Does information asymmetry affect the cross-section of expected stock returns? We explore this question using representative portfolio holdings data from the Shanghai Stock Exchange. We show that institutional investors have a strong information advantage, and that past aggressiveness of...

Stock market trading restrictions affect stock prices and liquidity directly through constraints on investors' transactions and indirectly by altering the information environment. We isolate this indirect effect by analyzing how stock market restrictions affect corporate-bond prices. Exploiting...

Using data from a major online peer-to-peer lending platform, we document that, due to time pressure, investors appear to focus on interest rates and only partially account for credit ratings in their decisions. The effect is stronger for mobile-based investors than for PC-based ones. Our...

Sovereign CDS spreads have unique predictive power for future stock market index returns, sovereign bond yields, as well as real macroeconomic variables such as GDP and PMI. The predictive power comes almost entirely from the global, rather than country-specific, component of sovereign CDS...

We use the advent of new credit default swap (CDS) trading conventions in April 2009—the CDS Big Bang—to study how a shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute CDS transactions, with the size of the fees...

We analyze financial intermediation chains in a search economy, which is populated by investors with heterogeneous valuations of an asset. In equilibrium, investors with moderate valuations choose to be intermediaries, while those with extreme valuations are their customers. The average length...

We analyze a model of anomaly discovery and test its new predictions on both asset prices and arbitrageurs' trading. Consistent with existing evidence, the discovery of an anomaly reduces its magnitude and increases its correlation with other anomalies. Using 99 anomalies, we test the new...

Consistent with information-based theories, ``regular'' ETFs (i.e., those without embedded leverage) are more liquid than their underlyings. Consistent with speculation-based theories, levered ETFs have substantially higher intermediation costs than regular ETFs. The cost difference between...

We analyze a model of anomaly discovery. Consistent with existing evidence, we show that the discovery of an anomaly reduces its magnitude and increases its correlation with existing anomalies. One new prediction is that the discovery of an anomaly reduces the correlation between deciles 1 and...

We analyze fund managers' reputation concerns in an equilibrium model, tying together a number of seemingly unrelated phenomena. The model implies that, due to reputation concerns, hedge fund managers -- especially those with average reputation levels -- prefer strategies with negatively skewed...