-sectional returns of the impact portfolio, explore the financial analyst coverage of the most ethical firms, and...

This paper studies the difference between startup investments by private equity funds (buyout funds; PE) and venture capital funds (VC). PEs, which have traditionally invested in mature companies, have been increasingly investing in later-stage startups in recent years. Based on Crunchbase's...

Loan funds are open-end mutual funds holding predominantly corporate leveraged loans. We document empirically that loan funds are significantly more susceptible to run risk than any other category of debt funds, including corporate bond funds. Most importantly, we establish a link between loan...

In this paper, we explore whether male and female fund managers react differently to sentiment. Our main idea is that sentiment indicates mispricings of stocks relative to their fundamental values, and that rational fund managers should profit from these mispricings. As trading against the...

This paper compares the extent of common ownership in the US and the EU stock markets, with a particular focus on differences in the applicable ownership transparency requirements. Most empirical research on common ownership to date has focused on US issuers, largely relying on ownership data...

Limited partners allocate capital into venture capital funds with the expectation of a risk-return profile matching the fund’s investment style in terms of startup investment stage, location, and industry. This paper draws a connection between style drifts in these three dimensions and the...

Does partisan perception shape the flow of international capital? We provide evidence from two settings, syndicated corporate loans and equity mutual funds, to show ideological alignment with foreign governments affects the cross-border capital allocation by U.S. institutional investors. Our...

In this paper, we expand the literature on multi-criteria portfolio modeling for socially responsible investments using multi-directional efficiency analysis (MEA). We apply a positive screening based on MEA efficiency scores, and also directly exploit the information contained in the efficiency...

In contrast to mandatory information disclosures, social media offer companies the opportunity to communicate with investors with few constraints on frequency, content, and format. To investigate the use of social media by asset management firms, we collect a database of 1.4 million Twitter...

We study the impact of sustainability on the financial performance of exchange-traded funds (ETFs) in the period of COVID-19. Using a sample of 244 Australian ETFs rated by Morningstar in April 2020, we conducted the portfolio analysis and cross-sectional regression analysis, and the results...

We examine global integration in the market for asset management, as indicated by the correlation of mutual fund flows across domiciles. We observe no leading role for the US relative to flows in other domiciles. We do observe a strong global factor in MF flows, and global integration is linked...

When using daily mutual fund returns to study market timing ability, heavy tails and heteroscedasticity significantly challenge the existing methods. We propose a weighted nonparametric measure and test for market timing. The test finds that the traditional parametric inference misclassifies...

This article examines US open-end funds using a sample of 12083 open-end funds from the period 2010 to 2020. The sample is free of survivorship bias. We find evidence of long-term managerial positive persistence. Performance is measured by Jensen’s alpha based on regression models such as the...

This article examines US open-end funds predictability using a sample of 12083 open-end funds from the period 2010 to 2020. This is the first study that examines the whole population of the US open-end funds. The sample is free of survivorship bias and measure performance using risk adjusted...

This article examines US closed-end funds using a sample of 603 closed-end funds from the period 2010 to 2020. The sample is free of survivorship bias. We find evidence of long-term managerial positive persistence. Performance is measured by Jensen’s alpha based on regression models such as...

We show that mutual funds with a large share of a bond issue sell their holdings of that issue to a lower extent when they experience redemptions, arguably because they attempt to avoid a drop in the bond price and the consequent negative feedback effects on the unsold part of their position....

We exploit the staggered introduction of index funds in different segments and countries to study how increased competition from indexing affects the performance-flow relation and incentives of actively managed equity mutual funds. An increase in the market shares of available country-level...

I study the interaction among altruistic agents whose degree of concern for others depends on their behavior: the more socially-minded they behave, the greater the concern. Moreover, agents are aware of this mutual effect and take it into consideration in determining their own behavior. I...

The objective of this work is the evaluation of the results of the British mutual funds Spaniards investing in national equity in comparison to their reference benchmarks, the FTSE All-Share Index and the London Stock Exchange Index, for a sample time period of 372 months, from January 1990 to...

In this paper we examine the impact of the profitability and risk of mutual funds on the investment decisions of its investors in the U.S. market, which has experienced a significant growth over the last decades. The investors´ behaviour is established from proxies such as net variations of...

The proposition that a prudent investor should be diversified is widely accepted if not incontrovertible for ordinary investors – investors who have no reasonable expectation of influencing company management or business policy. Indeed, fiduciary duty requires that trustees and other...

