Capacity constraints limit the profits of some investment strategies, while other strategies are more scalable. We develop a dollar-weighted return measure that parses the factor timing by investors and a strategy's capacity constraints. We find that actively managed funds exhibit significant...

We examine how the confusion and regulatory uncertainty generated by the imposition of short sale restrictions in September 2008 impacted equity option markets. We uncover three primary findings. First, investors seeking short exposure in financial stocks did not migrate to the option market to...

This article examines a theoretically-motivated measure of the "size effect" known as Market Diversity and links it to the relative returns of institutional actively managed portfolios. Market Diversity reflects how disperse or concentrated capital is across firms in the market, with changes in...