We find evidence that hedge funds significantly manipulate stock prices on critical reporting dates. We document that stocks held by hedge funds experience higher returns on the last day of the quarter, followed by a reversal the next day. For example, the stocks in the top quartile of hedge...

Due to non-linear transaction costs, the fi nancial performance of a trading strategy decreaseswith portfolio size. Using a dynamic trading model a la Garleanu and Pedersen (2013), wederive closed-form formulas for the performance-to-scale frontier reached by competitive tradersendowed with a...

This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "risk view", whereby investing in high quality firms is somehow riskier, so that the higher returns of a quality...

We characterize investors' moral preferences in a parsimonious experimental setting, where we auction stocks with various ethical features. We find strong evidence that investors seek to align their investments with their social values ("value alignment"), and find no evidence of behavior driven...

We measure how shareholders value a firm's ethical actions via an experiment. Our findings are threefold. First, the "selfish investor hypothesis'' is strongly rejected. Participants are willing to pay $ .7 more for buying a share in a firm giving one more dollar per share to charities....