We analyze in this study cause of herding in a stock market. Information cascades have often been considered as a primary choice. However, we propose alternative explanations in this study. Employing intraday order book data, we suggest including an alternative theory based on search cost of...

This paper develops an equilibrium model of speculative bubbles that can be used to explore the role of various policies in either giving rise to or eliminating the possibility of asset bubbles, e.g. restricting the use of certain types of loan contracts, imposing down-payment restrictions, and...

We propose a new approach to measuring informed trading in individual securities based on a portfolio optimization model for investors facing information and liquidity shocks. These shocks induce speculative and liquidity-motivated order flow, taking into account the price impact of trading. The...

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

We construct a measure of abnormal relative attention (ARA), reflecting unusual changes in attention paid to a stock by local relative to non-local investors, to measure local information advantages. An increase in this measure predicts higher returns in the short term. This predictive power is...

This study examines the effect of option volume relative to stock volume (O/S) on market response to earnings surprises. The market reaction per unit of earnings surprise is lower for firms that have high O/S prior to earnings announcement than for firms with low O/S prior to earnings...

This study experimentally analyses traders' choices, with and without asymmetric information, based on the riding-bubble model. While asymmetric information has been necessary to explain a bubble in past theoretical models, our experiments show that traders have an incentive to hold a bubble...

I develop a new asset pricing theory that bridges two seemingly unrelated pricing effects from separate literatures: (1) the negative relationship between ex-ante return skewness and expected returns and (2) the negative relationship between dispersion in financial analysts' earnings forecasts...

What sows the seeds of financial crises and what policies can help avoid them? To address these questions, I model the interaction between the ex-ante production of assets and ex-post adverse selection in financial markets. My results indicate that taking into account the endogenous asset supply...