Motivated by the style-investing model of Barberis and Shleifer (2003), we examine the industry-wide investment decisions of retail investors. We find that retail investor industry demand is highly correlated and strongly related to past industry returns. Moreover, industries heavily bought by...

We examine whether the recent regime of increased liquidity and trading activity is associated with attenuation of prominent equity return anomalies due to increased arbitrage. We find that the majority of the anomalies have attenuated, and the average returns from a portfolio strategy based on...

We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is significantly higher prior to earnings or merger...

A significant fraction of firms' financing occurs via public debt markets. Accordingly, we investigate whether financial statement characteristics and other variables that predict equity returns also predict corporate bond returns. Profitability, asset growth, and equity market capitalization...

We analyze mutual fund industry selectivity mdash; the performance of a fund's industry allocation relative to the market. We find that industry selection accounts for a full third of fund performance based on two-digit standard industrial classification (SIC) codes, with the remaining...

Following the recent financial crisis, a number of commentators have suggested that liquidity disappears in falling markets. It is when investors try to convert assets to cash that a lack of liquidity is felt most acutely. In other words, investor sales receive lower liquidity than investor...

We investigate whether corporate bond returns are related to commonly used predictors of stock returns. Using a comprehensive sample of U.S. corporate bonds from 1973 to 2011, we find that size, equity momentum, lagged equity returns, profitability, and idiosyncratic volatility forecast bond...

In theoretical models, liquidity and order flow volatility are determined by the same exogenous parameters. Thus, the variability of order flow can at least partially proxy for the unobserved (true) liquidity. Levels of and shocks to order flow volatility are indeed positively and significantly...

We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns of writing delta-hedged calls are negatively correlated with current stock price, firm profit margin and profitability, but positively correlated with firm cash holding, cash flow variance,...

We construct a new measure of trading regularity, capturing the extent to which investors trade on a regular basis. Institutional investors that trade regularly outperform those that trade less regularly. The performance of funds that regularly trade persists for at least a year. Among those who...