This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models—the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negatively correlated with the changes in the fraction of middle-aged people (45 to 64). Changes in population age structure also add significant explanatory power to equity premium regressions. The population structure adds to the predictive power of regressions involving the investment/savings rate for the U.S. economy. Finally, international demographic changes have some power in explaining international capital flows.

In the United States, momentum portfolios formed from 12 to 7 months prior to the current month deliver higher future returns than momentum portfolios formed from 6 to 2 months prior, suggesting an “echo” in returns. In 37 countries excluding the United States, there is no robust evidence of such an echo. In portfolios that combine securities in developed and emerging markets, or across three major geographic regions (Americas excluding United States, Asia, and Europe), there is also no evidence of an echo. Any echo in the United States appears to be driven largely by a carryover of short-term reversals from month − 2.

Closing auctions account for about 10% of daily trading volume and offer a potentially attractive alternative to trading in the continuous market. We find that the price impact is lower in closing auctions than in the continuous market for all stocks except Nasdaq microcaps. Opening auctions are illiquid. We compute trading costs for anomalies based strategies by strategically placing orders in the lower cost mechanism. The annualized trading costs for long/short portfolios based on financial ratios such as profitability and investment range from 17 to 41 basis points (bps). Excluding microcaps, these costs fall to 9–21 bps in closing auctions.

Models that examine investors’ motivations to trade often make opposite predictions about the relation between trading decisions and past returns. We find that, in the aggregate, both buyer- and seller-initiated trades increase with past returns. The difference between buyer- and seller-initiated trades is negatively related to short horizon returns but positively related to returns over longer horizons. Tax-loss-related seller-initiated trades in December and January are accompanied by increased buyer-initiated trades. Past returns significantly affect trading decisions, and these findings are consistent with a number of different models of trading behavior.

Investment managers connected to plans sponsors are more likely to be hired than not-connected managers. The magnitude of the selection effect is comparable to that of prior performance. Ex post, connections do not result in higher post-hiring returns. Relationships are thus conducive to asset gathering by investment managers but do not generate commensurate pecuniary benefits for plan sponsors.

We document the causal effects of single-name options trading on the absolute level of information content of prices (stock price informativeness) by exploiting the Penny Pilot Program as an exogenous shock to options trading volume. We find that options trading increases underlying stock price informativeness and information acquisition by both option and stock investors, consistent with the framework of Goldstein and Yang (2015). The findings are driven by firms for which options are more important sources of information and firms with more efficiently priced options. Options market introduction in a sample of 25 other economies also leads to higher price informativeness.

Corporate bond returns exhibit predictability in a manner consistent with efficient pricing. Many equity characteristics, such as accruals, standardized unexpected earnings, and idiosyncratic volatility, do not impact bond returns. Profitability and asset growth are negatively related to corporate bond returns. Because firms that are profitable or have high asset growth (and hence more collateral) should be less risky, with lower required returns, the evidence accords with the risk–reward paradigm. Past equity returns are positively related to bond returns, indicating that equities lead bonds. Cross-sectional bond return predictors generally do not provide materially high Sharpe ratios after accounting for trading costs.

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