Individual investors trade excessively, sell winners too soon, and overweight stocks with lottery features and low expected returns. This paper proposes and models a financial innovation, called stock loan lotteries, that improves individual investor performance. An individual investor signs a...

Price-earnings (P/E) ratios, the most popular value metrics, are widely reported using the last four quarters of earnings. Trailing-four-quarter P/E ratios have significantly greater return predictability than lagged P/E ratios or current market-to-book ratios. The role of attention is evident...

Active investors with limited attention and capital constraints use fundamental metrics to screen and sort potential investments. Price-earnings (P/E) ratios are extremely popular, and are typically calculated using four trailing quarters of net income. Changes in the rankings of published P/E...

Price-earnings (P/E) ratios, the most popular value proxy, are widely reported using the last four quarters of earnings. Corresponding earnings yields (4QEP) have significantly greater return predictability than lagged earnings yields or current book-to-market ratios. The weekly pattern in...

Individual investors trade excessively, sell winners too soon, and overweight stocks with lottery features and low expected returns. This paper models a financial innovation to address these biases and improve individual investor performance. Individual investors pledge shares of stock to an...

Price-earnings (P/E) ratios are the most popular proxy for fundamental value and are widely published using a common methodology. This paper explores whether stocks with high P/E rankings are especially salient to individual investors with attention constraints. Consistent with the role of...

Individual investors trade excessively, sell winners too soon, and overweight stocks with lottery features and low expected returns. This paper proposes and models a financial innovation, called stock loan lotteries, that improves individual investor performance. An individual investor signs a...