I develop an agency model where returns-chasing behavior by mutual fund investors causes
beta not to be priced to the degree predicted by the standard CAPM. Mutual fund investors …

The intrinsic goal of investors is to obtain the highest possible risk-adjusted return. In trying
to maximize these returns, a recent strategy has been developed which combines active …

In the first essay," The Risk and Return from Factors," I evaluate the performance of
fundamental, technical, macroeconomic, and statistical factors in capturing the systematic …