The recent mania of Reddit darling GameStop raises questions about social media’s impact on the behaviours of institutional investors such as mutual funds. We examine whether and why mutual funds hold “sentimental” stocks that are heavily mentioned or with bullish views on social media....

A long literature argues corporate managers learn from stock prices, but organizations’ learning process is challenging to observe. We present a novel test using firm-level readership of financial media articles as a manifestation of managerial learning. We hypothesize that reading financial...

In theory, large premiums or discounts of ETF are not sustainable due to the arbitrage mechanism. However, the time gap in trading hours between US and Asia Pacific stock markets makes short-term premiums or discounts possible. The price of Asia Pacific country ETFs traded in US market is not...

Bitcoin has gotten significant interest throughout the world, in not just investors and the financial community, but also among the general public. Over the past few years, the price of Bitcoin has risen and fallen dramatically. Because of the dramatic price increases, many articles in the...

Using the large-scale index-linked exchange-traded fund (ETF) purchase program of the Bank of Japan (BOJ), we examine the role of unconventional equity-based monetary policies in the market liquidity of the underlying securities. Using a large sample of Japanese stocks, we document a significant...

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

We show that the stochastic dominance (SD) approach to the valuation of index options in frictionless markets allows the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and volatility dynamics for a wide class of stochastic volatility...

Utilizing a dataset of 1,899 U.S. hedge funds, we present evidence of anti-herding behavior among hedge fund managers in the U.S. Hedge funds anti-herd primarily based on fundamental information and irrespective of market volatility and credit deterioration conditions although funding...

We find no evidence that hedge funds manipulate stock prices from 2011 to 2019, while confirming the stock price manipulation pattern previously documented between 2000 and 2010. Stocks held by hedge funds exhibit positive abnormal returns and then reversals at quarter-end in the earlier period;...

Using the reconstitution of MSCI indices in seven Asian markets from 2006 to 2021, we discover arbitrage opportunities arising from index-tracking funds’ efforts to minimize tracking errors around the dates when index reconstitution changes become effective (i.e., effective dates). We document...