This paper documents a simple and powerful cross-sectional mechanism: a higher rate of investor participation in trading a stock translates into a greater contribution of the stock to market movements. The participation-driven overreaction (1) forms a persistent source of excess market...

This study examines the relationships between bid-ask spreads and share turnovers as proxies for information asymmetry and liquidity and the world zones where the entities are incorporated of Foreign Private Issuers that utilize various forms of GAAP for filing with the U.S. Securities and...