The investor overconfidence theory predicts a direct relationship between market-wide turnover and lagged market return. Whereas previous research has examined this prediction in the equity market, we focus on trading in the options market. Controlling for stock market cross-sectional...

We examine how institutional investors influence post-earnings announcement drift (PEAD) in China. Our findings suggest that institutional holdings are positively correlated with PEAD in China, especially when institutional investors herd strongly on earnings news. This positive relationship is...

The magnitude of the short term market reaction to news announcements is adversely affected by the total number of announcements that day. We argue that the total number of announcements creates a level of distraction that results in a significant underreaction on high distraction days. The...

We investigate the new reality of exchange-traded funds (ETFs). We show that many ETFs are active investments in form (designed to generate alpha) or function (serve as building blocks of active portfolios). The median ETF has an Activeness Index of 93.1%. Active-in-form ETFs have positive...