(Not) Everybody’s Working for the Weekend: A Study of Mutual Fund Manager Effort

Abstract
We develop a novel measure of effort to revisit the fundamental questions of asset management: how does effort relate to incentives; and how does effort affect performance? Using unique observations of daily work activity, we define mutual fund manager effort by focusing on weekends. We find that managers facing competitive incentives work more weekends. Focusing on within-advisor variation, we find that more effort follows outflows and increased volatility. Regarding future performance, more effort is followed by higher returns, especially for funds with competitive incentives, high active share, and low turnover. Finally, we use exogenous variation in effort due to weather conditions to demonstrate a causal link between effort and future returns.