A variety of timing strategies shown to generate alpha and high Sharpe ratios at the monthly horizon exhibit substantially deteriorated performance at longer investment horizons. The effect is large: multi-factor alphas are more than halved going from one-month to 10-year returns, and factors that exploit time-series predictability drive them to zero. I argue that such return dynamics reflect compensation for exposure to shocks that are particularly risky from a long-horizon investor’s perspective. I illustrate the idea by showing that seasonality in the volatility of price-of-risk and expected-cash-flow shocks generates seemingly profitable timing strategies.

Retail investors trade hard-to-value stocks. We document a large and persistent spread in the stock-level intensity of retail trading, even allowing for known biases in the attribution of retail trades. Stocks with a high share of retail-initiated trades exhibit higher shares of intangible capital, longer duration cash flows, and a higher likelihood of being mispriced. Consistent with retail-favored stocks being harder to value, we document that these stocks are less sensitive to earnings news and more sensitive to retail order imbalances. Such segmentation of trading intensity arises in a model where informed investors face a trade-off between the benefits of hiding their trades within noisy retail investor order flow and the costs of producing information about the fundamentals of hard-to-value stocks.

We study the stock market effects of the arrival of the three rounds of “stimulus checks” to U.S. taxpayers and the single round of direct payments to Hong Kong citizens. The first two rounds of U.S. checks appear to have increased retail buying and share prices of retail-dominated portfolios. The Hong Kong payments increased overall turnover and share prices on the Hong Kong Stock Exchange. We cannot rule out that these price effects were permanent. The findings raise novel questions about the role of fiscal stimulus in the stock market.

We document that the convenience yield of U.S. Treasuries exhibits properties consistent with a hedging perspective of safe assets, that is, Treasuries are valued highly if they appreciate with poor aggregate shocks. In particular, the convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock market returns is high. A decomposition of the aggregate stock‐bond covariance into terms corresponding to the convenience yield, the frictionless risk‐free rate, and default risk reveals that the covariance between stock returns and the convenience yield itself drives the effect in a substantive capacity.

The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase (“repo”) market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo runs, because detailed data on repo quantities is not available. We provide quantity evidence of the run on repo through an examination of the collateral brought to emergency liquidity facilities of the Federal Reserve. We show that the magnitude of repo discounts (“haircuts”) on specific collateral is related to the likelihood of that collateral being brought to Fed facilities.