SSRN author page
Research interests: institutional
investment; investor behavior; asset pricing; financial markets.
- “Diseconomies of Scope and Mutual Fund Performance,” with Richard Evans and Marc Lipson. [download]
"'Peter principle' alive and well in fund management,"
Reuters, November 30, 2016.
"Scale's Effect On Acctive Performance," ETF.com, January 18,
"The impact of Scale on the Performance of Active
Managers," BAM Intelligence, February 6, 2017.
"New Evidence that Challenges Active
Management," Advisor Perspectives, December 21, 2016.
- “Mutual Funding,” with Peter Hoffmann and Sergio Mayordomo, Revise & Resubmit. [download]
- “Familiarity and Competition: The Case of Mutual Funds,” with Ariadna Dumitrescu. [download]
Semifinalist for one of the Best Paper
awards at the 2016 Financial Management Association Conference.
- “Investor Attention and Investor Characteristics,” with Hang Dong. [download]
- “Institutional Investment and Commonality in Liquidity: Evidence from Transaction Data,” with Mahmoud Aymo. [download]
- “Market Frictions, Investor Sophistication, and Persistence in Mutual Fund Performance,” with Ariadna Dumitrescu, Journal
of Financial Markets, forthcoming. [download]
- “Information and Investment under Uncertainty," with Ariadna Dumitrescu, Economics Letters,
148, 17-22, 2016. [download]
- “Conditional Beta Pricing Models: A Nonparametric Approach,” with Eva Ferreira and Susan Orbe, Journal of Banking and Finance, 35 (12), 3362–3382,
- “The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies,” with Pablo Ruiz-Verdú and Andre A. P.
Santos, Journal of Business Ethics, 94 (2), 243-263, 2010. [download]
Moskowitz Prize (Honorable
mention, 2008) for outstanding research in the field of socially responsible investing. Awarded by the Center for Responsible Business at the Haas School of Business, in cooperation with the Social
Investment Forum. [URL]
- “The Relation between Price and Performance in the Mutual Fund Industry,” with Pablo
Ruiz-Verdú, Journal of Finance, 64 (5), 2153-2183, 2009. [download]
Winner of the Best Paper Award, 2007 European Conference of the Financial Management
"New Idea Could Save You Billions of Dollars in 401K
Costs," FOXBusiness, July 2, 2015.
"Naïve Investors Taken to the Cleaners," Forbes, January 24,
Picture," Forbes, June 2, 2008.
"The Bottom Line / The mendacity of the mutual funds industry," Haaretz, February 17, 2009.
- “When Cheaper is Better: Fee Determination in the Market for Equity Mutual Funds,” with Pablo Ruiz-Verdú, Journal of Economic Behavior and Organization, 67 (3-4), 871-885, 2008. [download]
- “Price Dynamics, Informational Efficiency and Wealth Distribution in Continuous Double
Auction Markets,” with David Moreno and Mikel Tapia, Computational Intelligence, 23 (2), 176-196, 2007. [download]
- “Formación de precios en un mercado artificial de doble subasta continua”, with David Moreno and Mikel Tapia, Spanish Journal of Finance and Accounting, (formerly, Revista Española de Financiación y Contabilidad), 36 (134), 235-260, 2007.
- “The Value of the ‘Swap’ Feature in Equity Default Swaps,” Quantitative Finance, 6 (1),
67-74, 2006. [download]
“Investment Horizon Effects,” Journal of Business Finance and Accounting, 33 (1)-(2),
179–202, 2006. [download]
- “The Black Box of Mutual Fund Fees,” with Miguel A. Martinez, Spanish Review of Financial
Economics (formerly, Revista de Economía Financiera), 4, 54-82, 2004. [download]
- “On the Relationship between Price and Quality in the U.S. Mutual Fund Industry: Evidence from the 1992-2003 Period,” with Pablo
Ruiz-Verdú, inPerformance of Mutual Funds: An International Perspective, Springer-Verlag, 108-126, 2006. Edited by Greg N. Gregoriou. ISBN
- “What Drives Information Dissemination in Continuous Double Auction Markets?” with David Moreno and Mikel Tapia, in The 2005 IEEE Congress on Evolutionary Computation, Vol. 3, 2453-2460, 2005. ISBN 0-7803-9363-5.