A large and rapidly growing literature examines the impact of misvaluation on firm policies by using mutual fund outflow-induced price pressure to isolate non-fundamental price variation. I demonstrate that the standard approach to computing outflow-induced price pressure produces a measure that...

Swedish investment companies structured as closed-end funds (CEFs) are large relative to CEFs in the U.S. and elsewhere. Their costs are low and they trade at high and mean-revering discounts. I show that CEF returns are usually in excess of what can be explained by conventional risk factors. I...

This paper theoretically and empirically examines the effect of product market competition on the relation between real estate investments and stock returns. By limiting operating flexibility in the event of negative demand shocks, real estate assets are found to increase firm risk. This study...

The continuing volatility in equity markets following the global financial crisis has led the focus of the global investment community towards low volatility stocks. This pursuit of low risk investments has drawn attention of the investor community towards new, alternative investments avenues...

Our research on data for the S&P 500 ETF from 1993-2013 documents an intraday momentum pattern: the first half-hour return on the market (from the previous day's close) predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more...

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...

Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0....

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive (negative) among overpriced (underpriced) stocks. We offer a new active anomaly-selection strategy that capitalizes on this effect. To this end, we consider eleven equity anomalies in...

We present empirical evidence that collective investor behavior can be inferred from large-scale Wikipedia search data for individual-level stocks. Using Shannon transfer entropy, a model-free measure that considers any kind of statistical dependence between time series, we investigate the...

We investigate the role of mutual fund flows in incorporating market sentiment into asset prices. We show that retail investors adjust their investments among mutual fund categories in response to changes in market sentiment. Consistent with sentiment-induced price pressure through fund flows,...