This paper investigates the information content of signals about the identity of investors and whether they affect price formation. We use a dataset from Finland that combines information about the identity of investors with complete order flow records. While we document that investors use...

Stock market participation is monotonically related to IQ, controlling for wealth, income, age, and other demographic and occupational information. The high correlation between IQ, measured early in adult life, and participation, exists even among the affluent. Supplemental data from siblings,...

This paper shows individuals' product market choices influence their investment decisions. Using microdata from the brokerage and automotive industries, we find a strong positive relation between customer relationship, ownership of a company, and size of the ownership stake. Investors also are...

We put forward a model in which analysts are uncertain about a firm's earnings process. Faced with the possibility of using a misspecified model, analysts issue forecasts that are robust to model misspecification. We estimate that this mechanism explains approximately 60% of the autocorrelation...

This paper examines the impact of trading constraints on market participation when agents learn about their investment opportunities. The possibility of facing binding constraints in the future creates a feedback that can keep agents out of the market even if the risk premium is high. This...

This paper shows that the market reaction to a trade depends on the identity of the broker initiating the trade, controlling for the known determinants of the permanent price impact. I combine microstructure data with investor trading records to reconstruct brokers' customer bases and to examine...

This paper examines the complete trading records of all day traders in Finland. A typical day trader is a male in his late 30s, who lives in the metropolitan area and trades in larger quantities than an investor in a size-matched control group even after ignoring day trades. These traders...

Book value of equity consists of two economically different components: retained earnings and contributed capital. We predict that book-to-market strategies work because the retained earnings component of the book value of equity includes the accumulation and, hence, the averaging of past...

Using data on $18 trillion of assets under management, we show that actively managed institutional accounts outperformed strategy benchmarks by 88 (44) basis points on a gross (net) basis during the period 2000–2012. Estimates from a Sharpe (1992) model imply that asset managers'...

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...