Chapter 1 explores the recent failure of covered interest parity (CIP) in tranquil markets. By focussing on the term structure of CIP deviations, the chapter shows that imbalances in the demand for and supply of FX hedges exert first order effects on the level of CIP deviations. Fluctuations in FX hedging demand move forward exchange rates out of line with CIP because financial institutions charge premia for provisioning for risks associated with FX derivative exposure. The chapter highlights a fundamental change in the relationship between prices and quantities in the FX derivatives market. Chapter 2 studies the impact of agency on asset prices. The chapter presents a model in which benchmarked money managers tilt their portfolios to low volatility stocks in periods of high market volatility. The tilt by a large segment of the market means that low volatility stocks appear expensive and vice versa for high volatility stocks. The chapter shows that benchmarking constraints result in a steeper security market line (SML) in periods of high market volatility than implied by the Capital Asset Pricing Model (CAPM), that mutual (hedge) fund betas fall (rise) with rising market volatility, and that betas become more dispersed in stressed markets. Chapter 3 explores whether one can use holdings data from the Securities and Exchange Commission (SEC)'s 13F filings to systematically extract hedge fund alpha. Using proprietary data on hedge fund holdings to identify a subset of managers known as 'Fundamental Equity Hedge Funds' (FEHF) that tend to have a longer-term view on stock picks, the chapter shows that portfolio construction in this context must take the 'how' and the 'who' into consideration. The chapter proposes a long-only trading strategy based on conviction and consensus of FEHFs that delivers a Sharpe ratio of 0.86 and a significant six-factor alpha of 0.37% per month.