Motivated by research in psychology and experimental economics, we assume that investors update their beliefs about an asset's value upon observing the price, but only when the price clearly reveals that others obtained private information that differs from their own private information. In...

This paper identifies the impact of fluctuations in the supply of capital from mutual funds on municipal bond financing and makes three contributions to the literature. First, we develop an identification strategy based on the Morningstar rating methodology at the moment that funds reach 5 years...

Baseball cards exhibit anomalies that are analogous to those that have been documented in financial markets, namely, momentum, price drift in the direction of past fundamental performance, and IPO underperformance. Momentum profits are higher among active players than retired players, and among...

I document that momentum trading strategies are significantly profitable in an intragame NBA sports betting market. The momentum profits appear to be the result of market underreaction to news, but I find no evidence that the underreaction is driven by the psychological biases that form the...

We examine how active share—the extent to which a portfolio's holdings differ from its benchmark's holdings—affects the performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the average bond fund has an issue-level...

Zero returns are widely prevalent among fixed-income funds: on over 30% of trading days, net asset values (NAVs) do not change. We show that this high prevalence of zero returns is a symptom of stale pricing by funds that exercise valuation discretion over illiquid security holdings. Further...

We examine the pricing implications of reaching for yield, which we define as a preference for bonds with higher yields at a given rating or for bonds with higher ratings at given yields. Reaching for yield is associated with high valuation and thus negatively predicts cross-sectional bond...