Market Power in the Securities Lending Market
The delegated OTC nature of the securities lending market plays a critical role in shaping market participants’ payoffs and valuations.
with Ron Kaniel and Christian C. Opp
Volatility Timing Using ETF Options: Evidence from Hedge Funds
ETF options offer a unique device for hedge funds to exploit their information about volatilities in different asset markets.
with George Aragon and Zhen Shi
Mutual Fund Flows and Investor Disappointment
The fund flows are negatively related to fund performance approximately six to ten years prior, reflecting investor disappointment.
with Hendrik Bessembinder
Michael J. Cooper
Jinming Xue and Feng Zhang
Machine-Learning about ESG Preferences: Evidence from Fund Flows
We build a broad dataset of portfolio ESG scores for mutual funds and use machine-learning to generate flow forecasts by ESG scores.
with George O. Aragon
Hedge Fund Option Usage and Skewness Risk Premium
Hedge fund option usage affects skewness risk premium in the cross-section of stock options, consistent with a price-pressure channel.
with Shuaiqi Li
Do Smartphones Transform Information Transmission in Financial Markets? Evidence from StockTwits
Tweets posted via smartphones predict next-day returns and news, suggesting smartphones facilitate rapid access to information.
with Yang Gao
Executive Pay-for-Performance Sensitivity and Stochastic Volatility
PPS decreases in both short- and long-run volatilities, but only the short-run volatility affects executives’ incentive.
with Ping Liu and Yan Liu
Tomorrow Is Another Day: Stocks Overweighted by Active Mutual Funds Predict the Next-Day Market
When stocks overweighted by active mutual funds outperform other stocks, the S&P 500 tends to do well the next day, and vice-versa.
with Yixin Chen and Randolph B. Cohen
Do Institutional Investors Affect News Coverage? The Role of Media Ownership
A media outlet issues more positive news coverage of a firm when they have common institutional investors.
with Zhao Jin and Yucheng (John) Yang