Following the recent financial crisis, a number of commentators have suggested that liquidity disappears in falling markets. It is when investors try to convert assets to cash that a lack of liquidity is felt most acutely. In other words, investor sales receive lower liquidity than investor...

In theoretical models, liquidity and order flow volatility are determined by the same exogenous parameters. Thus, the variability of order flow can at least partially proxy for the unobserved (true) liquidity. Levels of and shocks to order flow volatility are indeed positively and significantly...

We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns of writing delta-hedged calls are negatively correlated with current stock price, firm profit margin and profitability, but positively correlated with firm cash holding, cash flow variance,...

We construct a new measure of trading regularity, capturing the extent to which investors trade on a regular basis. Institutional investors that trade regularly outperform those that trade less regularly. The performance of funds that regularly trade persists for at least a year. Among those who...

We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in...

Pension funds have greater fiduciary responsibilities than mutual funds and are also more severely punished for poor performance. Thus pension funds may find it particularly risky to deviate from peers. Consistent with this view, we find that pension funds herd and that their herding negatively...

Managers investing on behalf of pension plan sponsors (i.e. pension funds) face greater fiduciary responsibilities and more stringent investment mandates than mutual funds. These constraints may reduce the information content of pension fund trading. Consistent with this view, we find that the...