Henry B. Tippie College of Business, 108 PBB
Iowa City, IA 52242
University of Iowa
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Predictability, parameter uncertainty, asset allocation, predictive distribution, conditioning information, performance evaluation, market timing
Portfolio diversification, volatility bounds, mean-variance spanning, regime switching
Price Formation, Order driven market, Limit order trading
Sector funds, Sector rotation/timing, Fund Selection Ability, Performance Persistence
CAPM, Heteroskedasticity and autocorrelation robust (HAR) tests, Conventional Wald tests
CAPM, Heteroskedasticity and autocorrelation robust tests, Heteroskedasticity and autocorrelation consistent estimators, Bartlett and Parzen kernels
Asset pricing, Model pooling, Model combination, Forecasting, Predictive distributions, Log predictive score
Mutual Fund Cash Flows, Smart Money, Momentum, Performance of fund investors
Incentive Contracts, Delegated Portfolio Management, Mutual Funds, Performance Fees
Mutual fund tournaments, implicit incentives, performance chasing, shareholder welfare
Price impact, order timing, trading floor
Floor trading, Automated trading, Execution costs
Mutual fund flows, Short-term performance persistence, Fund board quality
Mutual fund performance, Cross trading, Investment advisers, Brokerage Commissions, Adviser governance
Hedge funds, Model pooling, Model combination, Performance evaluation, Predictive distributions, Log predictive score
Hedge funds, Model pooling, Model combination, Hedge fund replication, Log score
Ambiguity aversion, Mutual fund performance, Investor behavior, Bayesian learning, Flow-performance sensitivity
Market Liquidity, Funding Liquidity, Hedge Fund Performance, Liquidity Regimes, Regime Switching, Liquidity Spirals
Delegated Portfolio Management, Incentive Contracts, Hedge Funds, Alternative Investments, Moral Hazard
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Mutual funds, performance evaluation, conditional performance evaluation
Mutual fund selection, stock return momentum, investor behavior
Asset Pricing Models, Model Pooling, Log Predictive Score, Return Prediction
mutual fund flows, performance persistence, fund board quality
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