Analyzing a large sample of U.S. firms, we show that the asymmetry of stock return volatility is positively related to investor attention and differences of opinion. Using the number of analysts following a given firm to capture attention and the dispersion in analyst forecasts as a common proxy...

Based on the APARCH model and two outlier detection methods, we compute reliable time series of volatility asymmetry for 49 countries with relatively few observations. Results show a steady increase in the asymmetry over the years for most countries. We find that economic development and market...

The paper assesses how different types of learning affect the disposition effect. We distinguish between “baseline learning abilities”, “learning by doing” and “learning about one's abilities”, differences in which emerge clearly from our exhaustive NASDAQ OMX Tallinn dataset. We...

We study how cognitive and non-cognitive abilities influence stock market participation and what distinguishes investors from non-investors. Combining five datasets enables to observe the effect of mental abilities in the finest detail. We find that economic activity and occupation as well as...

The paper analyses the tendency of investors to realize gains too early and the reluctance to liquidate losing positions. Analysis is based on the complete transaction data of the Estonian stock market. The Cox proportional hazard model along with ratio analysis is used to measure the...