Wang, Jiexin; Han, Xue; Huang, Emily J.; Yost-Bremm, … - In: Review of Behavioral Finance 12 (2019) 4, pp. 317-334
Purpose: The purpose of this paper is to investigate the impact of factor-based trading strategies on pricing and volume. Design/methodology/approach: The authors employ a regression discontinuity approach to identify abnormalities in volume or pricing around expected portfolio changes. In...