I develop a model that connects market states and momentum. The model analyzes asset pricing implications of two well-known psychological biases, overconfidence and self-attribution bias, in a setting of multiple risky assets whose payoffs contain a common factor. Due to self-attribution bias,...

This paper presents a present-biased general equilibrium model that explains many features of bond behavior. Present-biased investors increase (decrease) short-term (long-term) hedge demands compared to standard preferences. Hence, present bias drives up (down) short-term bond prices (yields)...

We study how the social transmission of public news influences investors' beliefs and securities markets. Using an extensive dataset to measure investor social networks, we find that earnings announcements from firms in higher-centrality locations generate stronger immediate price and trading...

We present a new approach and set of dictionaries for the analysis of sentiments in financial and business news headlines at the firm level. The proposed Polarity Pattern Approach (PPA) captures the deep structure of context and syntax and reduces measurement errors evident in previous...

We measure the nature and severity of a variety of belief distortions in market reactions to hundreds of economic news events using a new methodology that synthesizes estimation of a structural asset pricing model with algorithmic machine learning to quantify bias. We estimate that investors...

Using transaction data from a large non-fungible token (NFT) trading platform, this paper examines how the behavioral bias of selection-neglect interacts with extrapolative beliefs, accelerating the boom and delaying the crash in the recent NFT bubble. We show that the price-volume relationship...

This study attempts to examine the impact of social media attention and sentiment on IPO pricing. Specifically, by using social media sentiment as a proxy for retail investors’ valuation, I attempt to examine the theoretical predictions in prior studies (Ljungqvist, Nanda and Sigh (2006),...