Daily individual patient records for every organ transplant capable hospital in the United States from 1987 to 2018 indicate a negative relationship between stock market returns and deaths. Stress related deaths, such as heart attacks and strokes, are the most pronounced around stock market...

This paper shows that consumption-based asset pricing puzzles arise from using globally concave-shaped consumption utility. We empirically find that asset returns correlate negatively with many individuals' low-quantile consumption growth. This finding challenges most mainstream models and...

By obtaining a novel proprietary city-level panel dataset of stock returns and trading volume in China, this article investigates the effect of air pollution on the stock market while avoiding the possible confounding factors reported in previous similar studies. The analysis finds evidence...

We first provide evidence of some retail investors taking real trading (selling) decisions which are clearly sub-optimal even from an ex-ante perspective. We then show that these investors also exhibit stronger investment biases, namely, the disposition effect, underdiversification, preference...

We hypothesize that a surge in availability of information coupled with investors’ confirmation bias could aggravate retail investors’ behavioral biases due to their cherry-picking of information that only confirms their priors. We use the staggered EDGAR implementation to provide causal...

Using trade-level data from the Taiwan Stock Exchange, we document an asymmetric pattern of liquidity provision by individual investors who serve as de facto market makers. Specifically, individual investors, on average, provide more liquidity during market downturns. We further investigate the...

We survey retail investors at an online bank to study beliefs about the autocorrelation of aggregate stock returns, and how these beliefs shape investment decisions measured in administrative account data. Individuals' beliefs exhibit substantial heterogeneity and predict trading responses to...

We identify the S-Shaped consumption utility by reconciling consumption decisions with asset returns. Different from the concave-shaped utility, the S-shaped consumption utility predicts a possible negative correlation between low quantiles of consumption growth and asset returns, for which we...

This paper examines the relation between investor attention and stock market anomalies in the US stock market. We find anomalies are stronger following high rather than low attention periods. Returns on the long–short strategy based on a composite mispricing score during high attention months...

Financial markets and economic conditions induce stress, but does stress, in turn, have a causal effect on investor behavior and markets? We analyze this question in bubble-prone experimental asset markets with 492 participants. We induce acute stress, which we measure with cortisol levels,...