This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses intraday data, sampled at 5-minute frequency, for four currencies for the period 2005-2010. Results indicate that currency jumps are a good proxy for news arrival. We find 9-15% of currency jumps can be directly linked to U.S. announcements. Notably, news can explain 22-56% of the 5-minute jump returns, and there is evidence that better-than-expected news about the U.S. economy has a negative impact on currency jumps. Cojump statistics suggest close dependencies among European currencies, especially between the euro and the Swiss franc. We also provide evidence on the uncertainty resolution to news.

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We examine the relation between mutual fund performance and gross flows for a large sample of actively managed U.S. mutual funds. Unlike previous studies that have only examined periods of generally increasing net flows, our sample includes periods of both increasing and decreasing net flows. We find that outflows are related to performance, with investors withdrawing money from poor performers. We also find that outflows and inflows respond