How do retail investors respond to the outbreak of COVID-19? We use transaction-level trading data to show that investors significantly increase their trading activities as the COVID-19 pandemic unfolds, both at the extensive and at the intensive margin. Investors, on average, increase their...

This paper provides new evidence that investor attention explains positive returns around earnings announcements and reconciles the attention explanation with information-based explanations in the literature. I use earnings notifications, which are attention-grabbing announcements of the...

We examine whether and how German and US investment professionals use corporate social responsibility (hereafter, CSR) information when making personal investment decisions and recommendations to clients. Using an experiment, we find that both German and US investment professionals use CSR...

This study aims to test the relative performance of contrarian and momentum strategies for middle-term and long-term horizons in the Indonesian capital market. The test is performed for constituents of the Kompas 100 index for the period 2009–2014. The results reveal that the superior...

Using recent advances in network theory, we estimate the intra-industry connectedness for US publicly traded companies going back to the 1920s. We develop a stock-level composite centrality measure that captures multiple dimensions of a stock's interdependence with its industry peers. Using our...

This paper aims to measure the positive (Expectations) and negative (Fears) investor sentiment about the ongoing economic conditions and analyze both sentiments for changes in stock market returns. Following the method proposed by Da et al. (2014), this study estimates the investor’s economic...

We study institutional investor attention using daily internet news reading. We measure fund-level attention to both aggregate and firm-specific information and relate it to portfolio allocation decisions. During economic downturns, funds shift their attention from firm-specific news toward...

We examine the relationship between investor attention, and measures of uncertainty, with the market dynamics of Bitcoin, and other cryptocurrencies. We find that increases in investor attention are associated with higher returns, more volatility, and greater illiquidity in cryptocurrency...

We construct a direct measure of U.S. based foreign sentiment using flow shifts between U.S. and international mutual funds. Foreign sentiment predicts return reversals in international markets, while local sentiments predict reversals in local markets. Exploring this segmentation, we find that...

This paper discusses the role that stock market volatility plays in the linkages between the U.S. stock and Treasury bond markets through liquidity under different regimes of investor sentiment in a threshold vector autoregression model. The baseline analysis shows that the interaction between...