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A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
We examine the role of investor attention in explaining the profitability of price and earnings momentum strategies. Using trading volume and market state to measure cross-sectional and time-seriesExpand
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Learning with Information Capacity Constraints
Motivated by the fact that investors have limited time and attention to process information, this paper provides a continuous-time equilibrium model to analyze the effects of a capacity constraint inExpand
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Is there a risk–return trade‐off? Evidence from high‐frequency data
This paper examines the intertemporal relation between risk and return for the aggregate stock market using high-frequency data. We use daily realized, GARCH, implied, and range-based volatilityExpand
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Executive Pay and Shareholder Litigation
The paper examines the impact of executive compensation on private securities litigation. We find that incentive pay in the form of options increases the probability of securities class actionExpand
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Investor Attention: Overconfidence and Category Learning
Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors' attention allocation in learning and study the effects of this on asset-price dynamics. We showExpand
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Managerial Incentives and Stock Price Manipulation
This paper presents a rational expectations model of optimal executive compensation in a setting where managers are in a position to manipulate short-term stock prices, and managers' propensity toExpand
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A Call Auction’s Impact on Price Formation and Order Routing: Evidence from the NASDAQ Stock Market
Electronic call auctions are used globally to open and close equity market trading; as such, they are a critically important facility that needs to be better understood. The paper focuses on theExpand
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Investor Attention and Time-Varying Comovements
This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures toExpand
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R2 and Price Inefficiency
Motivated by the recent debate on return R2 as an information-efficiency measure, this paper proposes and examines a new hypothesis that R2 is related to investors’ biases in processing information.Expand
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Unfolding of a Quadratic Integrable System with a Homoclinic Loop
In this paper, we make a complete study of the unfolding of a quadratic integrable system with a homoclinic loop. Making a Poincaré transformation and using some new techniques to estimate the numberExpand
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