We examine the short-duration premium using pre-scheduled economic, monetary policy, and earnings announcements. We provide high-frequency evidence that duration premia associated with revisions of economic growth and interest rate expectations are consistent with asset pricing models but cannot...

In this paper, I study how investing preferences of the relatively young, small, inexperienced, and well-connected individual investors on the Robinhood platform contrast with those of previously-studied individual investors. I find that unlike their predecessors, Robinhood investors do not have...

Using transaction data from a large non-fungible token (NFT) trading platform, this paper examines how the behavioral bias of selection-neglect interacts with extrapolative beliefs, accelerating the boom and delaying the crash in the recent NFT bubble. We show that the price-volume relationship...

We examine the role of investor-oriented social media platforms to predict crash risk. Using the investor-level novel data set from StockTwits, we find that sentiment oscillations on StockTwits are significantly and positively related to firm-level future crash risk. These results remain...

Social media activities are a proxy for non-fundamental forces that contribute to ETF premium. Greater social media coverage of an active ETF's holdings predicts a greater ETF premium on the next trading day. Active-ETF managers are more likely to sell underlying stocks which experience more...

We test and compare the effects of introduction of two new financial information technologies, EDGAR and XBRL, on well-known asset pricing anomalies often attributed to mispricing. EDGAR facilitates easier access to public accounting information about public firms; XBRL reduces the cost of...

We show that financial reporting spurs consumer behavior. Using granular GPS data, we show that foot-traffic to firms’ commerce locations significantly increases in the days following their earnings announcements. Foot-traffic increases more for announcements with extreme earnings surprises,...

We examine the relationship between investor attention, and measures of uncertainty, with the market dynamics of Bitcoin, and other cryptocurrencies. We find that increases in investor attention are associated with higher returns, more volatility, and greater illiquidity in cryptocurrency...

Incentives distort research findings. We now know that research findings favorable to the sponsor of the research should be discounted on the grounds of conflict of interest (e.g., tobacco companies or pharma companies). Is the same true in the field of finance? I argue that economic incentives...

Our paper conducts textual analysis on sell-side analyst reports and online stock opinion articles, which recommend that investors buy stocks that, based on prior literature, trade at comparatively high prices and earn low future returns. We test whether the justifications provided in these buy...