This paper studies the asymmetric price impacts mutual fund and ETF flows have on individual stocks in demand-based asset pricing. Our analysis finds that the price impacts of their buying differ significantly from the impact of selling by these pooled investment structures. At the extreme,...

This paper examines whether deep/machine learning can help find any statistical and/or economic evidence of out-of-sample bond return predictability when real-time, instead of fully-revised, macro variables are taken as predictors. First, when using pure real-time macro information alone, we...