Asset pricing models with atomistic agents typically relax assumptions concerning rationality and/or homogenous information in order to track endogenous bubbles. In this model, identically informed rational agents hold a Perceived Law of Motion (PLM) for a single new technology asset at IPO, yet...

We develop two investment strategy measures by investor type and explore their predictive capability on idiosyncratic volatility, liquidity risk and liquidity commonality. The measures indicate whether each of our nine investor types persistently implements a “positive-feedback” or a...

Day-of-the-week tests for the entire distribution (rather then specific moments) are employed on the Tel-Aviv Stock Exchange index using non-parametric tests. We further add to prior art by examining whether Sunday's return distribution is significantly different from the distribution of any and...

Mean and variance of daily type-A and B stock returns in Shanghai and Shenzhen exchanges are studied before and after these stocks were subject to a -10% daily return limit, and when investors' clientele were segmented, vs. merged. We find that imposing the -10% return limit significantly...

We compare changes of mean and variance of returns as two regulations have changed between 1992 and 2007 in the Chinese exchanges of Shanghai and Shenzhen. Specifically, we compare the implementation of a ±10% daily return limit vs. the absence of any limit, and the effect of allowing local and...