Using Active Share and tracking error, the author sorted all-equity mutual funds into various
categories of active management. The most active stock pickers outperformed their …

Standard Fama-French and Carhart models produce economically and statistically significant
nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell …

We introduce a new measure of active portfolio management, Active Share, which represents
the share of portfolio holdings that differ from the benchmark index holdings. We compute …

The prices of exchange-traded funds (ETFs) can deviate significantly from their net asset
values (NAVs), in spite of the arbitrage mechanism that allows authorized participants to create …

Representative agent models are inconsistent with existing empirical evidence for steep
demand curves for individual stocks. This paper resolves the puzzle by proposing that stock …

This paper empirically investigates the index premium and its implications from 1990 to
2005. For additions to the S&P 500 and Russell 2000, we find that the price impact from …

Standard Fama-French and Carhart models produce economically and statistically significant
nonzero alphas even for passive benchmark indices such as the S&P 500 and Russell …

… As mentioned earlier, however, CitationPetajisto (2013) ran performance tests separately
for different market-cap groups and even the 3 × 3 Morningstar-style buckets. In both portfolio …

Several empirical studies document a substantial price premium for stocks in the S&P 500
index. For index investors this creates a recurring cost: as the index is updated, they need to …

We investigate the return premium on stocks with high earnings quality using a broad and
recent global dataset covering all developed markets from 7/1988 to 6/2012. We find that a …