This paper extends a growing body of research into the time-series properties of return and trading dynamics caused by direct information flow across investors. Our market setting has the virtue of extreme simplicity including atomistic investors, continuous trading, and a diversified asset...

Building on insights from the economics of superstars, I develop an efficient method for estimating the skill of mutual fund managers. “Outliers” are helpful for distinguishing skill from luck in this framework — informative rather than spurious. Forecasted performance is dramatically...