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Flow-Based Asset Pricing: A Factor Framework of Cross-sectional Price Impacts

We study how noisy flows impact the prices of the cross-section of assets, particularly through the interaction between the factor structure of flows and the assets' risk structure. In our new framework, systematic flows into systematic risk factors …

Factor Demand and Factor Returns

We propose a novel source of predictable price pressure resulting from mutual funds’ factor rebalancing behavior. When a fund’s factor demand is persistent, it needs to rebalance the portfolio’s factor exposure, leading to predictable trading at the …

Delegation Uncertainty

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 …