We examine the extent of the Status Quo Bias (SQB) in a real-world repeated decision situation. Individuals who are subject to a SQB tend to choose an alternative that was chosen previously (i.e. their status quo), even if it is not the optimal choice any more. We examine the US equity mutual...

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from...

We hypothesize that a source of commonality in a stock's liquidity arises from correlated liquidity demand of the stock's investors. Focusing on correlated trading of mutual funds, we find that stocks with high mutual fund ownership have comovements in liquidity about twice as large as those for...

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....