We survey the recent literature on learning in financial markets. Our main theme is that many
financial market phenomena that appear puzzling at first sight are easier to understand once …

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 …

We propose a new method of testing asset pricing models that relies on quantities rather
than just prices or returns. We use the capital flows into and out of mutual funds to infer …

I study the dynamics of investor cash flows in socially responsible mutual funds. Consistent
with anecdotal evidence of loyalty, the monthly volatility of investor cash flows is lower in …

Gruber (1996) drew attention to the puzzle that investors buy actively managed equity
mutual funds, even though on average such funds underperform index funds. We uncover …

Using a robust bootstrap procedure, we find that top hedge fund performance cannot be
explained by luck, and hedge fund performance persists at annual horizons. Moreover, we …

Using a large proprietary database of institutional trades, this paper examines the interim
(intraquarter) trading skills of institutional investors. We find strong evidence that institutional …

Previous research finds insignificant market-timing ability for mutual funds using tests based
on fund returns. The return-based tests, however, are subject to the “artificial timing” bias. In …

Private equity (PE) performance is persistent, with PE firms consistently producing high (or
low) net-of-fees returns. We use a new variance decomposition model to isolate three …

We develop a performance evaluation approach in which a fund manager's skill is judged by
the extent to which the manager's investment decisions resemble the decisions of managers …