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作者：Gao, Xiaohui; Lin, Tse-Chun
作者单位：University of Hong Kong
摘要：We hypothesize that individual investors treat trading as a fun and exciting gambling activity, implying substitution between this activity and alternative gambling opportunities. To examine this hypothesis, we study the lottery jackpots and the trading of individual investors in Taiwan. When the jackpots exceed 500 million Taiwan dollars, the trading volume decreases between 5.2% and 9.1% among stocks preferred by individual investors and between 6.8% and 8.6% among lottery-like stocks. The d...
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作者：van Kervel, Vincent
作者单位：Vrije Universiteit Amsterdam
摘要：The rise of computerized trading strategies in equity markets has spurred competition between trading venues. This paper shows that cross-venue strategies create highly interlinked markets: trades on one venue are followed by sizeable cancellations of limit orders on competing venues. These cancellations are explained in a simple model of competition between two limit order markets with fast and slow traders. Only the fast traders can access the liquidity of both venues simultaneously. Empiric...
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作者：Birru, Justin
作者单位：University System of Ohio; Ohio State University
摘要：Using investor-level data, I document that the disposition effect is absent following a stock split; inattentive investors may fail to split-adjust their reference point, confusing the winner versus loser status of their holdings. Consistent with the disposition effect impeding the incorporation of news, ex-date returns are significantly higher for split stocks with higher gains. However, the magnitude is small relative to momentum, and momentum remains robustly present among this sample of st...
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作者：Ahern, Kenneth R.; Sosyura, Denis
作者单位：University of Southern California; University of Michigan System; University of Michigan
摘要：The media has an incentive to publish sensational news. We study how this incentive affects the accuracy of media coverage in the context of merger rumors. Using a novel dataset, we find that accuracy is predicted by a journalist's experience, specialized education, and industry expertise. Conversely, less accurate stories use ambiguous language and feature well-known firms with broad readership appeal. Investors do not fully account for the predictive power of these characteristics, leading t...
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作者：Osambela, Emilio
作者单位：Carnegie Mellon University
摘要：This paper studies how investors' differences of opinion affect liquidity and asset prices. In our economy, excessively optimistic investors are subject to an endogenous funding constraint that prevents default due to ex-ante-limited commitment. When the funding constraint binds, optimists use their savings to increase their consumption share, deterring default. This allows them to place speculative trades, increasing market liquidity. Their losses on these trades make them prone to default, l...
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作者：Payzan-LeNestour, Elise; Bossaerts, Peter
作者单位：University of New South Wales Sydney; Utah System of Higher Education; University of Utah; University of Melbourne
摘要：Neoclassical finance assumes that investors are Bayesian. In many realistic situations, Bayesian learning is challenging. Here, we consider investment opportunities that change randomly, while payoffs are observable only when invested. In a stylized version of the task, we wondered whether performance would be affected if one were to follow reinforcement learning principles instead. The answer is a definite yes. When asked to perform our task, participants overwhelmingly learned in a Bayesian ...
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作者：Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S.; Helwege, Jean
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of California System; University of California Riverside
摘要：We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with fragile beliefs are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit default swaps (CDS) data shows that agents require a time-varying risk premium for bearing state uncertainty. The model outperforms affine specifications with the same number of state variables, suggesting that there are important nonlinearitie...
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作者：Bernile, Gennaro; Kumar, Alok; Sulaeman, Johan
作者单位：Singapore Management University; University of Miami; Southern Methodist University; National University of Singapore
摘要：We develop a 10-K-based multidimensional measure of firm locations. Using this measure, we show that firm-level information is geographically distributed and institutional investors are able to exploit the resulting information asymmetry. Specifically, institutional investors overweigh firms whose 10-K frequently mentions the investors' state even when those firms are not headquartered locally and earn superior returns on those stocks. These ownership and performance patterns are stronger amon...
