We present an asset pricing model with investor sentiment and information, which shows that the investor sentiment has a systematic and significant impact on the asset price. The equilibrium price's rational term drives the asset price to the rational, and the sentiment term leads to the asset...

This paper examines the informational market efficiency in the Islamic and conventional markets in the Gulf Cooperation Council (GCC) region. It aims to investigate whether Islamic markets would be more or less efficient than the conventional ones. Findings indicate that both Dow Jones Islamic...

Bali et al. (2011) uncover a new anomaly (the “MAX effect”) related to investors’ desire for stocks with lottery-like payoffs. Specifically, stocks with high maximum daily returns (high MAX) over the past month perform poorly relative to stocks with low maximum daily returns (low MAX) over...

Soccer clubs listed on the London Stock Exchange provide a unique way of testing stock price reactions to different types of news. For each firm, two pieces of information are released on a weekly basis: experts’ expectations about game outcomes through the betting odds, and the game outcomes...

Purpose – The purpose of this paper is to compare and contrast the effect of individual and institutional sentiments on the US stock returns during a prolonged bull phase of ten years in the 1990s compared to shorter boom and bust cycles of the 2000s. The study is focussed on a set of stocks...

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest. In addition, time-varying effects on the transmission...