Just over 20 years have passed since the publication of Mark Carhart's landmark 1997 study
on mutual funds. Its conclusion—that the data did “not support the existence of skilled or …

We examine whether estimates of hedge fund performance reported in prior empirical
research are affected by publication bias. Using a sample of 1019 intercept terms from …

We empirically analyze the nature of returns to scale in active mutual fund management. We
find strong evidence of decreasing returns at the industry level. As the size of the active …

We propose several econometric measures of connectedness based on principal-
components analysis and Granger-causality networks, and apply them to the monthly …

From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …

We identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond
returns and a model averaging approach. FTS days comprise less than 2% of the sample …

The performance of private equity funds as reported by industry associations and previous
research is overstated. A large part of performance is driven by inflated accounting valuation …

We demonstrate that a firm's ability to innovate is predictable, persistent, and relatively
simple to compute, and yet the stock market appears to ignore the implications of past …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of
macroeconomic risk that are interpreted as measures of economic uncertainty. We find that …

We propose a theory of momentum and reversal based on flows between investment funds.
Flows are triggered by changes in fund managers' efficiency, which investors either observe …