We examine the role of investors' beliefs in determining the post earnings announcement drift (PEAD). Specifically, we propose a technique to estimate the belief parameters of the informed and uninformed investors, based on which we define the uninformed investors' information acceptance ratio...

The stock market is affected by sentiment. The question is, however, how to quantify this effect on asset prices. By utilizing the unique RavenPack Sentiment Index, a news-based proxy for market sentiment, this paper intends to address this issue empirically by exploring the pricing implications...

The presence of investor sentiment pushes asset prices away from the equilibrium level justified by underlying fundamentals. While sentiment is not directly observable, identifying appropriate proxies and, quantifying the impact of sentiment on asset prices is an important topic. Asset prices...

The increase in investor diversity over the last 35-40 years (ICI 2014) prompted us to revisit trading volume reactions to earnings announcements and how these reactions vary with firm size. This increase in investor diversity would likely lead to an increase in differences in the precision of...

This article examines the relationship between changes in the level of investor fear (measured by VIX) and financial market returns. We document a statistically significant relationship, across asset classes, consistent with a flight to quality as investor fear increases. As VIX increase there...

We establish a robust link between momentum and accruals. Momentum profitability is mostly concentrated in firms with high accruals. Cross-sectional characteristics of momentum previously documented do not subsume the effect of accruals on momentum. Loser stocks with high accruals experience...

This study aimed to assess the relationship between market anomalies and investors' decisions. To this end, using correlation and regression analyses, the impact of market anomalies indices in a prevailing approach, the stock price to earnings (P/E) ratio, operating cash flow to price ratio and...

This paper examines the recency bias and overreaction in the NFL betting market from 2003 to 2017. Consistent with the recency bias, bettors are more likely to bet on teams who have won previous outcomes. We add to the literature and find that the magnitude of prior wins and losses in the...

This paper examines the momentum strategy in Australia under the debate on whether momentum strategy is profitable in Australia. It studies both the price and alpha momentum strategy performance under several lookback periods, and applies short position adjustment and volatility scaling. I...

This paper provides evidence that reference price distributions can predict stocks' expected returns. We develop a model based on the disposition effect by considering shareholders' trading activities with different relative capital gains. The model suggests that both disposition-prone...