This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine administrative bank data linking customers' consumption transactions and income to detailed portfolio data and survey responses on financial behavior. We find that private...

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

We use a proprietary dataset to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publically announced....

We statistically identify institutional investors who persistently hold the most underpriced US IPOs. As a group, these key investors' holdings are strongly related to IPO underpricing and offer price revisions, more so than any other variables. Key investors are better informed than other...

Pension funds have greater fiduciary responsibilities than mutual funds and are also more severely punished for poor performance. Thus pension funds may find it particularly risky to deviate from peers. Consistent with this view, we find that pension funds herd and that their herding negatively...

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

Using a database of daily institutional trades, we document that a majority of short-term institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than three months, and the returns on these trades average -3.91% (non-annualized). These losses are pervasive...

This paper explores the time-varying institutional investor preference for lottery-like stocks. On average, institutional investor holdings reflect an aversion to lottery-like stocks. However, I find that an institutions' aversion to lottery-like stocks is reduced when investor sentiment is low....

We document that institutional investors, and particularly hedge funds, increased their holdings of smaller stocks from 1980 to 2010 and decreased their holdings of larger stocks. As of 1990 institutions began to underweight, relative to market weights, those stocks that make up the largest 40...