We investigate how the local information demand explains the market outcomes in cross-listed European Exchange Traded Funds (ETFs). Our results show that the local information demand predicts the future trading volume and, to a lesser extent, the future net fund flows. The effects of the...

We propose the use of short and long portfolios of trend-following strategies to analyse their risk and return characteristics. We present evidence for the asymmetric profitability of trend-following strategies that returns to their long side are more profitable. We find also that the exposures...