Inspired by the recent health science findings that air pollution affects mental health and cognition, we examine whether air pollution can intensify the cognitive bias observed in the financial markets. Based on a proprietary data set obtained from a large Chinese mutual fund family consisting...

Hedge funds with larger macroeconomic-risk betas do not earn higher returns, contrast to the theoretically predicted risk-return tradeoff. Meanwhile, high macro-beta funds deliver higher returns than low macro-beta funds following low-sentiment months, whereas the risk-return relation is flat...

In simple univariate tests, the disposition effect for a stock nearly disappears if the portfolio is at a gain. We find a large disposition effect when the portfolio is at a loss. The portfolio-driven disposition effect that we document is not explained by extreme returns, portfolio rebalancing,...

Using portfolios that are formed by directly sorting stocks based on their exposure to characteristics-based factors, earlier studies find that these beta-sorted portfolios have very large ex post factor beta spreads. However, the return spreads between high- and low-beta firms are typically...

Using the BJZZ (2021) subpenny transaction price algorithm, we identify a broad swath of marketable retail investor orders in the U.S. market between January 2020 and June 2021. During the pandemic period, the retail trading volume we identify increases from 10% of total market volume to about...