This paper investigates the role of scale in Real Estate Mutual Fund (REMF) performance. We test the impact of both fund-level and industry-level economies of scale on fund performance. We provide consistent evidence that industry size erodes REMF performance. After controlling for endogeneity concerns, we document an insignificant relation between fund size and performance. Taken together, these findings suggest that the rapid growth of the REMF industry over the past few decades has materially impacted active managers' ability to consistently outperform their passive benchmarks. As more capital flows into the industry, competition for alpha increases, and investment opportunities dwindle. This effect is stronger in funds who are especially active in seeking out those increasingly elusive opportunities. Specifically, the effect of industry size on alpha is particularly negative for funds with higher turnover ratios, expense ratios, and volatility of returns.

We examine S&P 500 firms over 1999–2014 that characterize their annual performance with extreme positive language. Only 18% of such firms increase shareholder value, while over 80% have either negative or insignificant abnormal returns. Our evidence suggests that firms often base their claims of extreme positive performance on high raw returns or strong relative accounting performance. In comparison to firms that generate positive abnormal returns without boasting, our sample firms tend to have superior accounting performance. We conclude that boasting about performance is rarely associated with value creation and is more consistent with an emphasis on accounting metrics.

We examine the effect of investor attention on value loss due to securities class action lawsuits and litigation-based fraud discovery. We find that investor attention is positively associated with damage to corporate reputation and the magnitude of the value losses suffered by defendant firms. The reputational damage to defendant firms with higher investor attention is evident from poor operational performance and lower institutional ownership after filing. Investor attention is positively associated with the diffusion of information regarding fraud and it accelerates lawsuit filing. The effects of investor attention, however, are not subsumed by the severity of the fraud. Our results are robust to a battery of tests that addresses selection and endogeneity concerns.