Academic Papers on the Asset Management Industry

A loose collection of academic papers relevant to the investment asset management industry. The focus is on valuation, performance, and industrial organization of investment asset managers; we exclude almost all of the the vast literature pertaining to portfolio management.

Please let us know in the comments what we should add. (Apologies for the lack of citation standard).

Industry Introduction

Bernard Delbecque (2012): “Key functions of asset management,” VOXEU, March. https://cepr.org/voxeu/columns/key-functions-asset-management

Gian Luigi Costanzo (2011): "The Contribution of the Asset Management Industry to Long-term Growth", OECD Journal: Financial Market Trends, OECD Publishing, vol. 2011(1), p.87-96.

Jan Fichtner (2019): “The Rise of Institutional Investors.” SocArXiv. July 5. doi:10.31235/osf.io/2u6pg.

Ken Miyajima. Ilhyock Shim. "Asset managers in emerging market economies". BIS Quarterly Review, September 2014. https://www.bis.org/publ/qtrpdf/r_qt1409e.pdf 

G. Epstein, “The asset management industry in the United States”, Financing for Development series, No. 271 (LC/TS.2019/81), Santiago, Economic Commission for Latin America and the Caribbean (ECLAC), 2019. https://repositorio.cepal.org/server/api/core/bitstreams/48b3f277-6fd9-4f7a-99de-deb4bbddad27/content

"Ignore, if you can, the obvious reality that for equity fund managers as a group, the high costs of management make beating the market index over the long term virtually impossible.":

Bogle, John. (2015): "The Index Mutual Fund: 40 Years of Growth, Change, and Challenge". Financial Analysts Journal. 72. 1-5. 10.2469/faj.v72.n1.5. https://ejvanalytics.com/wp-content/uploads/2018/08/2017-Bogle-40-years-of-Funds.pdf

Braun, Benjamin. “From Performativity to Political Economy: Index Investing, ETFs and Asset Manager Capitalism.” New Political Economy 21, no. 3 (May 3, 2016): 257–73. https://doi.org/10.1080/13563467.2016.1094045.

Datasets

Elton, E. J., M. J. Gruber, and C. R. Blake (2001): “A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases,” Journal of Finance, 56, 2415–2430. http://dx.doi.org/10.2139/ssrn.350664

Kaggle hosts a number of ETF and mutual fund datasets:

• European Funds dataset from Morningstar

• Mutual Funds

• Mutual Funds Report

• US Funds dataset from Yahoo Finance

• EDHEC Investment Management Dataset on Kaggle

Commercial providers:

• EPFR : Funds Flows and Allocation Data

• FactSet ETF

• Lamb Quantitative Research

• Morningstar Mutual Funds

• Cerulli Associates

• LSEG (fka Refinitiv)

• Investment Company Institute (ICI)

Regulation

Evans, R. B., M. A. Ferreira, and M. Young (2024): “Hiding in Plain Sight: The Global Implications of Manager Disclosure”. Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC, Darden Business School Working Paper No. 3858045. http://dx.doi.org/10.2139/ssrn.3858045

De Smet, Joeri, The Systemic Importance of Asset Managers: A Case Study for the Future of SIFI Regulation (March 30, 2022). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4072740

Claude Lopez. 2017. "The Asset Management Industry, Systemic Risk, and Macroprudential Policy". Journal of Financial Transformation. https://www.researchgate.net/publication/316221504_The_Asset_Management_Industry_Systemic_Risk_and_Macroprudential_Policy

Claude Lopex. "The Asset Management Industry, Systemic Risk, and Macroprudential Policy" (April 14, 2017). Journal of Financial Transformation, 2017, vol: 45 pp. 121-128. https://ssrn.com/abstract=2953076

Brad Jones (2015): "Asset bubbles: re-thinking policy for the age of asset management”. IMF working paper no. 15/27. https://www.imf.org/external/pubs/ft/wp/2015/wp1527.pdf

Claude Lopez, Donald Markwardt, Keith Savard (2016): "The Asset Management Industry and Systemic Risk: Is There a Connection?". (June 27, 2016). http://dx.doi.org/10.2139/ssrn.2801358

Thierry Roncalli, Guillaume Weisang (2015): “Asset management and systemic risk”. (May 26, 2015). Paris December 2015 Finance Meeting EUROFIDAI - AFFI. http://dx.doi.org/10.2139/ssrn.2610174

Valuation

Huberman G. (2010): "What is the NPV of Expected Future Profits of Money Managers?".

