In this paper, we provide evidence that trading driven by investors' behavioral biases contributes to stock return momentum. In particular, we focus on two types of irrational trading, momentum trading and confidence-influenced trading, which could be driven by psychological biases introduced by...

This thesis includes two essays. Essay 1 concentrates on the use of conditional asset pricing models to speculate on the nature of the value premium. Previous findings seem to be strictly dependent upon the state variables used to define the "good" and "bad" states of the world. I investigate...