I develop a model that quantifies the profitability of trading from limit order data. This method allows for estimation of the effective number of market participants without the need for trader IDs or proprietary datasets. In addition, my framework can evaluate several different questions in...

We propose that extrapolative beliefs about earnings announcement (EA) returns may contribute to our understanding of EA return patterns. We construct a theoretically-motivated measure of extrapolative investors' expectations based on a stock's recent history of EA returns. We then show that...