... 16 04 2024 © 2026 Emerald Publishing Limited 2026 Emerald Publishing Limited Licensed re-use rights only Performance persistence Decreasing returns to scale Replication Hedge funds G11 G23 Aggregate hedge fund performance declined substantially following the 2008–2009...

... Emerald Publishing Limited 2026 Emerald Publishing Limited Licensed re-use rights only Exchange traded funds (ETFs) Dominated products Incentive alignment D53 G11 G12 G23 D53 G11 G12 G23 D53 G11 G12 G23 Financial markets are riddled with dominated products...

...% from 2001 to 2019. Exchange-traded funds Money market funds Dividends Treasury markets Spillover effects G12 G23 G24 We proceed to examine whether ETFs invest their dividend receipts in MMFs or reinvest them in stocks. ⁵ To do so, we focus on a sample...

.... Cooper, and Feng Zhang Licensed re-use rights only Beta Alpha Investment horizon Simulations G10 G23 Investors select portfolio weights and researchers test asset pricing models relying on estimates of the parameters that describe the probability distributions of returns...

... assets Borrowing Margin Short selling Options Futures Restricted securities Performance Risk Risk compensation G11 G23 Since 2000, there has been a rise in the complexity of mutual funds as more funds have been given the authority to use derivatives, leverage, and illiquid assets...

... reconstitutions, index membership remained constant except for the occasional addition or removal due to delistings and IPOs. ⁴ D22 G23 G30 G34 G35 Appel et al. (2016) [AGK (2016) hereafter], Boone and White (2015) , and Crane et al. (2016) (as well as others) use...

... investors have no significant effect on corporate social responsibility (CSR). Institutional investors Passive mutual funds Regression discontinuity Russell indexes Corporate social responsibility G23 G30 M14 Do institutional investors affect firm outcomes? This question...

..., and then using predicted index membership as an instrumental variable for actual index membership. Institutional ownership Regression discontinuity Russell indexes Selection bias C36 G23 G30 Institutional investors own nearly two-thirds of U.S. public equities (Aguilar, 2013). Thus...

... applies. © 2023 Juan Carlos Matallín-Sáez 2023 Juan Carlos Matallín-Sáez Licensed re-use rights only Performance Idiosyncratic risk R squared Mutual fund Active management G11 G23 The growth of the mutual fund industry has spawned a field of study on asset...

.... Stambaugh, Lucian A. Taylor and Min Zhu Licensed re-use rights only Returns to scale Active management Mutual funds G11 G23 J24 Do active investment managers face diseconomies of scale? This question is central to understanding the characteristics and performance of individual...

... G23 G31 The U.S. Securities and Exchange Comission (2020) provides an overview of hedge fund leverage; in 2018 Q1, the net asset value of “qualified hedge funds” [which are large funds disclosing their net asset value and borrowing to the SEC] was $3,106 billion. These hedge funds borrowed...

... alphas of HML and MOM have been declining over time. Mutual fund Performance evaluation Performance persistence G11 G12 G23 Carhart (1997) is a seminal study in mutual fund performance persistence. He finds that among U.S. equity mutual funds, past returns do predict future...

... Persistence Sample selection bias Managerial skill G11 G12 G23 The decisions of investors and regulators in the multi-trillion-dollar hedge fund industry are informed by research that employs commercial hedge fund databases. ¹ Investors are keen to understand whether hedge funds...

... time series of the net buy of ATM and OTM puts are consistent with their model-implied counterparts. S&P 500 options Net buy Option supply and demand Market makers G11 G12 G23 Market makers (MMs) serve a crucial role in option markets as net sellers of S&P 500 puts...

... G01 G21 G23 H25 The capital structure decisions of corporations are one of the most important areas of study in financial economics since the pioneering studies of Modigliani and Miller (1958 , 1963) . Corporate theory has identified a number of potential determinants of corporate capital...

... Research Culture Hard misconduct Soft misconduct Proprietary data Robustness P-hacking Reverse p-hacking Falsification Fabrication Plagiarism G00 G01 G10 G11 G12 G13 G14 G15 G17 G18 G19 G21 G22 G23 G24 G28 G29 G31 G32 G33 My role in advocating for data and code...

... University, the 2016 Financial Management Association meetings (Las Vegas), the 2016 India Finance Conference (Ahmedabad), and the 2017 Asset Management Conference (Berlin) for helpful comments and suggestions. G11 G23 Recent studies on the performance of equity mutual funds have produced...

... also have greater executive option incentives, lower cash-based pay, and lower direct compen-sation. ¹ HS interpret their evidence as consistent with a view that institutional shareholders influence or monitor the firms that they hold. G23 G32 J33 Executive compensation...