The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the existence of widespread risk-taking incentives in the...

Private equity (PE) funds are growing to dominate capital markets. In conjunction with this growth, secondary markets for PE stakes have also grown. Innovative recent work investigates the valuation discount that sellers of PE stakes incur and attributes this discount entirely to the illiquidity...

This paper studies the connection between share pledging and entrepreneurial activities in China, challenging the common wisdom that share pledging funds circle back to the listed firms. Share pledging funds are at the discretion of the shareholders who pledge their publicly traded shares, and...

We conduct a volatility decomposition to identify the source of performance differences between low volatility and high volatility mutual funds. A higher level of return covariance of fund holdings is associated with more fund-level exposure to the idiosyncratic volatility effect. Average...

The underlying theme of this Article is that the Big Three investment advisers to index funds (BlackRock, Vanguard, and State Street) need to be understood as agents of those who invest in the mutual funds and exchange traded funds they manage. They are not institutional investors, the role...

This paper explores whether investors’ personal experience of climate change affects their voting behavior on environmental issues. We find that fund managers exposed to abnormally hot temperatures are significantly more likely to support environmental proposals. This increased support is...

We examine whether mutual fund managers have differential skill in the buy and sell domains. Although they have characteristic-timing ability in aggregate, we show they exhibit asymmetric ability when buying and selling. Our key finding is that fund managers with superior selling ability are...

This paper examines the role conviction plays in asset management and its relationship with investment returns. We measure the strength of fund manager conviction through a fund’s Active Share, i.e., the extent to which an investment portfolio differs from its benchmark index. First, we show...

This paper documents a high and increasing capital concentration in the bond fund industry over the past three decades. Large funds deliver better performance and receive larger inflows than small funds, which explains the concentration of bond funds. However, large funds take more risks by...

The quality and diversity of a fund’s investment team has long been viewed as a critical part of its success and a potential driver of performance. Yet because active fund management still lacks gender diversity, there are likely additional benefits to be realized.This study leverages a novel...

The rapidly-increasing shift toward rewarding positive Environmental, Social and Governance (ESG) initiatives and practices by companies in the capital markets in recent years has raised important questions regarding the correlation between a firm’s stock performance and their ESG involvement....

Thematic strategies have gained a lot of traction and popularity since the world economy underwent a massive transformation caused by an impactful macro event. Analysts and investment managers emphasize that some industries affected positively by the change in business conditions could generate...

New technologies can have a significant impact on how capital is distributed in the economy. Over the past five decades, passive investments – index funds and exchange-traded funds – have grown to account for more than half of all equity assets managed by the U.S. financial industry,...

This study examines if mutual fund flow information can be exploited as a predictor for future fund performance, and if an economically profitable trading strategy can be executed. My central finding is that investors can improve their fund selection ability and beat the market conditional on...

In this paper, we estimate the aggregate and sectoral fiscal multipliers of EU Structural Investment (ESI) Funds and of public investment at the EU level. We complement these results with a specific application to the case of Slovenia. We first analyze aggregate data and find large and...

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify...

Mutual fund is considered as a significant mode of investment for investors as it offers opportunity for investors to invest in a diversified portfolio at low cost. The study examines the effect of investors’ perception on preference towards mutual fund investment at Chennai city. The study...

This paper investigates the existence of herding behavior in the Chinese mutual fund market from a time-varying perspective. We examine the relationship between the dispersion of fund returns and the fund market returns using a Markov regime switching approach, and explore the driving factors of...

The amount of funds committed to private equity sponsors that are left uninvested (called dry powder) has raised numerous concerns from the public. We model the fee collection of private equity sponsors and show that funds tend to underlever future deals when they accumulate substantial amounts...

This study conducts a comprehensive and systematic empirical examination of the variables that can predict the cross-sectional alphas of the mutual funds in the Chinese market. From 36 predictors considered, it is found that about half show significant predictive ability for ex-post fund alphas...

Private equity (PE) funds are increasingly important to the economy and now dominate capital markets (e.g., capital formation). However, lack of understanding of PE funds among accounting academics currently prevents accounting research in this area. In this paper, we first describe the PE fund...

Whether fat tails exist in the distribution of venture capital and private equity returns affects how investors view the attractiveness of such investments, especially if means or variances are potentially infinite. Using fund performance data, I propose and test a smooth double Pareto...