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Trade Publication

Hit 'Em Where It Hurts, ESG Investing 2.0

We suggest a new approach to ESG investing that we believe may be more effective in making negative investor views known to management — while at the same time potentially improving portfolio expected returns.

Working Paper

Acting on the Most Valuable Information: “Best Idea” Trades of Mutual Fund Managers

This paper proposes an ex ante proxy for the ranking of mutual fund trades. We find that the most attractive trades—the “best ideas"—beat the benchmarks by up to about 0.30% per month and outperform other fund trades by even higher margins.

Working Paper

Style Investing: Evidence From Mutual Fund Flows

The number of mutual funds in the U.S. has risen over the past decade and is so large that individual investors are unlikely able to analyze each fund in existence. How do investors choose from such a multitude of funds? We answer this question here.

Journal Article

Does Active Management Pay? New International Evidence

One of the most important decisions for an equity investor is whether to manage investments actively or passively.

Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.

Working Paper

Follow the Leader: Peer Effects in Mutual Fund Portfolio Decisions

This paper demonstrates that mutual funds “follow the leaders"—Trades of well-performing funds are statistically and economically important determinants of subsequent portfolio decisions of the remaining managers.

Working Paper

Is Bigger Better? Size and Performance in Pension Plan Management

Using a proprietary dataset, we examine the relationship between size and performance of asset management within defined benefit pension plans. We find a larger plan size is associated with better performance of the entire pension plan portfolio.

Working Paper

Responsible Investing: The ESG-Efficient Frontier

Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.

Journal Article

Deactivating Active Share

The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.

Journal Article

Decoding Inside Information

The authors employ a simple empirical strategy to identify “opportunistic” insider trading — that is, purchases or sales by traders with favored access to private information about the given firm — and conclude that portfolio strategy that focuses solely on “opportunistic” traders yields value-weighted abnormal returns of 82 basis points per month.