We propose a new model of expected stock returns that incorporates quantity information from market trading activities into the factor pricing framework. We posit that the expected return of a stock is determined by not only its factor risk exposures …

When a mutual fund has persistent demand for a priced factor, the fund needs to rebalance its portfolio’s exposure to that factor as stock characteristics change over time. We establish this behavior of “factor rebalancing” and examine its …

Delegation bears an intrinsic form of uncertainty. Investors hire managers for their superior models of asset markets, but delegation outcome is uncertain precisely because managers' model is unknown to investors. We model investors' delegation …