Emerging markets (EM) equity is increasingly becoming a mainstream asset class among both institutional and retail investors. Following the global financial crisis of 2008, emerging markets have seen substantial asset flows, largely motivated by investors seeking economic growth while avoiding...

We show that Morningstar has given higher ratings to active domestic equity funds which are underfunded relative to their Berk&Green (2004) model-predicted optimal fund size and lower ratings to overfunded funds. Investors chase ratings, so they have unwittingly moved capital out of overfunded...

Time-varying leverage driven by common shocks to firm asset returns introduces a factor structure in idiosyncratic equity return volatilities (IVOL). In a standard dynamic capital structure model in which the CAPM holds for asset returns, we show that three factors explain the IVOL...

In this paper, we assume that investors have the same information, but trade due to the evolution of their non-market wealth. In our formulation, investors rebalance their portfolios in response to changes in their expected non-market wealth, and hence trade. We assume an incomplete market in...