Rivista Bancaria – Minerva Bancaria, vol.1, (January 01, 2010), p.7-37.

Juha Joenväärä. Bernd Scherer . "A Note on the Valuation of Asset Management Firms." April 2017. EDHEC Business School.

https://risk.edhec.edu/sites/risk/files/EDHEC_Working_Paper_Valuation_Asset_Management_Firms.pdf

Bigelli, M., Manuzzi, F. (2019): "The valuation of asset management firms. Corporate Ownership & Control". 16(4), 103-110. http://doi.org/10.22495/cocv16i4art9 or https://virtusinterpress.org/IMG/pdf/cocv16i4art9.pdf 

Market Risk for Asset Managers

Scherer B. (2010): "Should Asset Managers Hedge Their Fees At Risk?", Journal of Applied Corporate Finance, v22n4, p.96-102. https://econpapers.repec.org/RePEc:bla:jacrfn:v:22:y:2010:i:4:p:96-102

Scherer B. (2011): "Market Risks in Asset Management Companies, Quantitative Finance", v12n10, p.1547-1556.

Polato, M., Velliscig, G. (2022). "Operational  risk, market  risk  and  value  of  the  asset managers". Risk  Governance and Control: Financial  Markets  &  Institutions,  1 2(4), 46-54. https://doi.org/10.22495/rgcv12i4p3

Cen, X., W. W. Dou, L. Kogan, and W. Wu (2023): “Fund Flows and Income Risk of Fund Managers,” Working Paper 31986, National Bureau of Economic Research. http://www.nber.org/papers/w31986

Industrial Organization

Fichtner, Jan, Eelke M. Heemskerk, and Javier Garcia-Bernardo. “Hidden Power of the Big Three? Passive Index Funds, Re-Concentration of Corporate Ownership, and New Financial Risk†.” Business and Politics 19, no. 2 (June 2017): 298–326. https://doi.org/10.1017/bap.2017.6.

Joshua M. Pollet, Mungo Wilson (2008): “How does size affect mutual fund behavior?” Journal of Finance, 63, 2941–2969. https://doi.org/10.1111/j.1540-6261.2008.01417.x

A model representing AM firms where mean variance asset allocation investors trade against fundamental value investors in bond and equity markets. The theoretical model predicts a novel set of capital market properties and phenomena similar to real market data, particularly in terms of excess volatility, skewed returns, booms and crashes and contagion and decoupling between bond and equity markets:

Rous, J.M. (2016): "Institutional Investing and Feedback Effects in Capital Markets". University of St. Gallen. Dissertation #4558.

Consolidation

Most widely cited paper on the history of market consolidation in the financial industry:

Allen N Berger. Rebecca S Demsetz. Philip E Strahan. The consolidation of the financial services industry: Causes, consequences, and implications for the future. Journal of Banking & Finance. Volume 23, Issues 2–4, February 1999, p.135-194. https://www.sciencedirect.com/science/article/pii/S0378426698001253

A method to estimate mergers and exits of firms for an industry, applied here to life insurance industry:

J. David Cummins. Sharon Tennyson. Mary A. Weiss. Consolidation and efficiency in the US life insurance industry. Journal of Banking & Finance. Volume 23, Issues 2–4, February 1999, p.325-357.

https://www.sciencedirect.com/science/article/pii/S0378426698000892

Investment Performance

Jack Bogle (1951): “The Economic Role of the Investment Company".  Princeton University. Senior thesis. http://arks.princeton.edu/ark:/88435/dsp017m01bm63k

Paul A. Samuelson. “Challenge to Judgment”. The Journal of Portfolio Management. Fall 1974, 1 (1), p.17-19. DOI: 10.3905/jpm.1974.408496

"The results do not support the existence of skilled or informed mutual fund portfolio managers":

Carhart, M.M. (1997): "On Persistence in Mutual Fund Performance". The Journal of Finance, 52: 57-82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x

Berk J.B. and R.C. Green (2004): "Mutual fund flows and performance in rational markets", Journal of Political Economy, 112, p.1269–1295.

