We develop a return variance decomposition model to distinguish the roles of different types
of information and noise in stock price movements. We disentangle four components: noise …

We examine institutional investors' responses to corporate disclosure quality conditional on
market states. Transient institutions react more positively to corporate disclosure quality …

I find that approximately 30% of price fluctuations in the Fama-French size and value factors
are nonfundamental price pressures driven by correlated fund flows, which generate price …

Liquidity trading following mutual fund outflows creates a potentially powerful empirical
setting in which stock price variation is unrelated to changes in firm fundamentals …

Abstract The May 2010 Flash Crash and August 2007 Quant Meltdown raised concerns
about the impact of quantitative investment strategies on market instability. We examine …

This study documents the unintended effect of institutional cross-ownership on corporate risk-
taking in a transitional economy. Theoretically, cross-owners can increase their influence in …

Abstract In July 2020, the Chilean Congress made an unexpected modification to the
Constitution, allowing workers to take their mandatory pension savings for the first time since …

We examine quantitative investors' ability to navigate a common and occasionally material
change to the financial data generating process: new accounting standards. Returns of …

Two alternative models of fire sales that yield the same aggregate predictions have different
normative implications. If fire sales result from marginal misallocation, a pecuniary …

Equity mutual fund flows are commonly employed to measure stock price fragility-a stock's
exposure to non-fundamental demand risk. However, this approach may be biased by …