The thesis consists of two essays on behavioral finance. The first essay is titled, "Attention and Trading." This study empirically explores the effects of attention levels on investors' trading behavior and on market price dynamics. Specifically, we analyze the ability of market-wide...

We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...

A four-factor model with two "mispricing" factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four- and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing...