We investigate the dynamics of heterogeneous beliefs and link them to the volatility pattern throughout the seasoned equity offering (SEO) event window. In sync with a reduction in information asymmetry related to management information releases around the SEO event, belief heterogeneity...

We show theoretically that a novel nonlinear interaction of fund flows and returns plays a central role in either moderating or amplifying the portfolio rebalancing demand of levered and inverse-levered ETFs (LETFs). Rebalancing, in turn, affects underlying’s and market’s return volatility....

On September 19, 2008 the Securities and Exchange Commission put a temporary ban on the short sales of 797 financial stocks. This unprecedented measure allows us to explore the impact of short-sale restrictions on the U.S. stocks. In this study we investigate the effect of short-sale constraints...