Institutions often have access to corporate inside information through their connections, but relatively little is known about the extent to which they exploit their informational advantage through short-term trading. We employ broker-level trading data to systematically examine possible cases...

The large theoretical literature about bubbles includes models where naive individuals cause excessive price movements and smart money trades against (and potentially eliminates) a bubble or where sophisticated investors follow market prices and help drive a bubble. We examine these competing...

We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23.9% more likely to be bought in net by...

We study the effects of local religious beliefs on mutual fund risk-taking behaviors. Funds located in <i>low</i>-Protestant or <i>high</i>-Catholic areas exhibit significantly higher fund return volatilities. Similar differences persist when we use the religiosity ratios at fund managers' college locations....

This paper examines the relationship between default probability and stock returns. Using the Expected Default Frequency (EDF) of Moody's KMV, we document that higher default probabilities are not associated with higher expected stock returns. Within a model of bargaining between equity holders...

This paper examines the information embedded in both the stock and option markets prior to takeover announcements. During normal periods, buyer-seller initiated stock volume imbalances are significant predictors of next-day stock returns and option volume imbalances are uninformative. However,...

This article studies differences in the information content of 870,000 news announcements in 56 markets around the world. In most developed markets, a firm's stock price moves much more on days with public news about the firm. In contrast, in many emerging markets volatility is similar on news...