This paper uses the information in time-series behavior of conditional correlation between Fama-French factor portfolios and state variables that define the investment opportunity set, vis-a-vis the contemporaneous phase of the business cycle and/or the expectations about the near term business...

Individual investors trade excessively, sell winners too soon, and overweight stocks with lottery features and low expected returns. This paper proposes and models a financial innovation, called stock loan lotteries, that improves individual investor performance. An individual investor signs a...

Prior literature demonstrates that an increased trading activity of a fi rm's stock is associated with abnormal future stock returns (the high-volume return premium) and interprets this phenomenon as evidence that increased visibility generates reductions in cost of capital. Motivated by this...