Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...

This paper investigates market-level and private investor trading patterns and performance around earnings announcements. We document clear evidence for abnormal trading around earnings announcements for both the entire market and households in Germany and observe that private investor...

This paper investigates the predictability of the firm news tone on stock return in Chinese market. We find that the news tone significantly positively predicts the cross-sectional future return in both short and long horizon. Beyond this, we generally find while the online news could predict...

This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine administrative bank data linking customers' consumption transactions and income to detailed portfolio data and survey responses on financial behavior. We find that private...

Manipulative communications touting stocks are common in capital markets around the world. Although the price distortions created by so-called "pump-and-dump" schemes are well known, little is known about the investors in these frauds. By examining 421 "pump-and-dump" schemes between 2002 and...

We use data on Indian stock portfolios to show that return heterogeneity is the primary contributor to increasing inequality of wealth held in risky assets by Indian individual investors. Return heterogeneity increases equity wealth inequality through two main channels, both of which are related...

We characterize the equity holding periods for all equity owners in a stock market over a 15 year period. The median holding period is 0.75 years. We show that the hazard function for equity ownership is characterized by negative aging, an equity owner is less and less likely to realize a...

Individuals and asset managers trade aggressively, resulting in high volume in asset markets, even when such trading results in high risk and low net returns. Asset prices display patterns of predictability that are difficult to reconcile with rational expectations – based theories of price...

We conduct an experiment with a representative sample from the US to study households’ demand for macroeconomic information. Respondents who learn of a higher personal exposure to unemployment risk during recessions increase their demand for an expert forecast about the likelihood of a...

1. This research examines the potential impact of the stock market crash of 2008-2009 on U.S. working households. The Great Recession caused financial problems for many households in terms of unemployment, business losses, and decreases in real estate values, but the broadly based decreases in...