This paper assesses whether incorporating investor sentiment as conditioning information in asset pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as...

This paper examines the change in returns, trading activities, and liquidity of 43 firms that moved from the Over-The-Counter market to Taiwan Stock Exchange during 2002. Using the intraday data, our empirical results suggest that abnormal returns rise as the switching date is approaching, but...

The purpose of this study is to examine the determinants of the direct stockholding behavior for younger/non-retired and older/retired households in U.S. Using the 2001 Survey of Consumer Finances, the study found that education attainment, income level, attitudes toward credit card use, access...

A subsidiary failure may deteriorate the bank holding company's (BHC) financial conditions. BHCs' managers possess better knowledge than market investors concerning the likelihood of subsidiary failure, which gives rise to information asymmetry. We examine the effects of this information...

We examine the predictive effect of sentiment on the cross-section of stock returns across different economic states. The degree of mispricing and the subsequent price correction can be different between economic expansion and recession because of the limits of arbitrage and short sale...

We show that the pre-FOMC announcement drift is more pronounced among lottery-like stocks and does not reverse in the days following the announcement. The pre-FOMC demand for lottery-like stocks is more prominent among institutional investors than retail investors. The associated pre-FOMC drift...

Firm circumstances change but rating agencies may not make timely revisions to their ratings, thereby increasing information asymmetry between firms and the market. We examine whether firms time the securities market before a credit rating agency publicly reveals its decision to change a firm's...