Donald Trump’s election was a significant surprise. The reaction of company stock prices to the election reflects shifts in investor expectations about economic growth, taxes, and trade policy. High-beta stocks outperformed, presumably due to strengthened growth expectations. Expectations of significant corporate tax cuts boosted high-tax firms, but hurt firms with significant net operating los...

We examine how investor preferences and beliefs affect trading in relation to past gains and losses. The probability of selling as a function of profit is V-shaped; at short holding periods, investors are more likely to sell big losers than small ones. There is little evidence of an upward jump in selling at zero profits. These findings provide no clear indication that realization preference ex...

This paper provides an empirical analysis of the trading behavior and the impact of new investors on the bubble surrounding the Baosteel call warrant, the first derivative traded in China after a nine-year suspension. First, we find that the new investors initiated the bubble. Second, echoing common wisdom, we empirically show that the continuous entries of new investors sustained the bubble. T...

I present evidence of inefficient information processing in equity markets by documenting that negative information withheld by securities analysts is incorporated in stock prices with a significant delay. I estimate the extent of the withheld negative information based on the proportion of analysts who stop revising their annual earnings forecasts. This measure predicts negative earnings surpr...

Inventory positions of two risk averse market makers are introduced into a Kyle (1985) type batch trading model and the effects are analyzed. An equilibrium is defined with participation constraint and incentive compatibility and it is characterized as γ-coalitional equilibrium. At the equilibrium the two market makers share the risk of clearing orders so that the aggregate pricing schedule bec...

The realized size and value premia reflect earnings-induced price surprises that do not fit the rational pricing story. In addition, they seem to have little to do with systematic risks. This is because the majority of value or small firms with persistently high systematic risks are not rewarded with a premium. The premium happens, as a price adjustment, only to the subset of migrating firms wh...

We provide evidence for the importance of information asymmetry in asset pricing by using three natural experiments. Consistent with rational expectations models with multiple assets and multiple signals, we find that prices and uninformed demand fall as asymmetry increases. These falls are larger when more investors are uninformed, turnover is larger and more variable, payoffs are more uncerta...

Campbell, Lettau, Malkiel, and Xu (2001) document a positive trend in idiosyncratic volatility during the 1962–1997 period. We show that by 2003 volatility falls back to pre-1990s levels. Furthermore, we show that the increase and subsequent reversal is concentrated among firms with low stock prices and high retail ownership. This evidence suggests that the increase in idiosyncratic volatility ...

in this paper using catastrophe theory, we investigate non-smooth changes in tehran stock exchange. stock market crashes bring not only panic among investors, but also in deeper market lead to recession and decrease in consumer's confidence. as catastrophe theory is strong tool in explaining nonlinear phenomena, by applying stochastic cusp catastrophe model we examine sudden change in tehr...