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Working Paper
Acting on the Most Valuable Information: “Best Idea” Trades of Mutual Fund Managers
March 17, 2009
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
March 19, 2004
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.
Working Paper
Responsible Investing: The ESG-Efficient Frontier
October 10, 2019
Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.
Journal Article
Long-Only Style Investing: Don't Just Mix, Integrate
June 30, 2016
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
When Is Bargaining Successful? Negotiated Division of Tournament Prizes
June 5, 2008
High-stakes poker players often negotiate the distribution among a small number of finalists rather than playing through until only one player remains. We find that this setting is ideal for studying bargaining—this paper documents our findings.
Journal Article
The Canadian Dollar as a Reserve Currency
April 2, 2014
A clear reflection of Canada’s relative economic resilience during the global financial crisis of 2007‒2009 is the growth in the share of foreign exchange reserves that other countries hold in Canadian-dollar securities, particularly those issued by the Government of Canada.
Working Paper
Investing in Disappearing Anomalies
December 1, 2013
It is important to allow for a prolonged decay when studying anomalies or their impact on portfolio choice. We propose a framework for modeling anomalies that specifically allows for a gradual disappearance.
Working Paper
Is Bigger Better? Size and Performance in Pension Plan Management
June 1, 2011
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.
Journal Article
Does Active Management Pay? New International Evidence
August 11, 2015
One of the most important decisions for an equity investor is whether to manage investments actively or passively.
Working Paper
Follow the Leader: Peer Effects in Mutual Fund Portfolio Decisions
February 1, 2009
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.