We compare the accuracy of cost of equity estimates based on leading factor models to two simple alternatives: the asset mean and the market mean. The market mean proves to be a serious competitor to traditional implementations of factor models even if the underlying factor model is true....

This study examines the role of geographic competition in the mutual fund industry. We begin with the premise that investors exhibit local preferences in their investment choices, creating geographic segmentation in the mutual fund market. We examine how local competition affects the level of...

In this paper I test the hypothesis that trading activity in the stock and bond markets contains important marketwide pricing information. Using a large sample of actively tradedstocks and U.S. Treasury securities, I find that aggregate order imbalances play a strong role in explaining...