We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional Lévy random bridge over a random point field, our framework relates the discovery of relevant new information sources to jumps in...

This paper computes Herfindahl-Hirschman ownership dispersion from EPFR holdings data and documents that stocks scoring poorly on this measure tend to be more volatile than, and underperform, stocks scoring well

Unlike the government securities purchases of central banks, purchases of private securities can have disproportionate effects. These effects might create additional buying pressure on some securities, which could be the source of an additional premium. Therefore, we explore whether the ETF...

This paper studies the asymmetric price impacts mutual fund and ETF flows have on individual stocks in demand-based asset pricing. Our analysis finds that the price impacts of their buying differ significantly from the impact of selling by these pooled investment structures. At the extreme,...

We introduce a ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods, without specifying a fixed benchmark method. The period including the recent credit crisis offers a unique laboratory for the...