This paper applies a new measure of aggregate investor confidence, which extracts feedback impulses from stock market data. According to the measure, aggregate investor confidence is positively associated with the profitability of momentum strategies. In a 1927-2014 U.S. sample, aggregate...

Overconfidence is one of the most robust findings in the field of Behavioural Finance, and is associated with excessive trading and risk taking among market participants. Assessment of the level of confidence in their abilities and skills is well-documented for individuals. However, the...

Using the "Dragon and Tiger" list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and...

The main purpose of this study is to address the association between investors’ divergence of opinion (DIVOP) and stock mispricing for UK firms listed in the London Stock Exchange Market. Previous research on this topic has provided mixed results. Some studies provide evidence consistent with...

Stock prices occasionally move in response to unverified rumors. I propose a cheap talk model in which a rumormonger's incentives to tell the truth depend on the interaction between her investment horizon and the information acquisition decisions of message-receiving investors. The model's key...

We document that the stock market's reaction to unscheduled firm-specific news such as credit rating downgrades and 8-K filings is significantly weaker during December as compared to other months. In contrast, the market's reaction to scheduled earnings announcements is not significantly...

Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...

This paper critically evaluates the significant weather effect on stock return reported in two seminal studies of investors' mood on stock market. It is found that their research design of maximizing statistical power by pooling as many data points as possible is statistically flawed, with a...

We examine how using stock as the method of payment affects a bidder's investor base and investor recognition, and the bidder announcement return. We hypothesize that relative to a cash acquisition, a stock acquisition would increase the bidder's investor base and lower Merton's (1987) shadow...

The fundamental indicators of stocks include information as well as the effects of noise and bias on the stock prices; however, identifying the effects of noise and bias is generally difficult. In this article, I present the true fundamentals hypothesis based on rational expectations and detect...