We find that disagreement helps explain well-known ten cross-sectional financial anomalies. Specifically, we first show that the underperformance of short legs of the anomalies is most pronounced among high disagreement stocks. This results in stronger financial anomalies among high disagreement...

This paper focuses on an unexplored dimension of fund managers' timing ability: market-wide tail risk implied by information in options markets. We investigate whether hedge fund managers can strategically time market tail risk implied by options through adjusting their portfolios' market...

We attempt to explain post-earnings announcement drift using the newly documented refinement of the disposition effect, which is the V-shaped net selling propensity (VNSP). Using a novel data set containing stock-level information on the trading activities of different types of investors, we...

The existence of a “smart money” effect has been debated since Gruber (1996) and Zheng (1999) suggested investors select mutual funds that subsequently perform well. Using hand-collected data on monthly inflows and outflows, we examine the relation between fund flows and subsequent fund...

The first generation quantitative bankruptcy prediction models are not designed to accommodate the time dimension. To overcome this limitation, various dynamic models based on survival analysis are developed recently. Among them, Cox (1972)'s proportional hazard model has been widely used in...