We investigate investor's correlated attention as a determinant of excess stock market comovement. We propose a novel proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated by the Google Search Volume Index (SVI). Our results...

We study the relation between the ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental shifts in demand. An asset can be fragile because of concentrated ownership, or because its owners face correlated or...

A growing literature employs equity mutual fund flows to measure a stock’s exposure to non-fundamental demand risk - stock price fragility. However, this approach may be biased by confounding fundamental information, potentially leading to underestimating risk exposure. We propose an...

This paper analyzes the dynamic relationship between the international sculpture market and the traditional financial investments during the period 1985-2013. Three international sculpture price indices are constructed to proxy for the general sculpture market price movements along with the low-...

This paper explores the idea that the increasing concentration of institutional ownership in equity markets makes stock prices more "fragile," i.e., more exposed to liquidity shocks to institutional investors. I argue that institutional stockholders with stricter redemption policies, who are...