Notre Dame, IN 46556-5646
United States
University of Notre Dame - Mendoza College of Business
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Return momentum, Futures trading, Hedging demand, Return Predictability, Indexing
attention, internet search, individual investor, IPO, price momentum
return reversal, liquidity, cash flows, discount rate
return reversal, liquidity
Momentum, Information Discreteness, Idiosyncratic Volatility
momentum, limited attention, information discreteness
Expected return, discount rate news, cash flow news, predictability, analyst forecast
exchange-traded funds, correlation
Investor Sentiment, Volatility, Fund Flow, Survey
Cost of Capital, CAPM, Capital Asset Pricing Model, Capital Budgeting
Search Volume, Earnings Surprises, Revenue Surprises
Return Predictability, Institutional Attention, Retail Attention, Macroeconomic Announcements, Announcement Premium
Fractional Trading, Bubble, Coordination, Feedback, COVID-19
attention, institutional investors, retail investors, earnings announcements, analyst recommendations, news, Bloomberg
Short run reversal, liquidity, sentiment, fundamental news
Analyst Forecasts, Limited Attention, Return Predictability
Information Diffusion, Price Pressure, Social Media, Liquidity
Arbitrage trading, hedge funds, short selling, stock anomalies, limits to arbitrage
Dividend-price ratio, earning-price ratio, dividend growth, earnings growth, predictability, dividend smoothing
return extrapolation; beliefs in the cross-section; expectation formation
SEC 8-K filings, Investor Attention, Price discovery, Price pressure
Retail Trade, Institutional Trade, Payment for Order Flow, Internalization, Liquidity, Microstructure
Analyst target prices, liquidity
Strategic Disclosure, Hedge Funds, Ownership Disclosure, 13F Holdings, Restatement, Fund Skill
margin trading, leverage management, liquidation policy, contagion
Wisdom of Crowds, Herding, Naive Learning, Social Learning, Group Decision Making, Earnings Forecast
Information, Asset Prices, Risk Premia
Return autocorrelation, Stock market indexing, Arbitrage
Short Selling Efficiency, Return Predictability, Mispricing, Market Efficiency
Financialization, Return autocorrelation, Index trading, News sentiment, ETF arbitrage, Price discovery
Consumption-based Capital Asset Pricing Model (CCAPM), electricity consumption, return predictability.
Consumption-based Capital Asset Pricing Model (CCAPM), electricity consumption, return predictability
Clientele, Liquidity, Default Risk, Stock Return
Margin trading, leverage, contagion, network centrality
Informed Trading, Liquidity, Mutual Fund
Coordinated Noise Trading, Pension Funds, Price Pressure, Financial Advisors, Social Media
Analysts, Effort Provision, Forecast Accuracy, Work From Home
Presidential puzzle, political cycle, presidential economic approval rating, presidential job approval rating, sentiment
cash flow, consumption risk, stock returns, duration
Analyst Forecasts, Return Predictability
Cross-section of Stock Returns, Liquidity Premium, Institutional Trading Costs, Internalized Retail Trade, Order Flow Segmentation, Microstructure
Target Price, Analsyts Forecasts, P/E, discount rate
Fiscal Policy, Consumption, Stock Returns
Exchange Rates; CIP Deviations; Pension Funds; Market Efficiency
firm life cycle, industry IPO wave, gross margin, growth equilibrium, limits to arbitrage
liquidity shock, bond return reversal, clientele change
aggregate investment, variance decomposition, q-theory, earnings shocks, cash flow news, discount rate news
aggregate investment, variance decomposition, q-theory, earnings shocks, cash flow news, discount rate news.
return predictability, currency information, foreign operations
Informed Trading, Self Financing, Industry Neutral, Institutional Investor Skill
Air Travel, Local Bias, Diversification, Cost of Equity
Lotteries, Fiscal Policy, Consumption
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Asset allocation, Black-Litterman model, Target price