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 develop a method that identifies the attention paid by earnings call participants to firms'
climate change exposures. The method adapts a machine learning keyword discovery …

This study provides evidence on the existence of a negative greenium, ie a risk premium
related to the greenness of a firm, based on European individual stock returns. We define a …

We show that mutual fund investors rely on simple signals and likely do not engage in
sophisticated learning about managers' alpha as widely believed. Simplistic performance …

This paper surveys and critically evaluates the literature on the role of management effects
and fund characteristics in mutual fund performance. First, a brief overview of performance …

When assessing a fund manager's skill, sophisticated investors will consider all factors
(priced and unpriced) that explain cross-sectional variation in fund performance. We …

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 use intraday data to compute weekly realized moments for equity returns and study their
time-series and cross-sectional properties. Buying stocks in the lowest realized skewness …

To rationalize the well‐known underperformance of the average actively managed mutual
fund, we exploit the fact that retail funds in different market segments compete for different …

We propose that fund performance can be predicted by its R 2, obtained from a regression of
its returns on a multifactor benchmark model. Lower R 2 indicates greater selectivity, and it …