Cash flows between investors and funds are both cause and effect in a complex web of
economic decisions. Among the issues at stake are the prospects and fees of the funds, the …

We examine “reaching for yield” in US corporate bond mutual funds. We define reaching for
yield as tilting portfolios toward bonds with yields higher than the benchmarks. We find that …

Recent work suggests that sentiment traders shift from safer to more speculative stocks
when sentiment increases. Exploiting these cross‐sectional patterns and changes in share …

The beta anomaly, negative (positive) alpha on stocks with high (low) beta, arises from
beta's positive correlation with idiosyncratic volatility (IVOL). The relation between IVOL and …

Participants in defined contribution (DC) retirement plans rarely adjust their portfolio
allocations, suggesting that their investment choices and consequent money flows are sticky …

We model asset management as a continuum between active and passive: managers can
deviate from benchmark indices to exploit noise trader–induced distortions, but agency …

Prior theory suggests that time variation in the degree to which leverage constraints bind
affects the pricing kernel. We propose a measure for this leverage constraint tightness by …

We analyze changes to mutual funds' self-declared benchmarks using hand-collected data
from funds' prospectuses. Under existing rules, funds can freely change their benchmark …

High-risk stocks do not have higher returns than low-risk stocks in all major stock markets.
This paper provides a comprehensive overview of this low-risk effect, from the earliest asset …

ABSTRACT Between 1934 and 1974, the Federal Reserve changed the initial margin
requirement for the US stock market 22 times. I use this variation to show that investors' …