Czarnitzki and Stadtmann (2005) measure the interdependence of demand for investment advice (approximated by sales of investor magazines) and stock prices. They find strong evidence that confirms the presence of the disposition effect, i.e. the empirical observation that investors sell winners...

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Exchange Traded Funds (ETFs) are one of the fastest growing areas of investing and have significantly changed investor behavior, yet there is limited academic research on ETFs, with minimal on commodity based ETFs. This paper is the first to examine whether abnormal returns are available for...

This study adopts the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Autoregressive Moving Average (GARCH-M-ARMA) and Exponentially Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Autoregressive Moving Average (EGARCH-M-ARMA) models to analyze the spillover,...

We show that highly liquid Exchange-Traded Funds (ETFs), especially those that are more liquid than their underlying basket of securities (i.e., positive relative liquidity), are particularly attractive to investors. Using three definitions of liquidity, we find that relative liquidity predicts...