We present a model with leverage and margin constraints that vary across investors and time.
We find evidence consistent with each of the model's five central predictions: (1) Because …

We use mutual fund flows as a measure of individual investor sentiment for different stocks,
and find that high sentiment predicts low future returns. Fund flows are dumb money–by …

This paper finds evidence of return predictability across economically linked firms. We test the
hypothesis that in the presence of investors subject to attention constraints, stock prices do …

This paper uses social networks to identify information transfer in security markets. We focus
on connections between mutual fund managers and corporate board members via shared …

This paper tests whether the “disposition effect,” that is the tendency of investors to ride losses
and realize gains, induces “underreaction” to news, leading to return predictability. I use …

We define quality as characteristics that investors should be willing to pay a higher price for.
Theoretically, we provide a tractable valuation model that shows how stock prices should …

We study the impact of social networks on agents’ ability to gather superior information about
firms. Exploiting novel data on the educational background of sell‐side analysts and senior …

The Fama–French method updates value once a year, on June 30, using book and price as
of the prior December 31. It holds those values (and portfolio holdings) constant for 12 …

The authors show that leverage aversion changes the predictions of modern portfolio theory:
Safer assets must offer higher risk-adjusted returns than riskier assets. Consuming the high …

Using nearly a trillion dollars of live trading data from a large institutional money manager
across 19 developed equity markets over the period 1998 to 2011, we measure the real-world …