This paper proposes a robust one-pass estimator that is easy to code: Justified by the market-model itself and using a prior that market-betas should not be less than -2 and more than +4, the market-model is run on daily stock rates of return that have first been winsorized at -2 and +4 times...

Small retail investors at the Robinhood (RH) retail brokerage firm from 2018 to 2020 shared with Finnish and larger US investors from the 1990s a preference for extreme recent winners and losers. Interestingly, this preference held even for the overall stock market during the March-2020 Covid...

This paper shows that managers fail to readjust their capital structure in response to external stock returns. Thus, the typical firm's capital structure is not caused by attempts to time the market, by attempts to minimize taxes or bankruptcy costs, or by any other attempts at firm-value...

Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...

Shared socioeconomic pathways (SSPs) are perhaps the most influential economic policy analyses today. My paper evaluates their development, natural associations, logical consequences, and economic identification. All five SSP baseline scenarios are predicting scenarios that historical...

Psychological evidence indicates that decision quality declines after an extensive session of decision-making, a phenomenon known as decision fatigue. We study whether decision fatigue affects analysts' judgments. Analysts cover multiple firms and often issue several forecasts in a single day....

Ambiguity aversion alone does not explain the market nonparticipation puzzle. We show that in a rational expectations equilibrium model with a fund offering the risk-adjusted market portfolio (RAMP), ambiguity averse investors hold the fund and an information-based portfolio, and thus...

We test how market overvaluation affects corporate innovation. Estimated stock overvaluation is very strongly associated with R&D, innovative output, and measures of innovative novelty, originality, and scope. R&D is much more sensitive than capital investment to overvaluation. Misvaluation...

An information cascade is a situation in which an agent who observes others chooses the same action irrespective of the value of the agent's private information signal. Theoretical models have found that cascades result in poor information aggregation, inaccurate decisions, and fragility of mass...

This paper compares investor sentiment measures based on consumer confidence surveys with measures extracted from the closed-end fund discount (CEFD). Our evidence suggests that these two kinds of sentiment measures do not correlate well with one another. For a short 2 - 4 year period in which...