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
Momentum, Information Discreteness, Idiosyncratic Volatility
momentum, limited attention, information discreteness
intraday returns, return predictability, asset pricing, high-frequency
return reversal, liquidity, cash flows, discount rate
return reversal, liquidity
Expected return, discount rate news, cash flow news, predictability, analyst forecast
Momentum, Same-Weekday, Return Seasonality
exchange-traded funds, correlation
Investor Sentiment, Volatility, Fund Flow, Survey
G11, G12, G14, G4 Return Predictability, Institutional Attention, Retail Attention, Macroeconomic Announcements, Announcement Premium, Order Imbalance, Mutual Fund Flow
Cost of Capital, CAPM, Capital Asset Pricing Model, Capital Budgeting
Fractional Trading, Bubble, Coordination, Feedback, COVID-19
attention, institutional investors, retail investors, earnings announcements, analyst recommendations, news, Bloomberg
Search Volume, Earnings Surprises, Revenue Surprises
Short run reversal, liquidity, sentiment, fundamental news
Information Diffusion, Price Pressure, Social Media, Liquidity
Analyst Forecasts, Limited Attention, Return Predictability
Arbitrage trading, hedge funds, short selling, stock anomalies, limits to arbitrage
Retail Trade, Institutional Trade, Payment for Order Flow, Internalization, Liquidity, Microstructure
return extrapolation; beliefs in the cross-section; expectation formation
Dividend-price ratio, earning-price ratio, dividend growth, earnings growth, predictability, dividend smoothing
SEC 8-K filings, Investor Attention, Price discovery, Price pressure
Strategic Disclosure, Hedge Funds, Ownership Disclosure, 13F Holdings, Restatement, Fund Skill
margin trading, leverage management, liquidation policy, contagion
Analyst target prices, liquidity
Wisdom of Crowds, Herding, Naive Learning, Social Learning, Group Decision Making, Earnings Forecast
Short Selling Efficiency, Return Predictability, Mispricing, Market Efficiency
Information, Asset Prices, Risk Premia
Return autocorrelation, Stock market indexing, Arbitrage
Financialization, Return autocorrelation, Index trading, News sentiment, ETF arbitrage, Price discovery
Margin trading, leverage, contagion, network centrality
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
Coordinated Noise Trading, Pension Funds, Price Pressure, Financial Advisors, Social Media
Informed Trading, Liquidity, Mutual Fund
Price pressure, hedging, informed trading, FOMC meetings
Presidential puzzle, political cycle, presidential economic approval rating, presidential job approval rating, sentiment
Analysts, Effort Provision, Forecast Accuracy, Work From Home
Order Flow Segmentation, Internalized Retail Trade, Institutional Trading Costs, Cross-section of Stock Returns, Liquidity Premium
Exchange Rates; CIP Deviations; Pension Funds; Market Efficiency
Analyst Forecasts, Return Predictability
cash flow, consumption risk, stock returns, duration
Institutional Trading, Security Lending, Lendable Equity, Proxy, Machine Learning
Target Price, Analsyts Forecasts, P/E, discount rate
Fiscal Policy, Consumption, Stock Returns
firm life cycle, industry IPO wave, gross margin, growth equilibrium, limits to arbitrage
liquidity shock, bond return reversal, clientele change
post-earnings announcement drift, presidential cycles, Republicans, Democrats, underreaction, earnings surprises, subjective expectation, tax policy uncertainty
return predictability, currency information, foreign operations
aggregate investment, variance decomposition, q-theory, earnings shocks, cash flow news, discount rate news
Informed Trading, Self Financing, Industry Neutral, Institutional Investor Skill
aggregate investment, variance decomposition, q-theory, earnings shocks, cash flow news, discount rate news.
Air Travel, Local Bias, Diversification, Cost of Equity
Short-selling fees, Stock lending market
Informed trading, Firms, Share issuance, Buybacks, Insiders, Outside arbitragers, Profitability, Momentum, Persistence in Profitability, Fundamental Valuation, Anomalies
Lotteries, Fiscal Policy, Consumption
Artificial Intelligence, Law of One Price, Censorship, A-H Share Premium
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Asset allocation, Black-Litterman model, Target price
