Chapter 1: Economics and the Equity Market: A Microeconomics Course Application -- Chapter 2: Liquidity, Trading, and Price Determination in Equity Markets: A Finance Course Application -- Chapter 3: Liquidity and the Impact of Information Shocks: A Macroeconomics Course Application -- Chapter...

We test the hypothesis that retail investors' attraction to lottery stocks induces overvaluation, and is amplified by high attention and social interactions. The lottery premium (negative abnormal returns) is stronger for high-retail-ownership stocks—especially those that also have high...

We identify a new mechanism of opportunistic insider trading that is associated with attention-driven mispricing. Insiders are more likely to sell their company’s stock after increases in retail attention, and they are more likely to buy after attention decreases. A long-short insider-trading...

Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors' attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to ``category-learning" behavior, i.e., investors tend to...

We examine the relation between investor attention and financial market anomalies. We find that anomaly returns are higher following high-attention days. The result is robust after controlling for risk factors, the effect of news, and in a natural experiment setting in which the rounding of...

We examine the role of investor attention in explaining the profitability of price and earnings momentum strategies. Using trading volume and market state to measure cross-sectional and time-series variations of investor attention, we find that price momentum profits are higher among high volume...