We explore performance persistence in mutual funds using absolute and relative
benchmarks. Our sample, largely free of survivorship bias, indicates that relative risk‐adjusted …

This study shows that US individual investors hold under-diversified portfolios, where the
level of under-diversification is greater among younger, low-income, less-educated, and less-…

We analyze cross‐sectional and time‐series information from 46 equity markets around the
world to consider whether short sales restrictions affect the efficiency of the market and the …

We test a Wall Street investment strategy, “pairs trading,” with daily data over 1962–2002.
Stocks are matched into pairs with minimum distance between normalized historical prices. A …

… fund performance, we use a method developed in Brown and Goetzmann (1996). The … In
Brown and Goetzmann (1996) we found that 24 months of mutual fund data were sufficient to …

In this paper we examine the correlation structure of the major world equity markets over
150 years. We find that correlations vary considerably through time and are highest during …

… Brown and Goetzmann find that new money flows do not explain fund disappearance when
past returns are used as an explanatory variable. Only when past returns are omitted from …

Examines the link between past mutual fund performance of money managers and future
performance. Focus on stock market open-ended mutual funds; Previous studies; Monthly total …

… In order to address the problem of changes in fund classification, we merged the Morningstar
data with the annual Weisenberger data used by Brown and Goetzmann (1995). The …

In this paper, transaction prices of paintings brought to market at least twice over the period
1715-1986 are used to construct an art return index. The index allows a comparison of …