We prove that under mild conditions individually rational Pareto optima will exist even in presence of non-convex preferences. We consider decision makers dealing with a countable flow of payoffs or choosing among financial assets whose outcomes depend on the realization of a countable set of states of the world. Our conditions for the existence of Pareto optima can be interpreted as a requirem...

How does attention contribute to perceptual experience? Within cognitive science, attention is known to contribute to the organization of sensory features into perceptual objects, or ‘‘object-based organization.’’ The current paper tackles a different type of organization and thus suggests a different role for attention in conscious perception. Within every perceptual experience we find that mo...

The conjecture that investor sentiment leads important groups of investors to act similarly and thereby affect prices is an important ingredient of models of noise trading and style investing. In contrast to Lakonishok et al. (1992), who find only weak evidence of herding among institutional investors and conjecture that retail investors will herd even less, we document that a sample of over 30...

Anchor Investors in IPOs In July 2009, the Securities and Exchange Board of India (SEBI) permitted a version of bookbuilding in which IPO managers solicit bids from and allocate allocations to anchor investors in the IPO pre-market, subject to disclosure of the price, quantity, and identity of anchors participating in the pre-market bookbuilding. We obtain share allocation data in anchor IPOs. ...

At the time of an initial public offering, shares in a firm are typically held by venture capitalists, insiders, corporate investors, and angel investors. We examine the role of angel investors in the IPO process. We find that angel investors provide equity capital in industries that venture capitalists are less likely to serve and that shareholders in angel backed IPO firms are more likely to ...

This paper provides an empirical analysis of the trading behavior and the impact of new investors on the bubble surrounding the Baosteel call warrant, the first derivative traded in China after a nine-year suspension. First, we find that the new investors initiated the bubble. Second, echoing common wisdom, we empirically show that the continuous entries of new investors sustained the bubble. T...

When assessing a fund manager’s skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns. Investors attend most to market risk (beta), but treat returns attributable to size, value, momentum, and industr...

This paper examines responses from a survey of 2,000 randomly selected mutual fund investors who purchased shares from six different distribution channels. The survey provides data on the demographic, financial, and fund ownership characteristics of mutual fund investors. It also provides data on investors’ knowledge of the costs and investment risks of mutual funds and the information sources ...

We propose and estimate a structural model of daily stock market activity to test competing theories of trading volume. The model features informed rational speculators and uninformed agents who trade either to hedge endowment shocks or to speculate on perceived information. To identify the model parameters, we exploit enormous empirical variation in trading volume, market liquidity, and return...