This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informedtrading activities on put and call options are analyzed for 19 companies in the bankingand insurance sectors from January 1996 to September 2009. Our empirical findings suggestthat certain events such as...

We study the relation between order imbalance and past returns and firm characteristics and testa number of hypothesis including the disposition effect, momentum and contrarian trading, taxlossselling and flight-to-quality hypothesis. These hypotheses make predictions about investors’buy or...

Consider an investor trading dynamically to maximize expectedutility from terminal wealth. Our aim is to study the dependencebetween her risk aversion and the distribution of the optimal terminalpayo. Economic intuition suggests that high risk aversion leads to arather concentrated distribution,...