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...

Using two unique data sets of NASDAQ stocks, I examine the influence and informational role of hidden orders in the NASDAQ. I find that as much as 20% of trading volume is executed against hidden orders, with 16% of the best bid and ask offers invisible to the public due to these orders. I find...

This paper dissects with great acuteness, the issues of convergence in financial performance dynamics in the African continent through the lenses of stock market capitalization, value traded, turnover and number of listed companies. The empirical evidence is premised on 11 homogenous panels...

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving...

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...

I show that the shape of flow–performance relationship among open-end funds varies with investor sentiment. This link is stronger when the market tone is optimistic. Cross-sectional comparison reveals that the convexity of the relationship is more pronounced among funds of the type that...

We show that fund-specific return skewness is associated with managerial skill and future hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment skill that accounts for this managerial ability, we...

In this paper we examine the differences in aggregate ownership of stocks held by passive equity funds and active equity funds and in the characteristics of stocks held by these funds. We find that holdings of passive funds do not mirror the holdings of active funds. There are systematic...

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...

We investigate the consequences of widespread ESG-based portfolio exclusions on the expected returns of firms subject to exclusion. We use the exclusions of Norway's ``Oil Fund'' as a sample of low quality ESG stocks. The fund is the world's largest SWF, whose ESG decisions are viewed as a model...