"Auction" or "call" trading systems are used in many stock exchanges. An essential problem in the application of these systems is that orders in one security cannot be conditioned on prices of other securities. This paper proposes and analyzes the feasibility of an index-contingent trading...

This paper provides a new look at the timing of mutual fund investors. We re-examine the relationship between investors' aggregate net flows into and out of the funds and the returns of the funds in subsequent periods. The negative relationship that we find (using monthly data of aggregate US...

We investigate a proxy for monthly shifts between bond funds and equity funds in the USA: aggregate net exchanges of equity funds. This measure (which is negatively related to changes in VIX) is positively contemporaneously correlated with aggregate stock market excess returns: One standard...