Using hedge fund returns and county-level religiosity data during 1996-2013, we examine the effects of local religious beliefs on hedge fund risk-taking behaviors. We find that local religiosity is significantly negatively related to both total and idiosyncratic volatilities of hedge funds, even...

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

Do superstitious traders lose money? We answer this question in the context of trading in the Taiwan Futures Exchange, where we exploit the Chinese superstition that the number “8” is lucky and the number “4” is unlucky. We find that individual investors, but not institutional investors,...

Using patents and citations per R&D dollar as measures of innovation efficiency, we find that corporate policies that result in better treatment of employees and a more pro-diversity culture, specifically treatment of women and minorities, enhance future innovative efficiency, even after...

This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive simulation demonstrates that the approach can successfully identify market states and generate measures of...

This paper investigates the dynamic relation between information-based trading of a stock and its daily return and risk. It develops a theoretical model to motivate the regression specifications for empirical analysis. Based on two samples of stocks, we demonstrate that the expected trading...

This paper proposes a novel approach to information-based trading, incorporating both asymmetric information and symmetric order-flow shocks. It focuses on the dynamics of securities trading and postulates that trading activities are determined by the state of nature. A two-dimensional Markov...

We examine the impact of local religious beliefs on organizational risk-taking behaviors using hedge funds as a new and unique setting. We find that local religiosity is significantly negatively related to both total and idiosyncratic volatilities of hedge funds during 1996-2013, even after...

This paper develops an equilibrium model featuring heterogeneity in investor risk tolerance across different risk sources. Using Australian data, it confirms the theoretical predictions of the model, by showing that a higher imputation credit yield in one year leads to a lower stock return in...

This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive simulation demonstrates that the approach can successfully identify market states and generate dynamic measures of...