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作者：Bergstresser, D; Poterba, J
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper explores the relationship between the after-tax returns that taxable investors earn on equity mutual funds and the subsequent cash inflows to these funds. Previous studies have documented that funds with high pretax returns attract greater inflows. This paper presents evidence, based on a large sample of retail equity mutual funds over the period 1993-1999, that after-tax returns have more explanatory power than pretax returns in explaining inflows. In addition, funds with large ove...
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作者：Pástor, L; Stambaugh, RF
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research
摘要：We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill, By including both benchmark and nonbenchmark indexes, we distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperform passive indexes. Optimal port...
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作者：Green, R; O'Hara, M; Schwert, GW
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作者：Choi, JJ; Laibson, D; Metrick, A
作者单位：University of Pennsylvania; Harvard University; National Bureau of Economic Research
摘要：We analyze the impact of a Web-based trading channel on trader behavior and performance in two large corporate 401(k) plans. After 18 months of Web access, trading frequency at sample firms doubles relative to a control group of firms without a Web channel. Web trades tend to be smaller than trades made through other channels and Web traders tend to have smaller portfolios than other traders, so the Web's impact on portfolio turnover is substantially smaller than its effect on trading frequenc...
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作者：Lowry, M; Shu, S
作者单位：Boston College; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We examine the relation between risk and IPO underpricing and test two aspects of the litigation-risk hypothesis: (1) firms with higher litigation risk underprice their IPOs by a greater amount as a form of insurance (insurance effect) and (2) higher underpricing lowers expected litigation costs (deterrence effect). To adjust for the endogeneity bias in previous studies, we use a simultaneous equation framework. Evidence provides support for both aspects of the litigation-risk hypothesis. (C) ...
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作者：Ang, A; Chen, J
作者单位：Columbia University; University of Southern California
摘要：Correlations between U.S. stocks and the aggregate U.S. market are much greater for downside moves, especially for extreme downside moves, than for upside moves. We develop a new statistic for measuring, comparing, and testing asymmetries in conditional correlations. Conditional on the downside, correlations in the data differ from the conditional correlations implied by a normal distribution by 11.6%. We find that conditional asymmetric correlations are fundamentally different from other meas...
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作者：Busse, JA; Green, TC
作者单位：Emory University
摘要：The Morning Call and Midday Call segments on CNBC TV provide a unique opportunity to study the efficient market hypothesis. The segments report analysts' views about individual stocks and are broadcast when the market is open. We find that prices respond to reports within seconds of initial mention, with positive reports fully incorporated within one minute. Trading intensity doubles in the first minute, with a significant increase in buyer- (seller-) initiated trades after positive (negative)...
