This paper empirically examines the incremental relation between trading volume surrounding quarterly earnings announcements and institutional holdings. Consistent with Cready (1988) and Lee (1992), we find a significant positive relation between abnormal trading volume and the fraction of...

Using proprietary order-level data from a U.S. broker-dealer, we examine price changes following market and price contingent order submissions. Controlling for market conditions, time of day, and various order, stock, and trader characteristics, we find that prices rise (decline) after the...

We study the impact of model disagreement on the dynamics of asset prices, return volatility, and trade in the market. In our continuous-time framework, two investors have homogeneous preferences and equal access to information, but disagree about the length of the business cycle. We show that...

We document a robust positive relationship between the belief dispersion about macroeconomic conditions among household investors and the stock market trading volume, using more than 30 years of household survey data and a novel approach to measuring belief dispersions. Notably, such a...

Utilising unique shareholding data for Australian equities we examine whether the high volume return premium (‘HVRP') is associated with changes in investor recognition as has been posited in various empirical studies. We confirm the existence of the premium in Australia as stocks which...

Investors in stock markets face a huge amount of financial information. For that reason, they must decide how to distribute their trading effort across different securities. We propose a new measure of investor trade allocation between securities, called the trading signature . This measure,...