We investigate the type of information text sentiment uncovers using earnings conference call transcripts and find that text sentiment fails to explain returns during intraday calls, while average trading volume and return volatility are higher during the call. This finding indicates that...

We examine how informed traders trade in the option market around news announcements. We show that their profits depend on whether positions are long or short, whether trades take place before or after news releases, and whether events are scheduled or unscheduled. We predict and find that...

We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based...

Financial institutions that issue commodity-linked notes hedge their liabilities by buying commodity futures. Henderson, Pearson and Wang (2015) show that these futures trades impact commodity futures prices and interpret this as evidence that uninformed financial flows into the commodity...

We use retail Structured Equity Product (SEP) issuances to construct a new sentiment measure for individual stocks. The SEP sentiment measure predicts negative abnormal returns on the SEPs' reference stocks based on a variety of benchmarks including behavioral factor models and factors based on...