We investigate the effects of short sale constraints on asset mispricing in the corporate bond market. Consistent with Miller (1977)'s theory that short sale constraints can lead to asset overpricing, we document a significant positive relation between changes in ownership breadth (a proxy for...

We investigate the short-term price impact of asset fire sales by corporate bond exchange-traded funds (ETFs) during the COVID-19 crisis, based on daily ETF holdings and flows data. We document that ETFs’ fire sales generate significantly greater price impact on their underlying corporate...

Using a novel return-based method to detect allocations of corporate bond offerings, which are underpriced on average, we find that mutual funds most active in the primary market generate significant alpha and outperform those that are less active. Our evidence suggests that underwriters direct...

This paper shows that intensity of high-frequency trading (HFT) in stocks held by mutual funds is negatively related to fund performance. This negative relation can largely be explained by the illiquidity premium: HFT-intensive stocks provide lower returns because the majority of these stocks...

This paper provides a comprehensive examination of money flows in corporate bond funds which, though less researched, represent an important setting to study investor behavior. Based on a large sample of corporate bond funds over 1991–2014, we first show that flows are sensitive to both fund...

Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one negative externality of indexing: the effect on efficiency of stock prices. Based on a...