Trading halts are aimed at reducing information asymmetry by granting investors the opportunity to reassess trades upon arrival of new, substantial information. This study is the first to address the efficiency of the price discovery process with respect to time, i.e., the speed of adjustment to...

Asset pricing models with atomistic agents typically relax assumptions concerning rationality and/or homogenous information in order to track endogenous bubbles. In this model, identically informed rational agents hold a Perceived Law of Motion (PLM) for a single new technology asset at IPO, yet...

We explore how an understudied factor, portfolio composition, affects investors' trading preferences and whether it is associated with the Disposition Effect. Behavioral lab experiments reveal predictable trading patterns depending on salient holding amounts in the portfolio, and the latter's...

A discrete-time dynamic asset-pricing model specifies the economic rationale for a rich array of price dynamics. Two boundedly-rational investors with different risk preferences trade periodically, where excess supply is cleared by a tâtonnement. Cast at the core of asset-pricing modelling,...

Many stock exchanges implement advanced procedures toward preventing manipulative orders from distorting informative price discovery during preopening sessions. Often, such sessions involve both the stock and options markets, with book-based indicative stock prices and traded index options,...

The desire to hire the best athletes and coaches in order to maximize team performance necessitates generous compensation contracts, which in turn increase the risk of financial distress or even bankruptcy for team owners. Indeed, one of the largest expense items in the budget of professional...

Behavioral bubble models typically assume that uninformed trend-chasers, presumably individual investors, cause bubbles, while informed contrarian investors such as institutions trade against bubbles. DeLong et al. (1990a) highlight that to be considered a 'bubble', the mis-pricing must prevail...

Asset-pricing models with volume are challenged by the high turnover-rates in real stock markets. We develop an asset-pricing framework with heterogeneous risk preferences and show that liquidity and turnover increase with heterogeneity to a maximum, and then decline. With U.S. parameters,...

We develop closed-form expressions for the path and speed of stock price lrm;discovery in a utility-based CAPM with wealth effects. Two investors with lrm;uniquely bounded risk-preferences always apply opposite portfolio rebalancing lrm;trades. These trades determine the intra-period path and...