This paper provides a measurement of framing effects in the stock market by using actual market open trading data, and provide a test of this new firm-special behavioral characteristic. We adopt univariate and bivariate portfolio-level analyses with seminal rational and behavioral factors, to...

This paper explores the predictive power of the absolute delta beta (ADB) on future cross-sectional stock returns. By univariate portfolio analysis, bivariate portfolio analysis, and decomposition of predictive power, we find that the ADB can produce an excess return in the next month. The...