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Sidelined Investors, Trading-Generated News, and Security Returns

Citations

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Cited by:

  1. Banerjee, Snehal & Green, Brett, 2015. "Signal or noise? Uncertainty and learning about whether other traders are informed," Journal of Financial Economics, Elsevier, vol. 117(2), pages 398-423.
  2. Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018. "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series 1808, University of St. Gallen, School of Economics and Political Science.
  3. Marco Ottaviani & Peter Norman Sørensen, 2015. "Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal," American Economic Review, American Economic Association, vol. 105(1), pages 1-34, January.
  4. Jose M. Marin & Jacques P. Olivier, 2008. "The Dog That Did Not Bark: Insider Trading and Crashes," Journal of Finance, American Finance Association, vol. 63(5), pages 2429-2476, October.
  5. Covrig, Vicentiu & Ng, Lilian, 2004. "Volume autocorrelation, information, and investor trading," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2155-2174, September.
  6. Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001. "Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices," Journal of Financial Economics, Elsevier, vol. 61(3), pages 345-381, September.
  7. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2022. "Media-expressed tone, option characteristics, and stock return predictability," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
  8. Altı, Aydoğan & Kaniel, Ron & Yoeli, Uzi, 2012. "Why do institutional investors chase return trends?," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 694-721.
  9. He, Xue-Zhong & Li, Kai & Santi, Caterina & Shi, Lei, 2022. "Social interaction, volatility clustering, and momentum," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 125-149.
  10. Ben-Nasr, Hamdi & Ghouma, Hatem, 2018. "Employee welfare and stock price crash risk," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 700-725.
  11. Steven Huddart & Mark Lang & Michelle H. Yetman, 2009. "Volume and Price Patterns Around a Stock's 52-Week Highs and Lows: Theory and Evidence," Management Science, INFORMS, vol. 55(1), pages 16-31, January.
  12. Yu, Huaibing, 2024. "Why isn't composite equity issuance favored by the stock market? A risk-based explanation for the anomaly," International Review of Financial Analysis, Elsevier, vol. 94(C).
  13. Ben-David, Itzhak & Hirshleifer, David, 2011. "Beyond the Disposition Effect: Do Investors Really Like Gains More Than Losses?," Working Paper Series 2011-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  14. Hail Jung & Sanghak Choi & Junyoup Lee & Sanggeum Woo, 2022. "Corporate pledgeable asset ownership and stock price crash risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-28, December.
  15. David William Witts & Emili Tortosa-Ausina & Iván Arribas, 2021. "The Irrational Market: Considering the effect of the online community Wall Street Bets on Financial Market Variables," Working Papers 2021/13, Economics Department, Universitat Jaume I, Castellón (Spain).
  16. Ma, Xiaofang & Wang, Wenming & Wu, Jiangang & Zhang, Wenlan, 2020. "Corporate customer concentration and stock price crash risk," Journal of Banking & Finance, Elsevier, vol. 119(C).
  17. Tung Lam Dang & Robert Faff & Hoang Luong & Lily Nguyen, 2019. "Individualistic cultures and crash risk," European Financial Management, European Financial Management Association, vol. 25(3), pages 622-654, June.
  18. Dimitris Papadimitriou, 2023. "Trading under uncertainty about other market participants," The Financial Review, Eastern Finance Association, vol. 58(2), pages 343-367, May.
  19. Hashmi, Aamir R. & Tay, Anthony S., 2007. "Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 430-453, April.
  20. Jiang, Fuwei & Ma, Tian & Zhu, Feifei, 2024. "Fundamental characteristics, machine learning, and stock price crash risk," Journal of Financial Markets, Elsevier, vol. 69(C).
  21. Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Hanif, Waqas & Kayani, Ghulam Mujtaba, 2018. "Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 433-450.
  22. Ouzan, Samuel, 2020. "Loss aversion and market crashes," Economic Modelling, Elsevier, vol. 92(C), pages 70-86.
  23. Xiaoguang Hu & Hui Xu, 2017. "Political Connections and Stock crash risk—Empirical evidence from A-share companies in China," Malaysian E Commerce Journal (MECJ), Zibeline International Publishing, vol. 1(2), pages 4-7, January.
  24. Wei Zhu, 2016. "Accruals and price crashes," Review of Accounting Studies, Springer, vol. 21(2), pages 349-399, June.
  25. Timm O. Sprenger & Andranik Tumasjan & Philipp G. Sandner & Isabell M. Welpe, 2014. "Tweets and Trades: the Information Content of Stock Microblogs," European Financial Management, European Financial Management Association, vol. 20(5), pages 926-957, November.
  26. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
  27. Ahsan Habib & Mostafa Monzur Hasan & Haiyan Jiang, 2018. "Stock price crash risk: review of the empirical literature," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 211-251, November.
  28. Juhee Hwang & Cheol Lee & Giman Nam, 2024. "Classification Shifting and Future Stock Price Crash Risk," Australian Accounting Review, CPA Australia, vol. 34(1), pages 74-96, March.
  29. Hirshleifer, David & Teoh, Siew Hong, 2008. "Thought and Behavior Contagion in Capital Markets," MPRA Paper 9164, University Library of Munich, Germany.
  30. David Hirshleifer & Siew Hong Teoh, 2003. "Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis," European Financial Management, European Financial Management Association, vol. 9(1), pages 25-66, March.
  31. Donghua Zhou & Yujie Zhao & Philip T Lin & Bin Li & Adrian (Waikong) Cheung, 2019. "Can microblogging information disclosure reduce stock price synchronicity? Evidence from China," Australian Journal of Management, Australian School of Business, vol. 44(2), pages 282-305, May.
  32. Choi, Young Mok & Park, Kunsu, 2022. "Zero-leverage policy and stock price crash risk: Evidence from Korea," International Review of Financial Analysis, Elsevier, vol. 81(C).
  33. Daouk, Hazem & Lee, Charles M.C. & Ng, David, 2006. "Capital market governance: How do security laws affect market performance?," Journal of Corporate Finance, Elsevier, vol. 12(3), pages 560-593, June.
  34. Blau, Benjamin M. & Smith, Jason M., 2014. "Autocorrelation in daily short-sale volume," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 31-41.
  35. Bowden, James & Gemayel, Roland, 2022. "Sentiment and trading decisions in an ambiguous environment: A study on cryptocurrency traders," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  36. Alvarez-Ramírez, José & Rodríguez, Eduardo, 2012. "Temporal variations of serial correlations of trading volume in the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4128-4135.
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