Open-end equity funds provide a diversified equity positions with little direct cost to investors
for liquidity. This study documents a statistically significant indirect cost in the form of a …

We study the relation between market returns and aggregate flow into US equity funds, using
daily flow data. The concurrent daily relation is positive. Our tests show that this concurrent …

We examine institutional demand prior to well-known stock return anomalies and find that
institutions have a strong tendency to buy stocks classified as overvalued (short leg of anomaly…

This study develops a model in which rational issuers maximize the expected surplus from
going public by choosing an offer price that weighs the benefit of higher proceeds if the offer …

Berk and Green (2004) argue that investment inflow at high-performing mutual funds eliminates
return persistence because fund managers face diminishing returns to scale. Our study …

This study provides empirical evidence on the role of disclosure in resolving agency conflicts
in delegated investment management. For certain expenditures, fund managers have …

Economic distortions can arise when financial claims trade at prices set by an intermediary
rather than direct negotiation between principals. We demonstrate the problem in a specific …

… Roger M. Edelen is assistant professor of management at the University of California,
Davis. Alan J. Marcus is professor of finance and Hassan Tehranian is the Griffith Family …

It is well known that a stock that is added to the S&P 500 index experiences on average a
positive abnormal return from the announcement through the close on the change day and …

To minimize tracking error, S&P 500 index funds often follow inflexible, nearly exact replication
strategies. This inflexibility causes stocks with relatively low floating supply to experience …