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 …

… As a starting point, we examine the potential role of investor flow (Edelen, 1999). Evidence
suggests that the effects of correlated investor flow on both institutional trading and security …

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 …

… Following Edelen (1999) we obtain monthly gross inflows and outflows for approximately 50…
These sensitivities are very close to those of Edelen (1999) who finds a flow-trade sensitivity …

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 …

… market return is less than the riskfree rate (rM < rf), is preceded by a prediction of a bear
market, and call PBull the probability that a bull market (rM > rf) is preceded by a prediction of a …

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 …