Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these...

We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ratio, etc.) of developed markets for the...