Positive return correlation signals slowly-diffusing information. Short sell-constrained institutions are mainly informed in their buy trades. Building on these facts, we identify informed investors ex ante by focusing on mutual funds. We propose a measure of the dynamic excess autocorrelation...

We study how hedge fund performance is related to the presence of mutual funds operating in the same asset class. We argue that hedge funds are able to exploit the constraints of the mutual funds related to both the high correlation between flows and value of investment and their tendency to...

Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became “toxic” in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows...