Institutions often have access to corporate inside information through their connections, but relatively little is known about the extent to which they exploit their informational advantage through short-term trading. We employ broker-level trading data to systematically examine possible cases...

The large theoretical literature about bubbles includes models where naive individuals cause excessive price movements and smart money trades against (and potentially eliminates) a bubble or where sophisticated investors follow market prices and help drive a bubble. We examine these competing...

We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23.9% more likely to be bought in net by...

This paper examines the relationship between default probability and stock returns. Using the Expected Default Frequency (EDF) of Moody's KMV, we document that higher default probabilities are not associated with higher expected stock returns. Within a model of bargaining between equity holders...

We study the effects of local religious beliefs on mutual fund risk-taking behaviors. Funds located in <i>low</i>-Protestant or <i>high</i>-Catholic areas exhibit significantly higher fund return volatilities. Similar differences persist when we use the religiosity ratios at fund managers' college locations....

We compare key CDO assumptions from two departments within the same rating agency but with different financial incentives. Assumptions made by the ratings division are more favorable than those by the surveillance department. The differences are not explained by collateral switching during the...

Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market delay measures often show greater deviations from random walk pricing in developed markets. Conceptually,...