The paper investigates how the availability heuristic of individual stocks affects equity returns, where the availability heuristic is measured by the irrational signal in the fractal dimension. Our evidence support that the availability heuristic can positively predict the short-term expected...

This paper provides a measurement of framing effects in the stock market by using actual market open trading data, and provide a test of this new firm-special behavioral characteristic. We adopt univariate and bivariate portfolio-level analyses with seminal rational and behavioral factors, to...

Anchoring bias (AB) measured at the end of each month by the absolute slope coefficient of a 1-year rolling window regressing relative net purchase ratio on a 52-week high ratio, significantly and negatively predicts 1-months-ahead stock returns both in-sample and out-of-sample. We show...