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Another Puzzle: The Growth in Actively Managed Mutual Funds
Mutual funds represent one of the fastest growing type of financial intermediary in the American economy. The question remains as to why mutual funds and in particular actively managed mutual fundsExpand
Explaining the Rate Spread on Corporate Bonds
The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation forExpand
Marginal Stockholder Tax Rates and the Clientele Effect
T HE determination of marginal stockholder tax brackets is an important and unresolved issue in the economic literature. Marginal stockholder tax brackets play an important role in stock valuationExpand
The Performance of Bond Mutual Funds
Using linear and nonlinear models, the authors examine two samples of bond funds--one sample designed to eliminate survivorship bias and a second much larger sample. Overall and for subcategories ofExpand
Fundamental Economic Variables, Expected Returns, and Bond Fund Performance
In this article, the authors develop relative pricing (APT) models that are successful in explaining expected returns in the bond market. They utilize indexes as well as unanticipated changes inExpand
Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios
We investigate the informational efficiency of mutual fund performance for the period 1965-84. Results are shown to be sensitive to the measurement of performance chosen. We find that returns on S&PExpand
The Persistence of Risk-Adjusted Mutual Fund Performance
The authors examine predictability for stock mutual funds using risk-adjusted returns. They find that past performance is predictive of future risk-adjusted performance. Applying modern portfolioExpand
Survivorship Bias and Mutual Fund Performance
Mutual fund attrition can create problems for a researcher because funds that disappear tend to do so due to poor performance. In this article we estimate the size of the bias by tracking all fundsExpand
Spiders: Where are the Bugs
The characteristics and performance of an exchange-traded index fund known by the name of Standard & Poor's Depository Receipts or SPDR or Spiders, which underperform the S&P Index, is examined. Expand