In our asymmetric-information asset pricing model, commonality in uninformed trading translates into a transient factor in returns. The factor is capable of simultaneously producing negative signs of return cross-autocorrelations, a feature that we document in data, and excess comovement in...

We study the effect of investor attention on stock returns over short horizons (less than a month). For each trading day, we construct portfolios of stocks from companies in the two smallest size quintiles that are likely to attract unusual attention from retail investors. These attention...

We adopt a new approach to study individual stock returns' predictability from prior returns, and show that over short-horizons (daily to weekly), individual stock returns exhibit continuation for moderate prior returns, that is, those in the -1% to 1% interval, and reversal for extreme prior...

We study the autocorrelation in short-horizon returns of individual stocks over the period 1971 to 2008 using pooled regression with non-parametric estimation. We find continuation for the central 40% of the return distribution (with returns ranging from -1% to 1%) and reversal for the two 30%...

In our asymmetric-information asset pricing model, commonality in uninformed trading translates into a transient factor in returns. The factor is capable of simultaneously producing negative signs of return cross-autocorrelations, a feature that we document in data, and excess comovement in...

We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put-call ratios from option volume initiated by buyers to open new positions. On a...

The question of whether and to what extent option trading impacts underlying stock prices has been of interest since options began exchange-based trading in 1973. Recent research presents evidence of an informational channel through which option trading impacts stock prices by showing that...