By analyzing a novel transaction-level dataset, this study reveals the microstructural liquidity dynamics around scheduled macroeconomic announcements. Specifically, we examine whether investor composition contributes to liquidity fluctuations in a highly liquid and purely order-driven index...

This study examines whether sentiment indices predict individual firms’ stock returns and evaluates the performances of sentiment-based trading strategies. Both the sentiment indices constructed using the principal component analysis (PCA) and overnight stock returns positively predict stock...

We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...