This paper investigates the joint determination of two dimensions of a security: trading volume and return. In much of the existing literature, volume is modeled as being exogenously related to security returns. Our analysis evaluates the extent to which trading activity also depends on security...

We use the geographically-constrained holdings of single-state municipal-bond mutual funds in order to compare the performance of local and non-local mutual fund managers. In general, we find that local managers display worse performance and significantly different risk profiles than non-local...