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 an instrumental variables (IV) approach to examine the effects of dynamic endogeneity when estimating the relationship between mutual fund flows and performance. Unlike the one-stage estimation approach commonly used in prior research, the IV approach allows us to address reverse...