Online Appendix for 'Common Fund Flows: Flow Hedging and Factor Pricing'

48 Pages Posted: 19 Nov 2020 Last revised: 1 Jun 2021

See all articles by Winston Dou

Winston Dou

The Wharton School, University of Pennsylvania

Leonid Kogan

Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER)

Wei Wu

Texas A&M University

Date Written: May 31, 2021

Abstract

This is the supplemental material to the paper titled "Common Fund Flows: Flow Hedging and Factor Pricing." It includes many useful and interesting additional empirical results. It also includes the detailed proofs for the theoretical results.

Keywords: Mutual fund flows, Factor models, Heterogeneous agents, Financial intermediaries, Price impact, Uncertainty.

JEL Classification: G11, G12, G23

Suggested Citation

Dou, Winston and Kogan, Leonid and Wu, Wei, Online Appendix for 'Common Fund Flows: Flow Hedging and Factor Pricing' (May 31, 2021). Available at SSRN: https://ssrn.com/abstract=3708974 or http://dx.doi.org/10.2139/ssrn.3708974

Winston Dou (Contact Author)

The Wharton School, University of Pennsylvania ( email )

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Leonid Kogan

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

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Wei Wu

Texas A&M University ( email )

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