Motivated by the evidence that investors tend to be overly optimistic about low-priced stocks, we examine how nominal price affects the cross section of stock returns. To circumvent the mechanical inverse relationship between price and expected return, we construct a novel way of examining the...

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...

For mergers and acquisitions with a small failure probability, the average decline in target stock price if the deal fails is much larger than the average increase that accompanies deal success. Probability weighting implies that the deal failure probability of such target stocks will be...