With Januaries (a month in which lagged quot;losersquot; typically outperform lagged quot;winnersquot;) excluded, the average monthly return to a momentum strategy for U.S. stocks was found to be 59 bps for non-quarter-ending months but 310 bps for quarter-ending months. The pattern was stronger...

This study examines the hypothesis that closed-end fund shareholders garner greater returns than holders of the underlying assets as compensation for bearing quot;noise trader risk.quot; We demonstrate that fund share returns are more volatile and exhibit greater mean reversion than the returns...

This study examines serial correlation in daily portfolio returns for securities held primarily by individual investors versus securities held primarily by institutional investors. The results implicate institutional investors as the primary source of positive serial correlation in portfolio...

This study evaluates the tax-loss-selling hypothesis against the window-dressing hypothesis as explanations for the turn-of-the-year return anomalies. We examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the...

Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Exploiting these cross-sectional patterns and changes in share ownership, we find that sentiment metrics capture institutional rather than individual investors' demand shocks. We...

Consistent with the well-documented relation between political orientation and psychological traits, hedge funds' political orientations are related to their portfolio decisions. Relative to politically conservative hedge funds, politically liberal hedge funds exhibit a preference for smaller...

Molecular genetic endowments related to cognition, personality, health, and body shape, established at least half a century prior, predict an individual's risk aversion, beliefs regarding the distribution of expected equity returns, and equity market participation. We estimate that approximately...

The dynamics between coexisting experts and non-experts has important implications for online market and platform design. We study their relationship in the context of crowdfunding. While crowdfunding originated as a non-expert market, experts have become active participants. We investigate the...

We use debt crowdfunding data to examine how borrowers' writing style is associated with lender and borrower behavior. Controlling for credit and auction characteristics, lenders bid more aggressively, are more likely to fund, and charge lower rates to borrowers whose writing is more readable,...

Recent models and the popular press suggest that large groups of hedge funds follow similar strategies resulting in crowded equity positions that destabilize markets. Inconsistent with this assertion, we find that hedge fund equity portfolios are remarkably independent. Moreover, when hedge...