The recent crisis has demonstrated the close linkages between various asset classes within a country as well as the association between assets internationally. The aim of this research is to provide for a better understanding of some of these linkages by conducting an empirical investigation of...

This study proposes a process for observing evidence of insider trading in the Athens Stock Exchange (ASE). This is performed by building an environment which, based upon previous research, common sense and information technology, may be used for observing such evidence. It is designed to be...

The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that moodrelated pricing effects can materialize as...

This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...

This paper investigates whether news suggestive of irrationality within financial markets have an impact on stock returns. We construct a lexicon of words for 'market irrationality' and score daily news articles based on the number and proportion of words they contain from the lexicon. We find...

This paper investigates the role of speculators in the housing market, specifically their contribution to price overreaction through positive feedback trading (or momentum trading). We exploit a unique dataset of condominium transactions in a residential real estate market where transaction...

This paper provides the first evidence for empirical test of the effect of rational expectations as well as behavioral biases including among others animal spirits such as defined by Akerlof and Shiller (2009) on the variability of trading. Using a data for five international capital markets in...

We show that immediate and delayed abnormal returns following earnings announcement surprises differ across market states. Immediate abnormal returns are more sensitive to earnings surprises in down markets, while delayed abnormal returns are less sensitive; underreaction is attenuated in down...

We construct a measure of individual investors' speculative demand for stocks from their online queries on penny stocks provided by Google Search volume index (hereafter "SVI"). We examine how it affects the return dynamics of U.S. stock indices. We find that the speculative demand leads to a...

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate...