We connect stocks through their common active mutual fund owners. We show that the degree of shared ownership forecasts cross-sectional variation in return correlation, controlling for exposure to systematic return factors, style and sector similarity, and many other pair characteristics. We argue that shared ownership causes this excess comovement based on evidence from a natural experiment-the 2003 mutual fund trading scandal. These results motivate a novel cross-stock-reversal trading strategy exploiting information contained in ownership connections. We show that long-short hedge fund index returns covary negatively with this strategy, suggesting these funds may exacerbate this excess comovement. Barberis and Shleifer (2003) and Barberis, Shleifer, and Wurgler (2005) argue that institutional features may play an important role in the movement of stocks' discount rates, causing returns to comove above and beyond the comovement implied by their fundamentals. In this paper, we propose a new approach to document that type of institutional-based comovement. Based on mounting evidence since Coval and Stafford (2007) that mutual fund flows result in price pressure, we focus on connecting stocks through active mutual fund ownership. Specifically, we forecast cross-sectional variation in return correlation for stock pairs using the degree of common ownership by active mutual funds. Our bottom-up approach allows us to measure institutional-driven comove-

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Predicting and quantifying alternative splice forms

SPACE is an algorithm developed to predict and quantify the pre-mRNA splicing structure of transcripts using exon and 'exon plus junction' microarray data.

No abstract