One of the most significant empirical findings of the behavioral finance literature is that investor sentiment affects asset prices. Baker and Wurgler (2006) finds that shares of certain firms — those that are difficult to value — are more affected by shifts in investor sentiment. We examine...

We use a sample of option prices, and the method of Bakshi, Kapadia and Madan (2003), to estimate the ex ante higher moments of the underlying individual securities' risk-neutral returns distribution. We find that individual securities' volatility, skewness, and kurtosis are strongly related to...

We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross-section of securities in the U.S. On average, higher quotation activity is associated with price series that more closely resemble a random walk, and significantly...