Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any changes in relevant risk are assumed to be a result of...

Background Traditional asset pricing models face challenges from financial anomalies, prompting exploration through behavioural finance theory. This study analyses the nuanced relationship between individual investor sentiment and key stock market variables. Objectives To assess the impact of...

We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of...

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies - momentum. We find that momentum has earned abnormally high risk-adjusted returns - a...

Subscription-based crowdfunding platforms emerged as novel digital platforms that offer creators the possibility of financial independence. They differ significantly from traditional time-limited crowdfunding approaches by utilizing recurring payments and enabling a creator-centric rather than...

The use of monetary incentives in experiments is a subject of intense debate in academic literature, since there is no consensus regarding its suitability as a tool to encourage the participants of an experiment. Several authors consider it essential, others, however, dismiss its use. This...

Market efficiency has been questioned since behavioural finance emerged. However, there is no theory consolidating both irrational investors' behaviour and their influence on financial markets. In this paper, we use bibliometrics to gain better knowledge of the current situation and trends in...

We study investor sentiment on a non-classical asset, cryptocurrencies using a “cryptospecificlexicon” recently proposed in Chen et al. (2018) and statistical learning methods.We account for context-specific information and word similarity by learning word embeddingsvia neural network-based...

The study shows critical roles of firm-specific information on herd behavior, which is underexplored in prior literature, albeit an increasing impact of firm-specific information on asset pricing. The main finding demonstrates that three of four selected measures of firm-specific information...