We use a proprietary dataset to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publically announced....

This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...

This study presents direct evidence on the question whether investors recognize the widely documented biases in securities analysts' earnings forecasts. The internal rate of return implied by current stock price and consensus earnings forecasts is found to be correlated with indicators of bias...

We examine article, author and firm characteristics of investment articles published by non-professional analysts on the social media investment platform Seeking Alpha from 2006 to 2020 leading to visible market value changes. We show that there are differences between articles followed by stock...

We document a strong positive initial market reaction to merger announcements from bidders with either large earnings growth or significant earnings decline, relative to those with neutral earnings change, reflecting a U-shaped pattern between bidders’ earnings growth and announcement returns....

Individual investors’ overall return in stock markets decreases with the increase in trading frequency due to factors such as commission expenses, insider trading, spreads, and institutional investors’ high-frequency algorithms. In this study, the relationship between believing the technical...

This paper investigates the motive of option trading. We show that option trading is mostly driven by differences of opinion, a finding different from the current literature that attempts to attribute option trading to information asymmetry. Our conclusion is based on three pieces of empirical...

This paper uses the unique setting of the 2007 stock market bubble in China to examine whether information dissemination mitigates bubbles. Using multiple measures of bubble intensity for each stock, we find significantly smaller bubbles in stocks with greater analyst coverage. The abating...

When brokers, analysts and fund managers buy or sell for their own account, they outperform retail investors over short windows up to a month. They earn particularly high abnormal returns when they trade simultaneously with other financial experts and when they trade before earnings...

Using a multi-national dataset, we investigate the herding behaviour of financial analysts. Our results across a range of different countries suggest that analysts consistently deviate from their true forecasts and issue earnings forecasts that are biased by anti-herding. Furthermore, the level...