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 …

We study how noise trading flows impact the cross-section of asset prices in a market where sophisticated investors enforce no-arbitrage. In our model, individual asset flows, aggregated at the factor level, drive fluctuations in factor risk premia, …

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 …