In our asymmetric-information asset pricing model, commonality in uninformed trading translates into a transient factor in returns. The factor is capable of simultaneously producing negative signs of return cross-autocorrelations, a feature that we document in data, and excess comovement in...

We adopt a new approach to study individual stock returns' predictability from prior returns, and show that over short-horizons (daily to weekly), individual stock returns exhibit continuation for moderate prior returns, that is, those in the -1% to 1% interval, and reversal for extreme prior...

We study the autocorrelation in short-horizon returns of individual stocks over the period 1971 to 2008 using pooled regression with non-parametric estimation. We find continuation for the central 40% of the return distribution (with returns ranging from -1% to 1%) and reversal for the two 30%...

Some consumption goods, such as housing, involve long-term commitment and their level of consumption can only be altered with substantial transaction costs. Even though the commitment effect on risk preferences, portfolio choice, and asset prices has been studied, little research has been...

We study the effect of investor attention on stock returns over short horizons (less than a month). For each trading day, we construct portfolios of stocks from companies in the two smallest size quintiles that are likely to attract unusual attention from retail investors. These attention...