We study investor trading behaviour and yield patterns in the UK government bond market during the recent Covid crisis. We show that the yield spike in mid-March 2020 was accompanied by heavy selling of gilts by UK-based insurance companies and pension funds (ICPFs), which we argue was an...

We use granular data covering regulated (brokerage-financed) and unregulated (shadow-financed) margin trading during the 2015 market turmoil in China to provide the first systematic analysis of margin investors' characteristics, leverage management policies, and liquidation choices. We show that...

We document that UK government bond yields systematically rise in a two-day window before Monetary Policy Committee (MPC) meetings, which we refer to as pre-MPC windows. The effect concentrates on pre-MPC windows that coincide with new issuance of government bonds. Decomposing the effect into an...

This paper examines how anticipated and frequently repeated shocks are absorbed in liquid financial markets. We show that Treasury security prices in the secondary market decrease significantly in the few days leading up to Treasury auctions and recover shortly thereafter, even though the time...

This paper proposes and tests an investment-flow based explanation for three empirical findings on return predictability – the persistence of mutual fund performance, the “smart money¶ effect, and stock price momentum. Since mutual fund managers generally scale up or down their existing...

This paper provides empirical evidence that managers adjust firm advertising expenditures to influence investor behavior and short-term stock prices. First, this paper shows that increased advertising spending is associated with individual investor buying and a contemporaneous rise in abnormal...

We show that Treasury security prices in the secondary market decrease significantly in the few days before Treasury auctions and recover shortly thereafter, even though the time and amount of each auction are announced in advance. These results are linked to dealers' limited risk-bearing...

We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing e¤ect in the stock market. We apply our insight to stock price mo- mentum, a classic example of an unanchored strategy that exhibits positive feedback since arbitrageurs buy stocks when...

I propose and test a capital-flow-based explanation for some well-known empirical regularities concerning return predictability--the persistence of mutual fund performance, the "smart money" effect, and stock price momentum. First, I construct a measure of demand shocks to individual stocks by...

We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to update prices, while the other set requires more complicated analyses to incorporate the same piece of information into prices. We document...