This paper investigates the effect of house money on the risk taking behavior of individual investors. When gains are more substantial, individuals tend to take greater risk. The house money effect seems to decline over time because the propensity for risk taking following gains is diminished...

The existence of the weekend effect has been documented as early as 1885. This paper examines whether the serial dependence in returns around weekends and the magnitude of negative Friday returns can be used to produce superior trading returns. We find some success for this endeavor after...

This study examines the Merton (1987) 'investor recognition' hypothesis, which postulates that an increase in the total number of investors with prior knowledge of a firm will lower the expected returns of investors by reducing the 'shadow costs' arising from the lack of knowledge of a...