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 United Nations Principles for Responsible Investment (PRI) is the largest global
environmental, social, and governance (ESG) initiative in the asset-management industry to …

We show, using machine learning, that fund characteristics can consistently differentiate
high from low-performing mutual funds, before and after fees. The outperformance persists …

Benchmarking incentivizes fund managers to invest a fraction of their funds' assets in their
benchmark indexes, and such demand is inelastic. We construct a measure of inelastic …

Prior theory suggests that time variation in the degree to which leverage constraints bind
affects the pricing kernel. We propose a measure for this leverage constraint tightness by …

Prior studies have documented that pension plan sponsors often monitor a fund's
performance relative to a benchmark. We use a first-difference approach to show that in an …

We select mutual funds in real time by combining individual fund holdings and a large
number (94) of stock characteristics to compute fund-level characteristics on the basis of the …

This study attests to the important role of US midterm elections in asset pricing, even more
important than presidential elections. In months following the midterms, equity premiums …

This article relates Active Share to the fund manager's individual stock-picking skill,
conviction, and opportunity. I propose a new formula for Active Share that emphasizes that a …

Using fund returns and fund stockholdings, we investigate whether fund managers follow
fundamental analysis strategies. We show that hedge fund and mutual fund returns tend to …