Abstract The “Post-Earnings-Announcement Drift” refers to an anomaly in financial markets.
It describes the drift of a firm's stock price in the direction of the firm's earnings surprise for an …

We establish that cryptocurrency returns are driven and can be predicted by factors that are
specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency …

We find that three factors—cryptocurrency market, size, and momentum—capture the cross‐
sectional expected cryptocurrency returns. We consider a comprehensive list of price‐and …

This paper investigates the effect of retail investor attention on stock price crash risk in
China. Retail investor attention is measured by the search frequency from the Baidu Index …

We examine the relationship between investor attention, and measures of uncertainty, with
the market dynamics of Bitcoin and other cryptocurrencies. We find that increases in investor …

We propose a theoretically motivated factor model based on investor psychology and
assess its ability to explain the cross-section of US equity returns. Our factor model …

We propose a direct measure of abnormal institutional investor attention (AIA) using news
searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly …

We propose a new and direct measure of investor attention using search frequency in
Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008 …

We find that innovative efficiency (IE), patents or citations scaled by research and
development expenditures, is a strong positive predictor of future returns after controlling for …

We test and confirm the hypothesis that individual investors are net buyers of attention-
grabbing stocks, eg, stocks in the news, stocks experiencing high abnormal trading volume …