how much capital clients provide to funds at each date as a function of past performance. Convex flow … capital that is delegated is low, all funds follow the same strategy. However, when the equilibrium share of delegated capital … is high, funds with identical incentives employ heterogeneous trading strategies. A group of managers borrows to take on …

market returns (R2), reflecting increased comovement after inclusion between the added stock and rest of the index. In … post-inclusion increase in comovement is positively correlated with the presence of index-oriented institutional investors … in comovement is related to information problems. …

It is well known that the neoclassical model does not generate comovement among macroeconomic aggregates in response to … the neoclassical model. We present an open economy model that generates comovement both in response to sudden stops and to … news about future productivity and investment-specific technical change. We find that comovement is easier to generate in …

markets using a flexible approach that allows us to investigate whether the co-movement is: (i) symmetric and occurring most … dependence may lead to wrong evidence of asymmetry. Third, a growing comovement between industrial metals and equity markets is … identified as early as in 2003, a comovement that spreads to all commodity classes and becomes unambiguously stronger with the …