In this study, we employ a multidimensional approach to extract investor sentiment from social media data using a non-economic-related dictionary, namely, the NRC-Emotion Association Lexicon. Considering a vast number of short text messages from the financial microblogging platform StockTwits,...

Investors who use biased information from news media subsequently tend to make irrational decisions about acquiring firm-specific information compared to rational expectations. This model of information acquisition yields testable predictions that are verified by using a novel dataset. First,...

The momentum anomaly is widely attributed to investor cognitive biases, but the trigger of cognitive biases is largely unexplored. In this study, inspired by psychology studies linking cognitive biases to the noisiness of information, we examine whether momentum returns are associated with high...

We construct a new measure that captures the disparity between the market reaction to earnings information and the earnings surprise ("Return-Earnings Gap", "REG"). High REG scores positively predict analyst forecast errors and firm mispricing (overvaluation) scores, especially for build-up...

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets and cognitively biased agents, accounting for the presence of representativeness heuristic, conservatism, and anchoring and adjusting in their beliefs. We characterize anomalies...

We study how the social transmission of public news influences investors' beliefs and securities markets. Using an extensive dataset to measure investor social networks, we find that earnings announcements from firms in higher-centrality locations generate stronger immediate price and trading...

Retail order imbalance positively correlates with returns in the days following trades. However, in aggregate, retail investor trades lose money over these same periods. Why? 1) While order imbalance tests value or equally weight stocks, retail purchases are concentrated in stocks earning large...

Trading in cryptocurrencies has grown rapidly over the last decade, primarily dominated by retail investors. Using a large dataset of more than 200,000 retail traders from eToro, we show that they have a different model of the underlying price dynamics in cryptocurrencies compared to other...

The widespread adoption of social media has engendered notable changes in who is involved in the production, dissemination, and reformulation of market-relevant information. Building on this idea, this study posits that different types of accounting information networks feature different types...