This paper examines whether the trading activities of retail and institutional investors cause comovements in stock returns. Using stock splits and headquarters changes events and a variety of trading-based measures, we show directly that retail investors generate excess comovements in stock...

In the standard regression of bidder announcement returns (ACARs) on bidder size in US data from 1981-2014, the coefficient on bidder size is positive and significant (0.5, t = 3.9) when the target is a public firm, where the average ACAR is negative (−1.4%); but it is negative and significant...

There is strong evidence that macroeconomic releases influence prices in financial markets. However, why do markets react to some announcements while they ignore others with a similar content? Based on a Bayesian learning model, we show that market impact is mainly determined by information...

In this experimental study we examine the impact of self-fulfilling prophecies on financial ratings. According to theoretical models like Kuhner (2001), rating agencies are more likely to reveal their private information if their rating can not become self-fulfilling from an ex-post point of...

Using firm-level ESG news indices, we examine whether active mutual fund managers skillfully integrate material ESG information into their portfolio decisions. We find firm-level ESG news affects mutual fund holdings. Fund managers incorporate material ESG news to cater to investor demand and...