This paper examines the funding liquidity faced by hedge funds and the resulting implication for stocks' excess return co-movement. We find that hedge fund ownership tends to induce a higher stocks' return co-movement with each other, compared to other institutional investors like mutual funds...

Theory argues that the rationale for the existence of closed-end funds (CEFs) is that they provide investors indirect exposure to their underlying illiquid assets without the high cost associated with trading them directly. Consistent with this reasoning, we show that risk-averse investors...

We examine the Kondor theoretical explanation of an enduring puzzle: trading volumes and stock return volatility peak after the release of public information. Using a comprehensive data set of institutional holdings and earnings announcements, we find supporting evidence that the proportion of...