We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider whether short-sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach...

Investors demand higher premiums from firms whose future performance in R&D is difficult to evaluate. We construct a measure that captures investors' evaluation of a firm's R&D information quality (RDIQ) by linking a firm's historical innovation input (R&D expenditures) and innovation outcome...

We propose a model of “disposition extrapolators”—investors subject to both extrapolative beliefs and the disposition effect—to explain the sharp rise in prices and volume observed in historical financial bubbles. The model generates a novel mechanism for volume, and we test its...