This paper studies the role of mutual fund yield in driving investor flows and performance of bond funds. Using two common measures, the SEC yield and 12-month distribution yield, we find strong evidence that investors tend to chase bond funds with higher yields, even after controlling for total...

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index portfolio. This finding runs counter to the CAPM,...

Upon the enactment of Chinese Civil Code, the previous rules that allowed for enlarged state power to annul contracts such as General Principles of Civil Law article 58 §3 and Contract Law article 52 §1-§2 were dropped. Chinese law has gone one step further in promoting freedom of contract....

Both macroeconomic and firm-specific news contain value-relevant information for corporate bonds. In this article, we show that trading volume in corporate bonds spikes before the release of scheduled macroeconomic news but on the days with and after scheduled firm-specific news. Since investors...

This paper shows a strong link between granular information contained in individual stock prices and sectoral movements. Based on high-frequency data, we find that a simple LASSO predictor that aggregates high-frequency price movements of a broad universe of individual stocks predicts sector ETF...

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures...

This paper establishes a robust link between the trading behavior of institutions and the book-to-market effect. Building on work by Daniel and Titman (2006), who argue that the book-to-market effect is driven by the reversal of intangible returns, I find that institutions tend to buy (sell)...

This paper studies how the stock market perceives and prices cyber risk. To estimate the ex-ante likelihood that a firm will experience a cyber attack, we apply cross-validated logistic LASSO regressions to a set of firm and industry characteristics along with an estimate of a firm's...

This paper shows a strong link between granular information contained in individual stock prices and sectoral movements. Using machine learning algorithms, we find that a predictor that aggregates the price movements of a broad cross-section of individual stocks predicts sector ETF returns...