We link equity and treasury bond markets via an informational channel. When macroeconomic state shifts are more probable, informed traders are more likely to have valid signals about fundamentals, so that uninformed traders are less willing to trade against informed ones. This implies low volume...

In this study we consider two methods of returns based style analysis for classification of investment styles for a single asset class, US Diversified Equity Funds. We extend Sharpe's (1992) style Returns Based Style Analysis (RBSA) by forming style groups using cluster analysis and RBSA...

High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery. I find that high-frequency trading is positively...

We propose a novel high-frequency decomposition of daily stock returns into news- and non-news-driven components, and uncover evidence of pervasive stock market underreaction to firm news. Prices tend to drift in the same direction as the initial market response for several days after the news...

Any lead-lag effect in an asset pair implies the future returns on the lagging asset have the potential to be predicted from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead-lag indicators to uncover the origin of price discovery...

We study the extent of cross-asset learning in financial markets by examining spillover effects around mutual fund fire sales. We find that the well-documented impact-reversal pattern for the returns of fire sale stocks (e.g., Coval and Stafford, 2007) spills over onto the stock returns of...

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving...

This paper examines how individual investors' participation in short sale affects the efficiency of stock pricing using a unique regulatory change in Korea. The change enables individual investors to sell short some -- but not all -- domestic stocks, without affecting the short-selling ability...

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...

In this paper we examine the differences in aggregate ownership of stocks held by passive equity funds and active equity funds and in the characteristics of stocks held by these funds. We find that holdings of passive funds do not mirror the holdings of active funds. There are systematic...