We study theoretically how the proliferation of new data (“data abundance”) affects the
allocation of capital between quantitative and nonquantitative asset managers (“data …

In this paper, we investigate value creation by hedge funds using Berk and van Binsbergen's
(2015) value-added. We find that, on average, hedge fund managers extract $0.76 million …

Does the observed relationship between mutual fund flows and recent performance
represent irrational “return chasing” or rational learning about unobserved fund manager …

Purpose This study examined Indian institutional investors' holding data to understand their
investment strategy (Portfolio Concentration/Diversification) and explored whether their skills …

This study explores actively managed US equity funds and shows that investors are
attracted by the ESG label rather than the Morningstar sustainability rating. However, this …

This study examines active management due to interim trading in mutual funds. We propose
a novel and standardized measure to estimate active management within a quarter. This …

We decompose mutual fund value added by the length of funds' holdings using transaction‐
level data. We motivate our decomposition with a model featuring horizon‐specific …

We use new data on the ownership of mutual funds in Europe to estimate the impact of
environmental preferences on portfolio allocation around the implementation of the …

We provide a new theory for nodewise regression when the residuals from a fitted factor
model are used. We apply our results to the analysis of the consistency of Sharpe Ratio …

Alternative risk premia (ARP) are designed to provide low-cost exposures to long–short risk
premia often embedded in hedge fund returns. This article describes the performance of the …