Examining a shock to the salience of the sustainability of the US mutual fund market, we
present causal evidence that investors marketwide value sustainability: being categorized …

We provide data and code that successfully reproduces nearly all cross-sectional stock
return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by …

This paper employs Swedish data on households' stock holdings to investigate how
consumption responds to changes in stock market returns. We instrument the actual capital …

Are anomalies strongest when investor sentiment or limits of arbitrage are considered to be
greatest? We empirically explore these theoretically deducted predictions. We first identify …

I document a new stylized fact about how investors trade assets: individuals are more likely
to sell the extreme winning and extreme losing positions in their portfolio (“the rank effect”) …

Many individual investors, mutual funds, and institutions trade as if dividends and capital
gains are disconnected attributes, not fully appreciating that dividends result in price …

We demonstrate that predictable uninformed cash flows forecast market and individual stock
returns. Buying pressure from dividend payments (announced weeks prior) predicts higher …

Using data on individual portfolio holdings and on mutual fund flows, we find that low
interest rates lead to significantly higher demand for income‐generating assets such as high …

We review the literature on recurring firm events and predictable returns. Many common firm
events recur on a predictable basis, such as earnings and dividends, among others. These …

We study whether firm and macroeconomic announcements that convey systematic
information generate a return premium for firms that experience information spillovers. We …