This paper provides an in depth analysis of the reference price investors apply when they decide if a security is to be kept or sold. We propose that the observed reluctance to crystallize losses and propensity to realize gains, a behavioral bias dubbed the disposition effect, may be a result of...

We study the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the spread is wide and that algorithms enter the market at...

We utilize seventeen years of comprehensive daily portfolio and trading data identified at the individual investor level, to analyze the relative trading performance of the entire universe of households, all domestic financial institutions and all foreign institutions in the Finnish market. We...

We investigate if directors of Australian companies can generate abnormal returns on their reported trades, if these abnormal returns are significant enough to be mimicked by outsiders, and if insider trades have an effect on returns of other investors. We find that insiders take advantage of...