Mutual funds with persistent demand for a priced factor must rebalance their portfolios as stock characteristics drift over time. We document this behavior, which we term *factor rebalancing*, and study its implications for asset prices. Focusing on …

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 …

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 …