Publications

The delegated OTC nature of the securities lending market plays a critical role in shaping market participants’ payoffs and valuations.
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ETF options offer a unique device for hedge funds to exploit their information about volatilities in different asset markets.
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The fund flows are negatively related to fund performance approximately six to ten years prior, reflecting investor disappointment.
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We build a broad dataset of portfolio ESG scores for mutual funds and use machine-learning to generate flow forecasts by ESG scores.
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Hedge fund option usage affects skewness risk premium in the cross-section of stock options, consistent with a price-pressure channel.
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Tweets posted via smartphones predict next-day returns and news, suggesting smartphones facilitate rapid access to information.
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PPS decreases in both short- and long-run volatilities, but only the short-run volatility affects executives’ incentive.
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When stocks overweighted by active mutual funds outperform other stocks, the S&P 500 tends to do well the next day, and vice-versa.
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A media outlet issues more positive news coverage of a firm when they have common institutional investors.
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