This paper studies the dynamics of stock market volatility and retail investors' attention to the stock market, where attention to the stock market is measured by internet search queries related to the leading stock market index. We find a strong co-movement of the Dow Jones' realized volatility...

This paper analyzes how newly introduced transparency requirements for short positions affect investors' behavior and security prices. Employing a unique data set, which contains both public positions above and confidential positions below the regulatory disclosure threshold, we offer several...

This paper studies the flow-performance relationship of three different investor groups in mutual funds: Households, financial corporations, and insurance companies and pension funds, establishing the following findings: Financial corporations have a strong tendency to chase past performance and...

This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other...

This paper studies short sellers' trading behavior during the COVID-19 pandemic. Short sellers targeted less liquid companies headquartered in countries with a low credit rating. This trading pattern suggests that short sellers traded on the fiscal capacity of governments, which is crucial for...

We show that mutual funds use information acquired by participating in the equity lending market to make portfolio allocation decisions. Using data from German mutual funds on their stock-level lending decisions, we find that funds lending shares are more likely to exit positions relative both...

Short sellers are perceived as informed, sophisticated investors. Yet little is known about their identity and the determinants of their performance. Using novel data of daily disclosures in Europe, we identify large short positions of individual institutions and study their performance. Hedge...

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other...