Randolph B. Cohen

TL;DR: The authors decompose the cross-sectional variance of firms' book-to-market ratios using both a long U.S. panel and a shorter international panel and show that the expected return on value-minus-growth strategies is atypically high at times when the value spread (the difference between the book to market ratio of a typical value stock and a typical growth stock) is wide.

TL;DR: This article examined the joint behavior of returns, cash-flow news, and trading between individuals and institutions and found that institutions as a group outperform individuals by only 1.44% per annum before transaction and other costs, because they are extremely conservative in deviating from the value weighted market index.

TL;DR: In this paper, the authors decompose the cross-sectional variance of firms book-to-market ratios using both a long U.S. panel and a shorter international panel, and show that the expected return on value-minus-growth strategies is atypically high at times when the value spread (the difference between the book to market ratio of a typical value stock and a typical growth stock) is wide.

TL;DR: In this article, the authors estimate a vector autoregession to examine the joint behavior of returns, cash-flow news, and trading between individuals and institutions, and find that institutions buy shares from individuals in response to good cashflow news.

TL;DR: In this paper, the authors developed a performance evaluation approach in which a fund manager's skill is judged by the extent to which the manager's investment decisions resemble the decisions of managers with distinguished performance records.