We find that the degree of extrapolative weighting in investors' belief (DOX) proposed by Cassella and Gulen (2018) has strong predictive power for a broad set of overreaction-related anomalies in the stock market. The average return spread of these anomalies is about 0.81% per month following...

Similarity between two stocks is measured by the distance between their characteristics such as price, size, book-to-market, return on assets, and investment-to-assets. We find that after a stock's most similar stocks have experienced high (low) returns in the past month, this focal stock tends...