We examine whether commonality in liquidity arises from style investing. We sort stocks into styles along widely-used size and growth dimensions, and show that style-related commonality in liquidity is significant, dominates commonality in liquidity with the rest of the market, and has more than...

The propensity of households to invest in stocks is lower than implied by Expected Utility Theory. One explanation suggested in the literature is that stocks entail ambiguity and investors are ambiguity averse. We test this hypothesis, measuring participation using equity fund flows and...

We use responses to a self-report survey and matched trading data to investigate the effects of personality (Big Five traits), IQ and financial literacy on individuals’ stock trading portfolios. Traits have small but significant effects: openness and extraversion are associated with...

We develop a model where overconfident investors overestimate their own signal quality but are skeptical of others'. Those investors who are initially uninformed believe that the early informed have learned little, leading the former investors to provide excess liquidity, which, in turn, causes...