Several measures of credit-market booms are known to precede downturns in real economic activity. We offer an early indicator for all known measures of credit booms. Our measure is based on intra-family flow shifts towards high-yield bond mutual funds. It predicts indicators such as growth in...

We explore the trading decisions of equity mutual funds during ten periods of extreme market uncertainty. We find that mutual funds reduced their aggregate holdings of illiquid stocks. Exploring the drivers behind this result reveals that this is mainly driven by larger withdrawals from funds...

Stock liquidity has improved over the recent four decades. This improvement was accompanied by a dramatic increase in trading activity. The net effect on the liquidity premium is ambiguous. We show that the characteristic liquidity premium of U.S. stocks has significantly declined over the past...

We investigate a proxy for monthly shifts between bond funds and equity funds in the USA: aggregate net exchanges of equity funds. This measure (which is negatively related to changes in VIX) is positively contemporaneously correlated with aggregate stock market excess returns: One standard...

We provide new empirical evidence on the implications of public information arrival for investors' beliefs, using a daily measure of dispersion (uncertainty) of beliefs about firm underlying return distribution. Consistent with convergence in beliefs (less disagreement), the arrival of public...

We provide new empirical evidence on investors' firm-level trading behavior in response to daily changes in stock ambiguity-Knightian uncertainty. The effect of ambiguity is distinct from and contrasts with the well-documented effect of risk, and shares a similar economic significance. An...

Using a unique database of aggregate daily flows to equity mutual funds in Israel, we find strong support for the quot;temporary price pressure hypothesisquot; regarding mutual fund flows: Mutual fund flows create temporary price pressure that is subsequently corrected. We find that flows are...

We construct a new measure that captures the disparity between the market reaction to earnings information and the earnings surprise ("Return-Earnings Gap", "REG"). High REG scores positively predict analyst forecast errors and firm mispricing (overvaluation) scores, especially for build-up...

We develop novel machine learning algorithms to construct metrics of visual readability in firms' annual reports. Firms increase their use of imagery content when there is more news coverage and greater asset growth during the year. Consistent with improvements in the information environment, an...