We find that stock price crash risk is positively associated with lagged equity lending fee and fee risk. This positive relation is stronger for the stocks with a lower short interest level and higher information uncertainty. Our results are robust to using alternative measures of price crash...

Existing research indicates that it is possible to forecast potential long-term returns in the S&P 500 for periods of more than 10 years using the cyclically adjusted price-to-earnings ratio (CAPE). This paper concludes that this relationship has also existed internationally in 17 MSCI Country...

Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policymakers that correlated redemptions will destabilize the corporate bond market. However, estimating regressions that focus within issuer-quarter, I find little evidence that redemptions or...

We examine the extent to which institutional investors herd in the U.S. corporate bond market and the price impact of their herding behavior. We find that the level of institutional herding in corporate bonds is substantially higher than what is documented for equities, and that sell herding is...

On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...

Drawing upon recent research on the governance effect of information competition among informed investors, we hypothesize a cross-sectional variation in future stock returns that is conditional on information competition. Measuring competition using the concentration of institutional ownership,...

A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...