Active mutual fund managers care about fund size, which is affected by common fund flows driven by macroeconomic shocks. Fund managers hedge against common flow shocks by tilting their portfolios toward low-flow-beta stocks. In equilibrium, common flow shocks earn a risk premium. A multi-factor...

Active equity funds care about fund size, affected by fund flows that obey a strong factor structure with the common component responding to macroeconomic shocks. Funds hedge against common flows by tilting their portfolios toward low-flow-beta stocks, while household/retail and index investors...

This is the supplemental material to the paper titled "Common Fund Flows: Flow Hedging and Factor Pricing." It includes many useful and interesting additional empirical results. It also includes the detailed proofs for the theoretical results

We analyze the quantitative asset-pricing implications of peers' strategic rivalry by embedding oligopolistic competition within an endowment economy. Rivalry intensity increases endogenously as the discount rate rises or expected growth declines, because peers care less about future...