We examine the private information associated with insider trades using a Chinese data set. Insider buys positively forecast individual stock returns and insider sales negatively forecast individual stock returns. Classifying insiders as corporate managers and institutional investors, we find...

Fractional trading (FT)—the ability to trade less than a full share—allows low-budget retail investors to trade high-priced stocks. This paper quantifies FT's impact on retail ownership and trading of high-priced stocks by exploiting its sequential introduction at four brokerage firms since...

This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of...

This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of...

Asset returns in efficient markets should not display serial correlations. Otherwise, asset prices would be predictable to a certain extent and arbitrage opportunities would appear, contradicting the assumption of efficiency.Lack of serial correlation is considered to be true for most...

Previous studies use cross-sectional forecast dispersion in examining the relation between forecast dispersion and future stock returns and report an anomalous negative dispersion-return relation. This paper examines how time-series forecast dispersion is distinct in the relation to stock...

To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with...

A sentiment-based model of the exchange rate is proposed to understand the forward premium puzzle. Agents over- or underestimate the growth rate of the economy. All else equal, when perceived domestic growth is higher than perceived foreign growth, the domestic interest rate is higher than the...

A measurement error in beta that arises from changes in leverage during the beta estimation window contributes in explaining the size effect. Simulations of asset returns show that the magnitude of the bias in equity returns is proportional to the stock market-induced changes in leverage. We...