Yong Chen, Sophia Zhengzi Li, Yushan Tang, and Guofu Zhou ♦ We identify a parsimonious set of factors from a large set of candidates for explaining hedge fund returns, ranging from equity market, anomaly and trend-following factors to macroeconomic factors.…
Tarun Chordia, Tse-Chun Lin, and Vincent Xiang ♦ This paper provides the first comprehensive evidence that the return extrapolation behavior of investors leads to biases in the expectations of volatility. Lower past returns are associated with higher expectations of volatility…
Wei Jiao, G. Andrew Karolyi, and David Ng ♦ International equity funds attain superior subsequent performance by actively changing their country asset allocations, which we capture through a new measure of active country rotation intensity. Across funds, those that rotate…
Leonce Bargeron, Christopher P. Clifford, and Tian Qiu ♦ Filing agents, intermediaries used by 80% of U.S. firms, are associated with leakage of information that affects stock prices. Prior to the public release of a securities filing, most firms outsource…
Yashar H. Barardehi, Dan Bernhardt, Zhi Da, and Mitch Warachka ♦ Order flow segmentation prevents direct interactions between U.S. retail and institutional investors. Using the imbalance in observable internalized retail trades, we show wholesalers use retail flow to provide liquidity to…
Ping Guo, Guifeng Shi, and Gary Gang Tian ♦ This study investigates how political patronage influences local firms’ investment decisions in China, focusing on changes in patronage ties resulting from provincial leadership turnover. By examining prefectural officials with connections to…
