We show, using machine learning, that fund characteristics can consistently differentiate
high from low-performing mutual funds, before and after fees. The outperformance persists …

Active equity funds care about fund size, affected by fund flows that obey a strong factor
structure with the common component responding to macroeconomic shocks. Funds hedge …

The level of diseconomies of scale in asset management has important implications for tests
of manager skill and the expected level of performance persistence. To identify the causal …

Compensation of mutual fund managers is paramount to understanding agency frictions in
asset delegation. We collect a unique registry-based dataset on the compensation of …

This paper theoretically and empirically studies the interaction of search and application
approval in credit markets. Risky borrowers internalize the probability that their application is …

We develop a flexible and bias‐adjusted approach to jointly examine skill, scalability, and
value‐added across individual funds. We find that skill and scalability (i) vary substantially …

We build an asset-pricing model with dynamic strategic competition to explain the strong
joint fluctuations in aggregate discount rates, competition intensity, profitability, and asset …

This chapter provides an overview of the recent and growing econometric literature studying
how consumers search for products. We begin with a brief review of theoretical models of …

We examine the variable annuity market to study conflicts of interest and the effect of
fiduciary duty in brokerage markets. Insurers typically pay brokers higher commissions for …

Abstract Machine-learning methods exploit fund characteristics to select tradable long-only
portfolios of mutual funds that earn significant out-of-sample annual alphas of 2.4% net of all …