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 show theoretically that variable production costs lower systematic risk of firms' cash flows if capital and variable inputs are complementary in firms’ production and input prices are sufficiently pro-cyclical. In our dynamic model, this operating hedge effect is weaker for more profitable...

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...

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic portfolio strategy involving only the underlying securities...