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...

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...