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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.

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

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

When Is Bargaining Successful? Negotiated Division of Tournament Prizes

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

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

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

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

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

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.