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...

This paper examines investors' option activity on value and growth stocks before earnings announcements. The main finding is that unsophisticated investors enter option positions that load up on growth stocks relative to value stocks in the days leading up to earnings announcements. This occurs...

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...