I develop a framework to quantify which features of investors' dynamic trading strategies
lead to momentum in equilibrium. I distinguish persistent demand shocks, capturing …

We examine how large language models (LLMs) interpret historical stock returns and
compare their forecasts with estimates from a crowd-sourced platform for ranking stocks …

We introduce a novel measure that captures the beta deviation of individual firms from their
industry peers within China's stock market. Our analysis reveals that stocks with greater beta …

This paper examines extrapolative patterns of analysts' expectations in the cross-section of
firms. Using analysts' target prices, I estimate the degree of extrapolative weighting capturing …

We measure firm-level deviation salience (DS) as the return divergence between individual
stocks and their peers. We find that the predictive ability of the past month's stock …

This study investigates the relationship between investors' prior gains or losses and their
adoption of extrapolative beliefs. Our findings indicate that investors facing prior losses tend …

I develop a framework to quantify which features of investors' trading strategies lead to
momentum in equilibrium. Specifically, I distinguish two channels: persistent demand …

Recent experimental studies illustrate the influence of price path, particularly the 'non-
straight'price path, on several aspects of investor decision-making. The paper employs an …

In the contemporary trading environment any competitive advantage is of core interest to
technical traders and financial analysts. Motifs (ie time series patterns corresponding to …

This paper proposes that a performance signal derived from a mutual fund's price path
significantly affects investors' capital allocation decisions. Using convexity to measure the …