This paper reports evidence of intraday return predictability, consisting of both intraday momentum and reversal, in the cryptocurrency market. Using high-frequency price data on Bitcoin from March 3, 2013, to May 31, 2020, it shows that the patterns of intraday return predictability change in...

While previous papers mostly used the U.S. and U.K. data, we applied an international dataset to examine the flow–performance relationship of international equity and bond mutual funds. By incorporating a novel measure of asset managers’ market timing ability, drawn from the logic of...

This study investigates style investing of Islamic equity funds (IEFs) particularly through a portfolio holdings lens. We examine an unbiased survivorship sample of 224 active portfolios domiciled in 22 countries for the period 2004 to 2018, to shed new light on style concentration and change in...

Using individual-level data of antidepressant prescriptions filled and the local bias phenomenon of investors in the United States, we study the effects of stock declines on the psychological health of investors and find that a one standard deviation decrease in local stock returns increases...

While investors demand a premium to hold stocks with high illiquidity level and risk, they underreact to stock-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) market liquidity model, this paper: (i) reports a significant relationship between market liquidity...

We examine article, author and firm characteristics of investment articles published by non-professional analysts on the social media investment platform Seeking Alpha from 2006 to 2020 leading to visible market value changes. We show that there are differences between articles followed by stock...

Firms with different environmental, social, and governance (ESG) scores can have different costs of capital, either because ESG scores help forecast future cash flows – the fundamental channel – or because investors have non-pecuniary preferences for high-ESG-score assets – the preference...

Recent empirical studies show that ESG sentiment, the attitude of investors toward a company’s ESG performance, is a major factor that affects stock performance. While investing in ESG could bring potential risk deduction benefits, changing ESG sentiments in the market will lead to additional...

Deciding how much to save for retirement can be complicated. Drawing on a field experiment conducted with the Department of Defense, we study whether such complexity depresses participation in an employer-sponsored retirement saving plan. We find that simplifying one dimension of the enrollment...

A wealth of evidence shows that individuals are biased and firms can often exploit consumers' behavioral biases in their contract designs. In this paper, we study how vulnerable biased individuals are to their own behavioral biases in market equilibrium, and focus on the role of risk aversion...