Agarwal, V., G. D. Gay, and L. Ling (2014): “Window Dressing in Mutual Funds,” Review of Financial Studies, 27, 3133–3170.

Barber, B. M., T. Odean, and L. Zheng (2005): “Out of sight, out of mind: The effects of expenses on mutual fund flows,” Journal of Business, 78, 2095–2119.

Edelen, R. M. (1999): “Investor flows and the assessed performance of open-end mutual funds,” Journal of Financial Economics, 53, 439–466.

Pastor, L., R. Stambaugh, and L. A. Taylor (2015): “Scale and skill in active management,” Journal of Financial Economics, v116n1, 23–45.

Chen, J., H. Hong, M. Huang, and J. D. Kubik (2004): “Does fund size erode mutual fund performance? The role of liquidity and organization,” American Economic Review, 94, 1276–1302.

Jia-Hui Lin, Meng-Feng Yen, Wei-Cheng Hsieh. "Do manager characteristics matter in equity mutual fund performance? New evidence based on the double-adjusted alpha". Pacific-Basin Finance Journal. Volume 77, February 2023, 101925. https://doi.org/10.1016/j.pacfin.2022.101925

Dangl, Thomas and Wu, Youchang and Zechner, Josef, Market Discipline and Internal Governance in the Mutual Fund Industry (2008). The Review of Financial Studies, v21n5, p.2307-2343.

Fama E. and J. MacBeth (1973), Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy, v81, p.607-36.

Goetzmann W.N., Ingersoll J. and S.A. Ross (2003), High watermarks and hedge fund management contracts, Journal of Finance, v58, p. 1685–1717.

Ross S.A. (2004), A Neoclassical Look at Behavioural Finance: The Closed End Funds Puzzle (Chapter 4), Princeton University Press.

Almazan, A., K. C. Brown, M. Carlson, and D. A. Chapman (2004): “Why constrain your mutual fund manager?” Journal of Financial Economics, 73, 289–321.

Bruno, Giovanni and Goltz, Felix and Naly, Antoine, Does ESG Information Deliver Investment Value? A High-Dimensional Portfolio Perspective (May 30, 2025). http://dx.doi.org/10.2139/ssrn.5280378

Martin Rohleder (2015): "The Relation between Past Flows and Future Performance: Simple Investment Strategies in the Mutual Fund Sector". International Journal of Financial Studies (IJFS). 3. 3-30. 10.3390/ijfs3010003. https://www.mdpi.com/2227-7072/3/1/3

Gelly Fu (2021): "Small Fund Size Matters". http://dx.doi.org/10.2139/ssrn.3985944

Incentives and Fees

Campbell Harvey (2022): "The Pitfalls of Asset Management Research". http://dx.doi.org/10.2139/ssrn.4078138

Chevalier J. and G. Ellison (1997): "Risk taking by mutual funds as a response to incentives". Journal of Political Economy, v105, p.1167-1200.

Malkiel, Burton G. “Asset Management Fees and the Growth of Finance.” Journal of Economic Perspectives 27, no. 2 (May 2013): 97–108. https://doi.org/10.1257/jep.27.2.97.

Brown, David C., and Shaun William Davies. “Moral Hazard in Active Asset Management.” Journal of Financial Economics 125, no. 2 (August 1, 2017): 311–25. https://doi.org/10.1016/j.jfineco.2017.05.010.

Sushko, Vladyslav, and Grant Turner. “The Implications of Passive Investing for Securities Markets.” SSRN Scholarly Paper. Rochester, NY: Social Science Research Network, March 11, 2018. https://papers.ssrn.com/abstract=3139242.

Bhattacharya S. and P. Pfleiderer (1985): "Delegated portfolio management", Journal of Economic Theory, v36, p. 1-25.

Boudoukh J., Richardson M., Stanton R. and R. Whitelaw (2004), The Economics of Asset Management, NYU Stern Working Paper.

Paper documenting that advisors hurt trading performance and that this effect is particularly pronounced if the trade follows contact initiated by the advisor; advisors reduce some of the behavioural biases retail Investors suffer, but this does not compensate for the negative performance effects of bad stock recommendations.

Daniel Hoechle, Stefan Ruenzi, Nic Schaub, Markus Schmid. The Impact of Financial Advice on Trade Performance and Behavioral Biases, Review of Finance, Volume 21, Issue 2, March 2017, p.871–910. https://doi.org/10.1093/rof/rfw032

A working paper looking to explain the U.S. pension funds' shift towards alternatives.

