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Sentiment strategy, profitability, investor sentiment, risk factor
Informed Trading, Options Market, Merger Announcements
volatility spread, earnings response coefficient
Investor Attention, Volume Spikes, Attention Portfolios, Abnormal Returns
Merger Announcements, Option Trading, Insider Trading, SEC
Liquidity Trading, Insider Trading, PIN
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time varying, liquidity trading, insider trading
Insider trade; anchoring bias, 52-week high and 52-week low, private information
Insider Trading, VWAP, Transaction Costs, Trading Alpha, Investment Style
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