Recent studies suggest that investor emotions might cause securities to be mispriced. We build an investment strategy around the mispricing opportunities identified in two papers that have examined how emotions influence investor reaction to earnings announcements. This strategy proves to be...

This study explores the nexus between investors’ sentiments and herding behavior toward the market consensus in the U.S. and Europe stock markets from January, 2005 to April, 2021. We document strong evidence of herding during periods characterized by high level of sentiments. Our results...

We use retail Structured Equity Product (SEP) issuances to construct a new sentiment measure for individual stocks. The SEP sentiment measure predicts negative abnormal returns on the SEPs' reference stocks based on a variety of benchmarks including behavioral factor models and factors based on...

Using short sell transactions data from 2010 to 2016, this paper is the first to provide a comprehensive sample of short selling initiated by retail investors. We find that retail short selling can predict negative stock returns. A trading strategy that mimics weekly retail shorting earns an...

We study the effects of the popular Mad Money Show on the attention of investors and financial markets. We find that the Show’s mentions/recommendations significantly affect retail and institutional investor attention, proxied by SEC EDGAR queries and posts on Stocktwits, that remain after...

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

This paper examines the equity market return predictability of institutional investor sentiment, in comparison to individual investor sentiment. Our findings suggest that institutional traders are informed, and that their sentiment helps tilting stock prices towards the intrinsic value. This is...

This paper aims to use comprehensive evidence to test the herding behaviors existing in 6 ASEAN stock markets, including Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam. The paper used a survivor-bias-free dataset of daily stock returns during the period January 1, 2009 to...

We use a novel and unique dataset to measure attention to securities—individuals’ stock-following over time (watchlists)—to provide evidence that attention to securities reacts differently to various types of uncertainty. We find that market-wide uncertainty, measured by the VIX index,...

Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000 transactions by 303,000 households in Finland, this paper shows that individual investors with longer holding periods choose to hold less liquid stocks in their portfolios, consistent with Amihud...