I propose and test a capital-flow-based explanation for some well-known empirical regularities concerning return predictability--the persistence of mutual fund performance, the "smart money" effect, and stock price momentum. First, I construct a measure of demand shocks to individual stocks by...

We show that Treasury security prices in the secondary market decrease significantly in the few days before Treasury auctions and recover shortly thereafter, even though the time and amount of each auction are announced in advance. These results are linked to dealers' limited risk-bearing...

I propose and test a capital-flow-based explanation for some well-known empirical regularities concerning return predictability--the persistence of mutual fund performance, the "smart money" effect, and stock price momentum. First, I construct a measure of demand shocks to individual stocks by...