We form a belief-based equity market sentiment index, BBS, from investors' survey-based expectations of future aggregate stock returns. BBS spans 54 years, accommodates belief heterogeneity across different investor types, and accounts for variation in the participation of these investors in the...

The market value of the Chinese stock market is considerably large given its short history. However, unlike stock market in other countries, we notice a unique phenomenon in China that investors usually chase after hot topics wherever aroused by policies, technologies or many other issues. The...

The HODL ideology overgeneralizes the buy-and-hold strategy for risky assets, leading to potential harm in investor wealth accumulation and investor-advisor relations. It originates from misunderstandings of financial theories, empirical evidence, technical analysis, and market timing. I provide...

This study investigates investors’ herd behavior at market and industry level in Pakistan stock exchange (PSX). The novel contribution of this study is the incorporation of stock trading volume to explore the herding behavior laterally with daily stock returns. Using daily observations of the...

Stock prices aggregate the beliefs of different investors. Using this insight, we estimate the fraction of stock market investors holding survey beliefs. We find that 42% of investors hold beliefs matching those of equity analysts and 25% hold beliefs as observed in individual investor return...

Strategies that overweight low beta stocks and underweight high beta stocks earn positive alphas. Price noise is known to affect high beta stocks, hence, noise trading can be expected to significantly affect the performance of these strategies. I study the impact of flows between bond and equity...

In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan, and Sri Lanka. The increasing integration...

After long being one of the main puzzles in asset pricing, momentum has ironically became a case of observational equivalence. It can now be explained both by factors proxying for mispricing and by the risk-based q-factor theory. On top of this, q-factor theory also explains the related...

We find that Robinhood ownership changes are unrelated with future returns, suggesting that zero-commission investors behave as noise traders. We exploit Robinhood platform outages to identify the causal effects of commission-free traders on financial markets. Exogenous negative shocks to...

The paper analyses the tendency of investors to realize gains too early and the reluctance to liquidate losing positions. Analysis is based on the complete transaction data of the Estonian stock market. The Cox proportional hazard model along with ratio analysis is used to measure the...