Essays in Finance.

Summary This thesis consists of three papers. The first two papers study information flows in financial markets, and the third paper studies how mutual fund families can use relatively discretionary revenue streams to channel profits to specific funds within the family. The first paper, co-authored with Daniel Schmidt, studies price and liquidity spillovers in financial markets. Using a quasi-natural experiment, we show that investors observe stock prices to extract signals, and use them to make trades. In the second paper, I show that investment funds acquire information through the securities lending market. I show that active mutual funds sell stocks borrowed from them by short sellers, while index funds-which are prohibited from trading-do not. On the other hand, index funds are able to charge higher stock lending fees to borrowers. I attribute this to the fact that they are better lenders in the sense that they cannot use the information they get to trade, and thus profit from the information of short sellers. The third paper, also with Daniel Schmidt, studies the policies of fund families in allocating securities lending and lending income among member funds. We show that fund families deviate from the claimed fair allocation, directing more securities lending and loan profits to index funds. This finding is consistent with funds substituting lower management fees with higher securities lending income.