Despite the dominance of retail investors in the Chinese stock market, there's a conspicuous absence of price momentum in weekly and monthly returns. This study uncovers the presence of price momentum in daily returns and, through a systematic analysis of trading heterogeneity among investors,...

The absence of medium-term price momentum in the Chinese stock market, despite its dominance by retail investors prone to cognitive biases, is a well-known puzzle. Our study finds that daily returns, instead of monthly returns, display price momentum and attributes it to the trading behaviors of...

By exploiting variation in state capital gains taxation as an instrument, we analyze the economic consequences of housing speculation during the U.S. housing boom in the 2000s. We find that housing speculation, anchored, in part, on extrapolation of past housing price changes, led not only to...

We develop a model to analyze information aggregation and learning in housing markets. In the presence of pervasive informational frictions, housing prices serve as important signals to households and capital producers about the economic strength of a neighborhood. Our model provides a novel...