This study fills an important gap in the literature on loss realization aversion. It shows how a ‘sophisticated’ sub-set of investors, namely short-sellers, react to losses. Using daily data on stock lending, we estimate the average price at which short positions were initiated, thus...

The recent sub-prime debacle has brought ‘innovative’ structured credit products such as collateralized debt obligations under severe criticism. The complexity of some structured finance securities and difficulties in understanding their risks has been a common theme. This paper argues that...

This study fills an important gap in the literature on loss realization aversion. It shows how a ‘sophisticated' sub-set of investors, namely short-sellers, react to losses. Using daily data on stock lending, we estimate the average price at which short positions were initiated, thus...

The cost of executing orders could differ from the cost of trades. We estimate the cost of a fund manager's orders to trade in shares and contracts for differences (CFDs), using data for 2013-15. We compare directly the effective half-spread (EHS) of an order with the EHS that would be inferred...

The recent sub-prime debacle has brought ‘innovative' structured credit products such as collateralized debt obligations under severe criticism. The complexity of some structured finance securities and difficulties in understanding their risks has been a common theme. This paper argues that...

This study intends to investigate the momentum effect, which states that shareswhich performed the best (worst) over the previous three to twelve months continueto perform well (poorly) over the subsequent three to twelve months. Evidence suggests that a strategy that buys previous winner shares...

ABSTRACT A number of studies have explored the sources of the Monday effect, according to which returns are on average negative on Mondays. We contribute to the literature by exploring whether a direct measure of mood explains the Monday effect. In line with psychological literature, a greater...