We use a bivariate GJR-GARCH model to investigate simultaneously the contemporaneous and causal relations between trading volume and stock returns and the causal relation between trading volume and return volatility in a one-step estimation procedure, which leads to the more efficient estimates...

Guided by the Gervais and Odean (2001) overconfident trading hypothesis, we comprehensively investigate the trading behavior of individual vs. institutional investors in Taiwan in an attempt to identify who is the more overconfident trader. Conditional on the various states of the market, on...

Falk has shown that there are large and systematic deviations of real farmland prices in Iowa from their fundamental values. Falk and Lee (FL) conclude that these deviations are more easily explainable in terms of fads rather than speculative bubbles. In his comment on FL, Roche argues that the...