We propose a practical framework to detect mispricing, test informational efficiency and evaluate the behavioural biases within high-frequency prediction markets, especially in how prices react to news. We show this using betting exchange data for association football, exploiting the moment when...

We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns,...

There has been substantial growth in the incorporation of environmental, social and governance (ESG) issues into investment decisions, and this trend has been motivated by the societal benefits that are achieved when socially responsible firms have access to cheaper capital. While the benefits...

Disequilibrating macro shocks affect different firms' prospects differently, increasing idiosyncratic variation in forward-looking stock returns before affecting economic growth. Consistent with most such shocks from 1947 to 2020 enhancing productivity, increased idiosyncratic stock return...

Meme stocks have received a lot of attention in the media from both investors and regulators in recent months. The power of the crowd, coupled with the unprecedented coordination of social media investors, raises questions about their impact on information efficiency. We construct two meme stock...

Stock market movements are the results of changes in investor sentiment (INSEN) which can even be induced by non-economic events. We consider international cricket events to empirically investigate the notions. Implementing portfolio approach, we conduct the event study along with OLS regression...

Investors' expectations on firms' cash flow growth can be biased (e.g. Bordalo et al. (2019)), yet we know little about how these biases and their asset pricing implications vary with forecast horizons. In this paper, I show that extreme expectations at all horizons beyond the current period...

Bookmakers sell claims to bettors that depend on the outcomes of professional sports events. Like other financial assets, the wisdom of crowds could help sellers to price these claims more efficiently. We use the Wikipedia profile page views of professional tennis players involved in over ten...

We are the first to demonstrate the decline in the cross-sectional predictability of country and industry returns in recent years. We examine 53 anomalies in country and industry indices from 64 markets for the years 1973–2018. The profitability of the strategies has significantly decreased...

We examine the impacts of ethical declarations on market transactions through a controlled laboratory experiment, where privately-informed sellers issue a public report prior to a first-price auction. We find that while signing an ethical statement does not reduce misreporting by sellers, it...