Extending recent findings from Barber et al. (2022) and Welch (2022), we document that retail investors from the discount broker Robinhood swarm into stocks with pending earnings announcements and stay away from them immediately after the announcements. We study four competing explanations for...

We examine the relations between dollar flows of U.S. listed ETFs with exposure to the U.S., Europe, Asia, and the rest of the world during the COVID-19 crisis, using a Markov Switching Model (MSVAR). We find evidence that investors use ETFs to gain exposure to foreign markets and swiftly adjust...

This study examines the relationship between operational efficiency (OE) and stock price crash risk (SPCR). While high OE is arguably associated with better firm performance, it also increases vulnerability to disruptions and exposure to SPCR. Using a sample of US firms from 1997 to 2018, the...

Contrary to economic theory, there is international evidence that common stock returns and inflation are negatively related. This negative relationship is examined in this paper and the applicability of the risk premium hypothesis is tested. According to this hypothesis, an increase in...

We examine the long-run equilibrium relation between the net flow of funds into equity mutual funds and the S&P 500 index. Applying the Engle and Granger error correction methodology followed by a state space procedure, we find that the levels of the stock market are influenced by the net flow...