The popularity of passive investing through index mutual funds and exchange-traded funds
(ETFs) has grown substantially over recent years, displacing higher-cost active investment …

We examine the relation between indexing and active management in the mutual fund
industry worldwide. Explicit indexing and closet indexing by active funds are associated with …

Multiple testing plagues many important questions in finance such as fund and factor
selection. We propose a new way to calibrate both Type I and Type II errors. Next, using a …

Abstract Relying on the Stambaugh, Yu, and Yuan (2015) mispricing score and on 45
countries between 1994 and 2013, I document economically meaningful and statistically …

Benchmark indexes have become important in financial markets for portfolio investment. In
this paper, we study how international equity and bond market indexes impact asset …

For sophisticated institutional investors, active management outperforms passive
management by more than 180 bps per year in emerging markets and by about 50 bps in …

ABSTRACT While Kosowski et al.(2006, Journal of Finance 61, 2551–2595) and Fama and
French (2010, Journal of Finance 65, 1915–1947) both evaluate whether mutual funds …

We adopt a novel empirical approach to show that the risk attitudes of professional investors
are affected by their catastrophic experiences—even for catastrophes without any …

Innovative finance vehicles are required to facilitate the transition towards a sustainable
society. Here, we investigate two very successful innovations in the fund industry, namely …

We provide evidence using data from the G7 countries suggesting that return dispersion
may serve as an economic state variable in that it reliably predicts time-variation in …