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 …

The paper provides a critical review of empirical findings on the performance of mutual
funds, mainly for the US and UK. Ex‐post, there are around 0‐5% of top performing UK and …

Buying is easier than shorting for many equity investors. Combining this arbitrage
asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the …

In corporate finance and asset pricing empirical work, researchers are often confronted with
panel data. In these data sets, the residuals may be correlated across firms or across time …

We develop a series of cross-sectional regression specifications to forecast skewness in the
daily returns of individual stocks. Negative skewness is most pronounced in stocks that have …

We find that institutional ownership concentration is positively related to the pay‐for‐
performance sensitivity of executive compensation and negatively related to the level of …

We build a model that helps to explain why increases in liquidity—such as lower bid–ask
spreads, a lower price impact of trade, or higher turnover–predict lower subsequent returns …

This paper examines institutional price pressure in equity markets by studying mutual fund
transactions caused by capital flows from 1980 to 2004. Funds experiencing large outflows …

We develop a theory of market crashes based on differences of opinion among investors.
Because of short-sales constraints, bearish investors do not initially participate in the market …

We investigate the effect of scale on performance in the active money management industry.
We first document that fund returns, both before and after fees and expenses, decline with …