Boston, MA 02163
United States
Harvard Business School
Retail Investors; Momentum; Earnings Surprises
Passive Ownership, Index-Linked Investing, Prearranged Trades, Index Funds, Direct Indexers, Reconstitution Day
Passive Ownership, ETFs, Market Efficiency
index inclusion, passive ownership, market efficiency
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trade policy, uncertainty, stock returns, risk premium
re-pricing options, forecasting volatility, seemingly unrelated regression, implied volatility
stock market jumps, policy news, market clarity, market volatility, uncertainty, newspapers, human classification
customer base, customers, transaction data, customer churn
factor models, global risk, momentum, exposure
Asset Pricing, Information Choice
retail investors, retail heterogeneity, earnings announcer premium