How do retail investors respond to the outbreak of COVID-19? We use transaction-level
trading data to show that investors significantly increase their trading activities as the COVID …

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …

We investigate a link between the performance of several security indexes in broad
investment categories and investor attention as measured by Google search probability. We …

This paper documents a significantly negative cross-sectional relation between left-tail risk
and future returns on individual stocks trading in the US and international countries. We …

The low (high) abnormal returns of stocks with high (low) beta, which we refer to as the beta
anomaly, is one of the most persistent anomalies in empirical asset pricing research. This …

We propose a simple methodology to evaluate a large number of potential explanations for
the negative relation between idiosyncratic volatility and subsequent stock returns (the …

A number of authors have suggested that investors derive utility from realizing gains and
losses on assets that they own. We present a model of this “realization utility,” analyze its …

We show that retail trading activity has a positive effect on the volatility of stock returns,
which suggests that retail investors behave as noise traders. To identify this effect, we use a …

This study examines how limits of arbitrage can affect the pricing of idiosyncratic volatility.
Using both unique trading constraints in the Chinese stock market and other commonly …

This paper presents a robust new finding that delta-hedged equity option return decreases
monotonically with an increase in the idiosyncratic volatility of the underlying stock. This …