Regulators and the investment community have been concerned that institutional investors pressure financial analysts through trading commission fees to issue optimistic opinions in support of their stock positions. We use a unique dataset that identifies mutual fund companies' allocation of...

In this paper we outline two previously suggested methods for quantitative motivated trading in pairs. We focus on the method of cointegration and an unobserved mean reversion model called the stochastic spread model. The methods are used to implement a search procedure that aims to reveal...

This paper studies the interaction of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month effect, weekend effect and holiday effect. We find that Halloween and turn-of-the month (TOM) are the strongest effects fully diminishing the other three...

We studied how the capital allocation decisions and the loss version of nonprofessional investors change subject to behavioral factors. The optimal wealth allocation between risky and risk-free assets results within a value-at-risk (VaR) portfolio model, which involves assessing risk...

We show that actively managed U.S. hedge funds, on average, trade on the post-earnings announcement drift anomaly more aggressively than mutual funds. Both mutual and hedge funds that actively trade on drift anomaly face higher arbitrage risk. However arbitrage risk reduces mutual funds'...

Prior studies demonstrate that tax considerations can influence a taxpayer's investment decisions. By itself, this is not very surprising because the investment decisions in these studies resulted in either increasing or decreasing the tax refund or tax payment. The aim of the present study is...

Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this...

We study the informativeness of trades via discount and full-service retail brokers. We find that trades via full-service retail brokers are statistically and economically more informative than are trades via discount retail brokers. This finding holds in every year over the twelve-year sample...

We examine the predictive effect of sentiment on the cross-section of stock returns across different economic states. The degree of mispricing and the subsequent price correction can be different between economic expansion and recession because of the limits of arbitrage and short sale...

When the pricing kernel is U-shaped, then expected returns of claims with payout on the upside are negative for strikes beyond a threshold, determined by the slope of the U-shaped kernel in its increasing region, and have negative partial derivative with respect to strike in the increasing...