Stock markets play a dual role: help allocate capital by conveying information about firms' fundamentals and provide liquidity by quickly turning stocks into cash. We propose a trading model in which these two roles are endogenously related: more intensive use of stocks for liquidity affects...

This paper employs four established market microstructure measures on information-based trade in financial markets. A set of German mid and small caps is used to analyze potential differential information content in real estate stocks compared to other asset classes. After linking substantially...

The information content of stock prices is analysed without imposing strong restrictions on traders' preferences and the distribution of dividends. Noise in the information contained in equilibrium prices arises from endogenous asset supply, which offsets price movements due to informed trading....

Purpose - The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was assessed. Second, the impact of overconfidence on...

In this study, we employ an innovative new methodology inspired from the approach of Hwang and Salmon (2004) and based on the cross sectional dispersion of trading volume to examine the herding behavior on Toronto stock exchange. Our findings show that the herd phenomenon consists of three...

This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying Single Index Model, the study reports statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level....

We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and trading volume. We find that the stock price is convex in...

The economic theory suggests that expected returns should compensate for the risks undertaken by investors. This implies that investors are rewarded for taking risks while investing in assets with higher risk potentials. Theoretically, if they hold their investments, they receive higher returns,...

This study aims to explain the relationship between share buybacks and market sentiment around these events. Using data on social media posts around the share buybacks, we examine how financial indicators exhibit changes before and after the share buybacks. A sample of BSE100-listed Indian firms...

We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and trading volume. We find that the stock price is convex in...