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, …

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 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 …