This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

In this paper we argue that momentum profits are driven by both past performance and the relative proximity to an available reference point, the 52-week high. We construct momentum-style portfolios that are driven strictly by past returns which we call ‘run' based measures, and compare these...

The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statements from January 2000 to December 2015, this...

Does the disposition effect appear in bond trades as in stocks?. We apply the Odean's measure (1998) to a proprietary transaction database with unique investor ids from an emerging market exchange that holds both stock and bond trading. We find some disposition effect in treasuries, but much...

We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...

Using recent advances in network theory, we estimate the intra-industry connectedness for US publicly traded companies going back to the 1920s. We develop a stock-level composite centrality measure that captures multiple dimensions of a stock's interdependence with its industry peers. Using our...

We explore a unique dataset on individual investors’ online trading accounts to examine the determinants of their attention and its relation to portfolio performance. In particular, we investigate what individual characteristics affect investor attention and what type of information drives...

Based on intraday data for a large cross section of individual stocks, we find that the risk component of stock returns exhibits strong intraday momentum, and this pattern holds from previous market close to 10:00, and every half hour since then until market close at 16:00. Strikingly, the...