The propensity of households to invest in stocks is lower than implied by Expected Utility Theory. One explanation suggested in the literature is that stocks entail ambiguity and investors are ambiguity averse. We test this hypothesis, measuring participation using equity fund flows and...

The purpose of this paper is to investigate to what extent mutual fund managers, as an important and representative group of professional investors, are prone to overconfidence and associated behavioural biases such as self-serving attribution. More importantly, we explore how these...

This paper studies asymmetric profitability of the momentum trading strategy. When investors face Knightian uncertainty, they react differently to past winners and losers which creates asymmetric patterns in price continuations. This asymmetry increases with the level of market and idiosyncratic...

This paper sheds empirical light on whether sentiment affects the profitability of price momentum strategies. We hypothesize that news that contradicts investors' sentiment causes cognitive dissonance, which slows the diffusion of signals that oppose the direction of sentiment. This phenomenon...