Gande and Lewis (2009) show class-action lawsuit filings are anticipated by investors. In this paper, we examine short-selling activity surrounding lawsuit filings and find that short activity surges in the days before the filing. However, short-selling activity remains significantly high until...

En este estudio se estima la probabilidad de transacciones informadas comportamiento y sus efectos en los rendimientos diarios e intradiarios en Latinoamérica. Calculando la probabilidad diaria dinámica de transacciones informadas (Easley, Engle, O´Hara y Wu, 2008), como una medida del nivel...

Christophe et al. (2010) find evidence of abnormal short activity prior to analyst downgrades and argue that short sellers may be violating SEC insider-trading laws by trading on information obtained from analysts about upcoming downgrades. However, observing abnormal shorting prior to...

Most theoretical as well as empirical models in market microstructure model information flow and insider trading for one stock at a time. Information consists of a market-wide, an industry-specific, and a firm-specific component. An as yet unexplored implication is that information for one stock...

This paper tests for the informational content of trading volume {\em per se} as postulated by Blume, Easley, and O'Hara (1994) and about its identification function in price reversals as postulated in Campbell, Grossman, and Wang (1993) using different trading strategy schemes. We find evidence...

This article examines the relation between stock returns and a set of operating decisions: layoffs, operation closings, and pay cuts. We find evidence that cost-cutting measures occur after significant stock price declines. Announcements of layoffs and temporary operation closings are associated...

I test whether the persistence of the momentum and reversal effects is the result of idiosyncratic risk limiting arbitrage. Idiosyncratic deters arbitrage, regardless of the arbitrageur's level of diversification. Reversal is prevalent only in high idiosyncratic risk stocks, suggesting that...

This paper confronts the main foundations of the neoclassical theory of the capital market and asset pricing with allegations of behavioral finance. Cornerstones of the traditional theory are discussed in the first section. It is followed by a brief presentation of the behavioral approach....

If investors randomly switch between being rational and irrational, then eventually the market will be half rational and half irrational, even if all investors start off rational, no matter how low the switching probability is. Thus, mispricings can persist even with continued volume between two...

We study the asset allocations among the three major security classes; stock, Treasury bond, and corporate bond indices. We employ a (new) model were liquidity plays an important role in forecasting excess returns. We document the significant utility benefits an investor gains by optimally...