This paper extends the standard feedback trading model of Sentana and Wadhwani (1992) by allowing the demand for shares by feedback traders to depend on sentiment. Our empirical analysis of three largest Exchange-Traded Fund (ETF) contracts in the U.S. suggests that there is a significant...

A new estimator of bid-ask spreads is presented. When the trade direction is known, any estimate of the spread is associated with a unique series of conjectural mid-prices derived by adjusting the observed transaction price by half the estimated spread. It is shown that the covariance of...

This paper investigates the influence of sentimental noise traders on the security price adjustment. We use De Long et al.'s (1990) definition of noise traders, who falsely believe they have special information, to extend Easley and O'Hara's (1992) seminal model. Our extended model demonstrates...

The purpose of this study is to examine whether investor sentiment influences the stock price reaction to football matches results, giving some contribute to the behaviour finance, or if investors react in a rational way, giving evidence of standard finance. To proxy for investor sentiment, we...

In this paper, we investigate the question whether the changing beliefs in different countries may be driven by common investors' sentiment. We examine this issue by investigating the relationship between the degree of switching in two major stock markets, the USA and the UK, for a long period...

We analyse the dependence of stock return cross-correlations on the data sampling frequency, known as the Epps effect: for high-resolution data the cross-correlations are significantly smaller than their asymptotic value as observed for daily data. The former description implies that a changing...