Juliane Begenau, Pauline Liang, and Emil Siriwardane. The Rise of Alternatives (June 09, 2025). http://dx.doi.org/10.2139/ssrn.4940886

Behavioural Portfolio Management

Pool, V. K., N. Stoffman, and S. E. Yonker (2012): “No Place Like Home: Familiarity in Mutual Fund Manager Portfolio Choice,” Review of Financial Studies, 25, 2563-2599.

Puetz, A. and S. Ruenzi (2011): “Overconfidence Among Mutual Fund Managers,” Journal of Business Finance & Accounting, 38, 684–712.

Du, M., A. Niessen-Ruenzi, and T. Odean (2023): “Stock Repurchasing Bias of Mutual Funds,” Review of Finance, 28, 699—-728.

Barber, B. M. and T. Odean (2008): “All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors,” Review of Financial Studies, 21, 785–818.

Catharina Janz, Rainer Michael Rilke, B. Burcin Yurtoglu. (2023): "Does ESG Information Impact Individual Investors’ Portfolio Choices? – Evidence from an Experiment". http://ssrn.com/abstract= 4332893

Ferreira, M (2018), “Risk seeker or risk averse? Cross-country differences in risk attitudes towards financial investment”, in Samson, A (Ed), The Behavioral Economics Guide 2018: 86-95. 

Market Movement

Xavier Gabaix. Ralph S. Koijen. May 2022. In Search of the Origins of Financial Fluctuations: The Inelastic Market Hypothesis. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3686935

Wermers, R. (1999). Mutual Fund Herding and the Impact on Stock Prices. The Journal of Finance, 54(2), 581–622. http://www.jstor.org/stable/2697720

Econometrics

Petersen M. (2008): "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches", Review of Financial Studies, v22n1, p. 435-480. http://dx.doi.org/10.2139/ssrn.661481

Yu Chen, Nathalia Cespedes, Payam Barnaghi. A Closer Look at Transformers for Time Series Forecasting: Understanding Why They Work and Where They Struggle. https://openreview.net/pdf?id=kHEVCfES4Q

Machine Learning

Most cited paper on AI in finance:

Mo, Hongwei and Ouyang, Shumiao. "(Generative) AI in Financial Economics". (May 01, 2025). http://dx.doi.org/10.2139/ssrn.5287110

This paper proposes a new LLM-based framework to convert unstructured data to structured.

Cong, Lin William, Tengyuan Liang, Xiao Zhang, and Wu Zhu (2024). "Textual factors: A scalable, interpretable, and data-driven approach to analyzing unstructured information". https://www.nber.org/papers/w33168

Portfolio Management

Portfolio Management: Valuation

Lipton, Alexander and López de Prado, Marcos and López de Prado, Marcos. 2025: " Analytical Valuation of Private Equity Investments". http://dx.doi.org/10.2139/ssrn.5282576

Portfolio Management: Quantitative Strategies

Jeaen Dessain (2021): "Machine Learning Models Predicting Returns: Why Most Popular Performance Metrics Are Misleading and Proposal for an Efficient Metric". (September 20, 2021). http://dx.doi.org/10.2139/ssrn.3927058 or https://www.sciencedirect.com/science/article/abs/pii/S0957417422003967

Eduardo Gerlein, Martin McGinnity, Ammar Belatreche, Sonya Coleman. "Evaluating machine learning classification for financial trading: an empirical approach". Expert Systems with Applications. February 2016. doi:10.1016/j.eswa.2016.01.018

Rapach, David and Ringgenberg, Matthew C. and Zhou, Guofu, "Short Interest and Aggregate Stock Returns". (February 10, 2016). Journal of Financial Economics (JFE). Forthcoming. http://dx.doi.org/10.2139/ssrn.2474930

Cont, Rama and Vuletić, Milena, Data-driven hedging with generative models (June 04, 2025). http://dx.doi.org/10.2139/ssrn.5282525

Yartseva, Anna (2025): "The Alchemy of Multibagger Stocks: An empirical investigation of factors that drive outperformance in the stock market". Working Paper 33. Centre for Accountancy Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University.

