We find that disagreement helps explain well-known ten cross-sectional financial anomalies. Specifically, we first show that the underperformance of short legs of the anomalies is most pronounced among high disagreement stocks. This results in stronger financial anomalies among high disagreement...

This paper focuses on an unexplored dimension of fund managers' timing ability: market-wide tail risk implied by information in options markets. We investigate whether hedge fund managers can strategically time market tail risk implied by options through adjusting their portfolios' market...

We attempt to explain post-earnings announcement drift using the newly documented refinement of the disposition effect, which is the V-shaped net selling propensity (VNSP). Using a novel data set containing stock-level information on the trading activities of different types of investors, we...