In contrast to mandatory information disclosures, social media offer companies the opportunity to communicate with investors with few constraints on frequency, content, and format. To investigate the use of social media by asset management firms, we collect a database of 1.4 million Twitter...

We use unique institutional securities holdings data to examine the trading behaviour of delegated institutional capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they actively move into higher yielding, longer duration and lower...

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

In this paper, we show that the way in which fund managers are compensated can, under plausible conditions, lead them to act in a way that does not maximise the wellbeing of their clients. Due to performance bonuses in fund managers' rewards, there is a highly non-linear relationship between the...

We find that the performance distribution of the individual stocks inside a mutual fund can toss out additional information about the fund manager's stock picking ability. When a mutual fund contains mostly mediocre-performing stocks but one super-performer, it is likely that the overall fund...

In this paper, we show that the way in which fund managers are compensated can, under plausible conditions, lead them to act in a way that does not maximise the wellbeing of their clients. Due to performance bonuses in fund managers' rewards, there is a highly non-linear relationship between the...

This study brings to light the new empirical fact that flows into US domestic equity mutual funds depend less on past fund returns when the risk-free rate declines. A one-percent drop in interest rates is associated with a decrease in the slope of the flow-performance relationship of around 10%....

We demonstrate that advisory fees exhibit a positive concave dependence on the idiosyncratic volatilities of mutual fund returns. Our theoretical analysis attributes this to the impact of idiosyncratic noise on performance opacity, coupled with the infeasibility of short-selling mutual fund...