Despite extensive disclosure requirements, mutual fund investors do not observe all actions
of fund managers. We estimate the impact of unobserved actions on fund returns using the …

This book exposes and comments on the consequences of Reg NMS and MiFID on market
microstructure. It covers changes in market design, electronic trading, and investor and …

We analyze the investment behavior of affiliated funds of mutual funds (AFoMFs), which are
mutual funds that can only invest in other funds in the family, and are offered by most large …

We investigate how and why relative tick sizes influence traders' order strategies, and how
this affects liquidity provision in the market. Using unique NYSE data, we find that a larger …

The US equity markets recently increased the tick size from one to five cents for smaller
capitalization stocks. We show that the larger tick size raised the cost for retail-sized liquidity …

We study the interdependencies between transaction costs, portfolio characteristics, and
mutual fund performance. Using a novel data set of actual mutual fund trades, we find that …

This study examines how the efficiency of trading desks operated by mutual fund families
affects portfolio performance and investment behavior of affiliated funds. We estimate the …

Purpose Passive investing has established itself as the dominant force in the world of
professionally managed assets, surpassing the concept of index funds. Its meteoric rise is …

Until recently, all Canadian mutual funds were required to disclose all their individual trades,
offering a unique and ideal opportunity to measure and analyze the cost and performance of …

This paper offers a systematic review of the empirical literature on the implications of tick
size changes for exchanges. Our focus is twofold: first, we are concerned with the market …