In our asymmetric-information asset pricing model, commonality in uninformed trading translates into a transient factor in returns. The factor is capable of simultaneously producing negative signs of return cross-autocorrelations, a feature that we document in data, and excess comovement in...

We adopt a new approach to study individual stock returns' predictability from prior returns, and show that over short-horizons (daily to weekly), individual stock returns exhibit continuation for moderate prior returns, that is, those in the -1% to 1% interval, and reversal for extreme prior...

We study the autocorrelation in short-horizon returns of individual stocks over the period 1971 to 2008 using pooled regression with non-parametric estimation. We find continuation for the central 40% of the return distribution (with returns ranging from -1% to 1%) and reversal for the two 30%...

Some consumption goods, such as housing, involve long-term commitment and their level of consumption can only be altered with substantial transaction costs. Even though the commitment effect on risk preferences, portfolio choice, and asset prices has been studied, little research has been...

This study investigates if market risk-based capital requirements (MRR) implemented in 1998 mitigated bank risk associated with trading activities. Recognizing that only banks with sufficiently high trading activities are subject to the MRR (regulated), we implement a difference-in-difference...

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcements, and find that the implied odds of deflation...

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcements, and find that the implied odds of deflation...