This paper proposes and tests the conjecture that sophisticated individuals deviate from established personal and social norms only when the perceived benefits are sufficiently large. We apply this broad idea to the context of institutional investing and predict that norm-constrained investors...

This study examines whether state-level economic conditions affect the liquidity of local firms. We find that liquidity levels of local stocks are higher (lower) when the local economy has performed well (poorly). This relation is stronger when local financing constraints are more binding, the...

This paper examines the determinants of trading volume for individual stocks in the emerging India's stock markets. Our results demonstrate that stock-specific characteristics explain a significant portion of the variation in Indian stock trading volume. We show that weekly turnover, expressed...

Alfred Cowles' (1934) test of the Dow Theory apparently provided strong evidence against the ability of Wall Street's most famous chartist to forecast the stock market. In this paper, we review Cowles' evidence and find that it supports the contrary conclusion -- that the Dow Theory, as applied...

Using thousands of brokerage accounts of U.S. individual investors, we analyze the motivations and consequences of foreign equity investment. We find that diversification is not the only reason that investors trade foreign securities. While wealthier, more experienced investors enjoy an...

Using a database of more than 1.85 million transactions made by retail investors over a six-year period (1991-96), we show that these trades are systematically correlated amp;#8722; i.e., individuals buy (or sell) stocks in concert. Moreover, as predicted by noise trader models, we find that...

We study stock holdings and trading behavior of more than 60,000 households and find evidence consistent with dividend clienteles. Retail investor stock holdings indicate a preference for dividend yield that increases with age and decreases with income, consistent with age and tax clienteles,...

Using thousands of brokerage accounts of U.S. individual investors, we analyze the motivations and consequences of foreign equity investment. We find that diversification is not the only reason that investors trade foreign securities. While wealthier, more experienced investors enjoy an...

We find that forecast revisions by analysts with more favorable surnames elicit stronger market reactions. The effect is stronger among firms with lower institutional ownership and for analysts with non-American first names. Following the 9/11 terrorist attacks, and France and Germany's...

The paper finds that firms' exposure to temperature changes predicts stock returns. We use the sensitivity of stock returns to abnormal temperature changes to measure firm-level climate sensitivity. Stocks with higher climate sensitivity forecast lower stock returns. A trading strategy that...