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,...

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...

Open-end mutual funds have grown to become a key player in the corporate bond market. They invest in illiquid bonds but provide liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel measure...

We study how passive investing affects asset prices. Flows into passive funds raise disproportionately the prices of the largest stocks in the index, while also making them more volatile. If, in addition, stocks are mispriced because of noise traders, then passive flows raise the most the prices...

Contemporary contract theories fail to escape their bondage to 19th century liberal philosophers. Some are based on utility or preference satisfaction, but they disregard justice. Others try to extract conclusions for general concepts such as liberty or autonomy but they cannot do so without...

This paper studies the dynamic information flows between stock and corporate bond markets. Using accurately measured returns on corporate bond exchange-traded funds (ETFs), we find that returns on a portfolio of stocks of firms issuing the bonds in the ETFs positively predict corporate bond ETF...

This article raises three doctrinal myths within Chinese tort law upon the enactment of Chinese Civil Code. These myths led to difficulties in understanding Chinese tort law. More specifically, it is unclear what is the exact scope of rights protected under tort law, if personality rights claim...