Portfolio Management: Quantitative Strategies: Forecasting with Wavelet Transforms

Tsung-Jung Hsieh, Hsiao-Fen Hsiao, Wei-Chang Yeh. 2011. "Forecasting stock markets using wavelet transforms and recurrent neural networks: An integrated system based on artificial bee colony algorithm". Applied Soft Computing. Volume 11, Issue 2, March 2011, Pages 2510-2525. https://www.sciencedirect.com/science/article/abs/pii/S1568494610002565

Jothimani, D., Shankar, R., Yadav, S.S., 2015: "Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index", Journal of Financial Management and Analysis, 28 (2), 35-49. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2769529

Sanjita Jaipuria, Naliniprava Tripathy. 2020: "Forecasting Stock Market using Discrete Wavelet Transforms and Artificial Neural Networks Model". The Empirical Economics Letters · November 2020. https://www.researchgate.net/publication/346266024_Forecasting_Stock_Market_using_Discrete_Wavelet_Transforms_and_Artificial_Neural_Networks_Model

Portfolio Management: Quantitative Strategies: Forecasting with LLMs

This list of papers on forecasting with LLMs is lifted from "(Generative AI in Financial Economics" (Mo and Ouyang, 2025).

This paper is the first to study the predictive power of ChatGPT-4 on stock returns by analysing news headlines.

Lopez-Lira, Alejandro and Tang, Yuehua, Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models (April 6, 2023). http://dx.doi.org/10.2139/ssrn.4412788

This paper finds that analysing financial news articles using LLM-based models significantly outperforms traditional text models in predicting stock returns.

Chen, Yifei, Bryan T Kelly, and Dacheng Xiu (2022). “Expected returns and large language models”. https://ssrn.com/abstract=4416687

This paper finds that the ratio of good news identified by ChatGPT from Wall Street Journal headlines positively forecasts future market returns, especially during downturns, while negative news has no predictive power due to rapid investor assimilation.

Chen, Jian, Guohao Tang, Guofu Zhou, and Wu Zhu (2025). “ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?”. (July 31, 2023). Olin Business School Center for Finance & Accounting Research Paper No. 2023/18. http://dx.doi.org/10.2139/ssrn.4660148

This paper develops an investment score by extracting a firms expected capex from earnings call transcripts using ChatGPT that predicts both future firm-level capital expenditures and stock returns.

Manish Jha, Jialin Qian, Michael Weber, and Baozhong Yang. "ChatGPT and Corporate Policies". NBER Working Paper No. 32161 February 2024. https://www.nber.org/system/files/working_papers/w32161/w32161.pdf

This paper extracts professional fund managers’ structured beliefs from mandated disclosures using ChatGPT, finding these beliefs significantly forecast fund trading behaviour and subsequent market returns.

Zhenyu Gao, Wei Xiong, and Jian Yuan. 2025. "Structured Beliefs and Fund Investment". https://wxiong.mycpanel.princeton.edu/papers/LLM.pdf

This paper uses LLMs to extract textual descriptions of 10-K filings and patent abstracts and compute their semantic similarity. It develops a firm-level measure of Innovation Displacement Exposure (IDE) to quantify how innovations by other firms can disrupt a given firm’s future growth through technological obsolescence. Higher IDE is strongly and persistently associated with lower future profit growth.

Kakhbod, Ali, Leonid Kogan, Peiyao Li, and Dimitris Papanikolaou (2024). “Measuring Creative Destruction”. Available at SSRN 5008685.

This paper combines LLMs with a multi-agent chain-of-thought framework to automate real-time equity research. The system simulates human analysts by integrating real-time data, discretionary judgment, and structured financial reasoning.

Zhou, Tianyu, Pinqiao Wang, Yilin Wu, and Hongyang Yang (2024). “FinRobot: AI Agent for Equity Research and Valuation with Large Language Models”. arXiv preprint arXiv:2411.08804.

This paper measures AI adoption of mutual funds based on job postings and shows that mutual funds with higher AI adoption outperform their peers. The performance improvement is attributed to enhanced stock-picking ability, especially for stocks with high volumes of public information, while it is less effective for opaque or underreported stocks.

Zhang, Yiming (2024). Do Mutual Funds Benefit from the Adoption of AI Technology? https://ssrn.com/abstract=4871159.