This study examines the relationship between the weather and intraday investor sentiment. Our results indicate that high temperatures, high humidity, high cloud coverage, and extreme rain negatively affect investors’ moods, whereas high winds and long sunshine durations improve their moods....

This study suggests a novel approach for decomposing an options order imbalance based on trading motives using put-call parity. The options order imbalance is separated into two components: one that contains arbitrage trading and one that does not. Intuitively, the proportion of the former...

This study examines the effect of global risk aversion on future real economic activity (REA) and stock market volatility. We propose new international real business cycle (RBC) frameworks with a stochastic global risk-aversion spillover process by extending the commonly used RBC models. We also...

This study explores whether frequent trading is profitable to investors. Using the unique transaction-level data from a highly liquid index futures market, we show that domestic non-investment institutions lose money as they trade more frequently, especially from trading after the market opening...

This study examines whether analysts’ informativeness and activities change following regulatory reforms that strengthen market surveillance. We find that star (non-star) analysts provide firm-specific (market-wide) information, particularly for firms with characteristics favored by fund...