Equity Style Returns and Institutional Investor Flows

This paper explores institutional investor trades in stocks grouped by style and the relationship of these trades with equity market returns. It aggregates transactions drawn from a large universe of approximately $6 trillion of institutional funds. To analyze style behavior, we assign equities to deciles in each of five style dimensions: size, value/growth, cyclical/defensive, sector, and country. We find, first, strong evidence that investors organize and trade stocks across style-driven lines. This appears true for groupings both strongly and weakly related to fundamentals (e.g., industry or country groupings versus size or value/growth deciles). Second, the positive linkage between flows and returns emerges at daily frequencies, yet becomes even more important at lower frequencies. We show that quarterly decile flows and returns are even more strongly positively correlated than are daily flows and returns. However, as the horizon increases beyond a year, we find that the flow/return correlation declines. Third, style flows and returns are important components of individual stock expected returns. We find that nearby style inflows and returns positively forecast future returns while distant style inflows and returns forecast negatively. Fourth, we find strong correlations between style flows and temporary components of return. This suggests that behavioral theories may play a role in explaining the popularity and price impact of flow-related trading.

Optimal Photon Generation from Spontaneous Raman Processes in Cold Atoms

Spontaneous Raman processes in cold atoms have been widely used in the past decade for generating single photons. Here, we present a method to optimize their efficiencies for given atomic coherences and optical depths. We give a simple and complete recipe that can be used in present-day experiments, attaining near-optimal single photon emission while preserving the photon purity.Comment: 6+6 pages, 3 figures, 1 tabl

How Surprising are Returns in 2008? A Review of Hedge Fund Risks

Listed as Hedge Fund Insights on BNP Paribus Hedge Fund Centre website http://hfc.smu.edu.sg/research/</p