This paper studies the extent of feedback trading at the style level by hedge funds from both a positive and a normative perspective. We show that hedge funds continuously adjust their exposure to different risk factors conditional on the recent performance of these styles. The majority of funds...

The current paper proposes a conditional volatility model with time varying coefficients based on a multinomial switching mechanism. By giving more weight to either the persistence or shock term in a GARCH model, conditional on their relative ability to forecast a benchmark volatility measure,...

We propose a proxy for a climate risk factor, the pollutive-minus-clean (PMC) portfolio, which captures differences in returns to firms that have high versus low corporate emissions. By regressing individual stock returns on the PMC factor, we obtain estimates of asset-level climate risk...

In this paper, we study the effect of gamma positioning of dynamic hedgers on market quality through simulations. We find that increases in the net gamma positioning of dynamic hedgers reduces volatility and increases market stability, whereas a negative gamma positioning increases volatility...

In this paper, we study the effect of gamma positioning of dynamic hedgers on market quality through simulations. We find that increases in the net gamma positioning of dynamic hedgers reduces volatility and increases market stability, whereas a negative gamma positioning increases volatility...

The central issue of this paper is whether stock prices are exposed to total exchange rate movements -- as traditionally measured -- or to revisions in expected future exchange rate movements and unanticipated currency shocks, and by how much of each. Based on a sample of 1675 U.S. firms...

This article introduces the special issue Empirical Behavioral Finance in the Journal of Economic Behavior and Organization (Volume 107, Part B, November 2014). It includes the results of a survey among reviewers and authors into the relative importance of different types of research within the...

This paper uses the correlation of money flow among mutual funds to forecast the skewness of stock returns. We show that asset returns are highly negatively skewed when their mutual fund owners experience correlated liquidity shocks. In addition, stocks with high mutual fund ownership are more...

We develop an Artificial Stock Market - an agent-based simulation model of the stock market with many risky assets. The ASM has three layers of heterogeneous and interacting agents, and generates prices for 150 stocks. We present the current state of the model and demonstrate its ability to...

This paper investigates whether investor sentiment can explain stock return comovements. Our findings demonstrate that since the 1960s, there has been a clear and rapid increase in correlations between international equity markets. Decomposing the equity returns into fundamental and...