Building on prior literature which suggests that investors in most countries, but not Japan, are subject to behavioural biases that cause momentum, and informed by the shared cultural values in Japan which leans heavily in favour of collective action, this paper asks whether stock return...

Motivated by memory-based choice models such as Bordalo, Gennaioli, and Shleifer (2020) and Mullainathan (2002), I empirically examine if investor evaluation of a firm is influenced by their memories of the firm. I consider the news setting and building on Das (2022a), I reason that once...

This paper shed light to the existence of momentum and reversal patterns in the 18 industry indexes of DJ Euro Stoxx. The analysis is focus on European market and test a presence structural break in year 2000 (financial services and markets act). We made an analysis of five portfolios over eight...

We categorize the stocks in the Taiwan share market by size, value, and growth, then form the portfolio index for each group according to the Taiwan Stock Exchange's weighted index method. Li and Yu's (2012) measurement method for investors' under- and overreactions, as well as Fama and French's...

Determining whether investment strategies exist that provide higher (risk-adjusted) returns than buying and holding the S&P 500 stock market index is not only highly relevant for finance theory, but also for the asset management industry. This study conducts a comprehensive test using realistic...

We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An increase in index investing leads to lower information production as measured by Google searches, EDGAR views, and analyst reports, yet price informativeness remains unchanged....

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...

This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also...

Random changes in firms' stock index membership have important implications on sell-side analysts' career outcomes. Covered firms moving from the bottom of Russell 1000 to the top of Russell 2000 significantly increase an analyst's likelihood of moving to a high-status broker or receiving a...