We analyze the effects of a lump sum deposit of a lease contract on residential property returns. According to our pricing model, property returns increase with the deposit to price ratio when interest rate is larger than dwelling benefits. When interest rate becomes lower than the dwelling...

Yes. By observing return reversals following unexpected responses to noisy public signals about market-wide common factors, we show that investors in the US equity market tend to over-respond to public signals for mature firms that are relatively easy to price—old, large, and dividend-paying...

We investigate the effects of arbitrageurs' behavioral biases on cross-sectional equity returns. We find evidence that profits of equity market neutral hedge portfolios are positively affected by overconfidence, the effects of which are not subsequently reversed. Further we discover that signals...