Two easily measured variables, size and book‐to‐market equity, combine to capture the
cross‐sectional variation in average stock returns associated with market β, size, leverage …

The proposition that investors are overconfident about their valuation and trading skills can
explain high observed trading volume. With biased self-attribution, the level of investor …

The Project on Capital Choices, sponsored by the Harvard Business School and the Council
on Competitiveness, initially set out to determine the extent to which the competitiveness of …

We examine the implications of portfolio theory for the cross-sectional behavior of equity
trading volume. Two-fund separation theorems suggest a natural definition for trading …

We develop a model in which the dependence of the brokerage commission rate on share
price provides an incentive for brokers to produce research reports on firms with low share …

This article investigates the dynamic relation between market-wide trading activity and
returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover …

This paper offers an informational explanation to stock markets' booms and crashes. This
explanation builds on the idea ofinformational overshooting': if market fundamentals change …

We derive an intertemporal asset pricing model and explore its implications for trading
volume and asset returns. We show that investors trade in only two portfolios: the market …

Publisher Summary Trading volume is an important aspect of the economic interactions in
financial markets among various investors. Both volume and prices are driven by underlying …

Theoretical models have long recognized the role of investor disagreements in the
marketplace, but little evidence is documented regarding how belief dispersion affects …