We examine the extent to which a fund's cash flows are affected by the stellar performance of other funds in its family - and consequences of such spillovers. We show that star performance results in greater cash inflow to the fund and to other funds in its family. Moreover, families with higher...

In this study, we explore the dynamics of the relation between institutional trading and stock returns. We find that stock returns Granger-cause institutional trading (especially purchases) on a quarterly basis. The robust and significant causality from equity returns to institutional trading...

We examine the independent and dominating effects of the liquidity level, the information asymmetry and the divergence of opinion on asset returns in an important emerging market, Chinese stock market. We use the variable ILLIQ from Amihud (2002) to proxy for the liquidity level, the variable...

We examine a recent high-frequency spot EUR-USD foreign exchange transaction data from an electronic foreign exchange market. Our framework is based on a continuous time sequential microstructure trade model which measures the market maker's beliefs directly. We present evidence of the strategic...

In spite of the general unstable political and economical situation that existed in Palestine, the financial sector has witnessed a positive increase in the last ten years. It consisted of four groups: First: The banking system, which includes 22 Arab, foreign, and Palestinian banks with 135...

The optimal bond-stock mix is examined in light of an apparent inconsistency between the Tobin Separation Theorem and the advice of popular investment advisors which has been pointed out by Canner et al. (1997). It is shown that the apparent inconsistency is largely explicable in terms of the...

The paper describes an analogy between two fields of study inspired by 'folk science' in distant scientific disciplines: financial economics and pharmacology. As the methodology of ethnopharmacology is much more developed than the methodology of scientific investigation of technical analysis,...

In 1997 the U.S. Treasury introduced Inflation Indexed (or Protected) Securities with substantial promotional fanfare. Yet, due in part to what some in the finance profession have described as a quot;tax disadvantagequot; placed upon TIPS, many are questioning whether they should appeal to a...

We examine the effects of liquidity, default and personal taxes on the relative yields of Treasuries and municipals using a generalized model with liquidity risk. The municipal yield model includes liquidity as a state factor. Using a unique transaction dataset, we are able to estimate the...

Over the years numerous portfolio performance measures have been proposed. In general they are designed to capture some particular enhancement that might result from active management. However, if a principal uses a measure to judge an agent, then the agent has an incentive to game the measure....