We measure herding of trading activities by regressing individual order imbalances on market wide, industry wide, and dealer wide order imbalances. We find that stocks whose trading activities herd more have higher sensitivity of their returns to order imbalances. Investors demand compensations...

We propose two new risk measures (i-beta and i-gamma) for a stock, which aim to distinguish between noise and information. Noise allows the stock price evolution to happen along a continuous path. Market wide economic information is transmitted via price jumps. Noise is idiosyncratic and does...

This paper provides evidence of the price-pressure hypothesis in the aggregate, daily stock-market return. Events that convey no new information about fundamentals, but entail large transfers of cash, predict the daily stock-market return. This predictability relates to the growth of passive...

Fund trades and prices vary systematically with the quarterly reporting cycle. Funds are more likely to complete the building of a position at quarter-end, which is when most funds report positions to investors, and begin building new positions afterwards. While some of the observed shift in...

I find that firms which are predicted to transfer among the factor portfolios of Fama and French (1993) exhibit strong and statistically significant short-term variation in stock price and volume. Short-term returns around the cutoff values comprising SMB and HML tend to be temporarily high if...

We study price pressures, i.e., deviations from the efficient price due to risk-averse intermediaries supplying liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically large price pressures, 0.49% on average with a half life of...

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...

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

We examine the roles of rational and behavioural factors in explaining long-run premiums/discounts on closed-end funds, using evidence on equity funds from the US and UK. Although the processes by which fund prices converge towards long-run premiums or discounts are similar in the two countries,...