This paper examines real estate investment trusts (REITs) to determine the correspondence between short interest and subsequent prices. The theoretical basis for our tests comes from the overvaluation conditions created by a combination of costly short selling and heterogeneous beliefs. This...

This study finds that firm life stage affects investor behavior around earnings announcements. Introduction and decline stage companies exhibit significantly less positive cumulative abnormal returns (CARs) around positive earnings surprises and more negative CARs around negative earnings...

Motivated by investor preference for low price stocks, we examine the significance of nominal prices for the universe of U.S. stocks. We find that there is no statistically significant difference in returns for stocks with different nominal prices when size is not controlled for. However, a...

Theoretical predictions and empirical results are ambiguous about existence of seasonality in futures markets. This paper examines one prominent seasonality, i.e. the weekend effect in futures markets and presents rational and behavioral reasons for its existence. Specifically, we document a...