We investigate how short sellers strategically exploit the liquidity generated by the arrival of ambiguous information – i.e. information likely to cause disagreement in interpretation. Using a sample of newspaper articles, media newswires, and press releases, we construct a measure of...

Survey evidence shows CFOs to believe that earnings management can enhance investor valuation of their firms. This evidence raises the question of correspondence between the beliefs of CFOs and investors. Surveying financial analysts to gain insight into how earnings management influences...

In the late 1990s, the Japanese government initiated a number of reforms that resulted in lower transaction costs and made the Japanese equity market more attractive for foreign institutions. Following these changes, foreign institutional holdings more than doubled, providing an opportunity to...

This paper analyzes the investor sentiment effect in four key European stock markets: France, Germany, Spain and the UK. The findings show that sentiment has a significant influence on returns, varying in intensity across markets. The variation appears to involve both stock characteristics and...

This paper shows that an important link between investor sentiment and firm overvaluation is optimistic earnings expectations, and that management earnings guidance aids in resolving sentiment-driven overvaluation. Using the firm characteristics identified by Baker and Wurgler (2006), we find...

Using the comprehensive trading data for the U.S. corporate insiders between 1993 and 2008, we document robust evidence that insiders as a whole achieve transaction prices superior to the volume-weighted average prices. This outperformance, expressed as a positive trading alpha, remains after we...

We examine the ability of three groups of informed market participants to anticipate the 2007-2008 financial crisis. Institutional investors and financial analysts exhibit some awareness of the impending crisis in their preference for non-financial stocks over financial stocks. In contrast,...

We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...

Following Cooper et al. 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorizing up/down markets based on actual prices as Cooper et al. 2004, we suggest investors may view expectations and/or sentiment as important. Contrary to...