We investigate whether unpleasant environmental conditions affect stock market participants' responses to information events. We draw from psychology research to develop a new prediction that weather-induced negative moods reduce market participants' activity levels. Exploiting geographic...

The returns of hedge fund investors depend not only on the returns of the funds they hold but also on the timing and magnitude of their capital flows in and out of these funds. We use dollar-weighted returns (a form of IRR) to assess the properties of actual investor returns on hedge funds and...

The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We measure investor returns as dollar-weighted returns (IRRs), and provide comprehensive evidence on the volatility of investor...

The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We provide comprehensive evidence on the volatility of investor returns using individual stocks, portfolios, and market indexes...