We propose a measure of dispersion in fund managers beliefs about future stock returns based on their active holdings, i.e., deviations from benchmarks. We fi nd that both the level of and the change in dispersion positively predict subsequent stock returns on a risk-adjusted basis. This effect...

The paper builds an econometric model for estimating the volatility of unobserved efficient price change using tick by tick data. We model the joint density of the marked point process of duration and tick by tick returns within an ACD-GARCH framework. We first model the duration variable as an...

Interest rates dived into uncharted territories for an extended period after the financial crisis. What is the impact on investor behavior and asset prices? We find that when interest rates fall, flows into income-oriented equity funds increase, with higher dividend-yielding funds attracting...

This paper reviews the Farber, Rothstein and Valletta (2015)'s study on the relationship between Unemployment Insurance (UI) Benefit and Unemployment Reduction in the United States. Following their research, this paper considers the individual's decision on labour supply based on Neoclassical...