Fund Flows, Liquidity, and Asset Prices

This paper was previously circulated with the title “Cross-Sectional Asset Pricing with Fund Flow and Liquidity Risk.” The author thanks Ralph Koijen, Anna Pavlova, Francisco Gomes, and Joao Cocco for generous support and guidance and Lukas Schmid (the editor), an anonymous associate editor, two anonymous referees, Alexandru Barbu, Simcha Barkai, Svetlana Bryzgalova, Jaewon Choi, Nuno Clara, Carole Comerton-Forde, James Dow, Roger Edelen, Mohammad Ghaderi, Alessandro Graniero, Nicholas Hirschey, Marcin Kacperczyk, Dong Lou, Narayan Naik, Oliver Randall, Helene Rey, Arkodipta Sarkar, Stephen Schaefer, Henri Servaes, Varun Sharma, Taisiya Sikorskaya, Clemens Sialm, Vania Stavrakeva, Mikhail Tirskikh, Russ Wermers, Zhuo Zhong, and seminar participants at the Bank of Canada, Chinese University of Hong Kong, Econometric Society European Winter 2020, Eastern Finance Association 2021, Federal Reserve Bank Board of Governors, Financial Research Network 2019, Financial Management Association European 2021, Korea University, London Business School, Monash University, Schroder Investment Management, University of Melbourne, University of Sydney, Western Finance Association 2020, and Young Scholars Finance Consortium 2019 at Texas A&M for valuable comments.