This study examines whether religiosity at the county level is associated with future stock price crash risk. We find robust evidence that firms headquartered in counties with higher levels of religiosity exhibit lower levels of future stock price crash risk. This finding is consistent with the view that religion, as a set of social norms, helps to curb bad-news-hoarding activities by managers. Our evidence further shows that the negative relation between religiosity and future crash risk is stronger for riskier firms and for firms with weaker governance mechanisms measured by shareholder takeover rights and dedicated institutional ownership.

This study investigates whether the existence or strength of any misreaction in the options market is affected by investor sophistication and investor sentiment. Based on a unique data set of the complete history of all transactions in the Taiwan options market, we find that individual investors exhibit significant misreaction to information and that this misreaction becomes stronger during periods of high investor sentiment. In addition, more active or aggressive individual investors always exhibit misreaction and do not learn from their past mistakes. Our empirical results are robust to alternative measures of investor sentiment and definitions of long- and short-term horizons.

This paper studies the market microstructure implications of uninformed trading volume. We capture uninformed volume using spikes in retail trading triggered by weekly advertisements (ads) in the Wall Street Journal that are largely duplicates. We report three findings. First, consistent with a positive volume-volatility relation, stock price volatility amplifies on recurring ad days. Second, informed investors time liquidity to trade more aggressively on recurring ad days. Third, despite the increase in informed trading on such days, price impact is lower, yielding a negative volume–price impact relation. Collectively, the evidence supports the theoretical predictions of Collin-Dufresne and Fos (2016).

We examine whether the heterogeneity of expectations is associated with idiosyncratic variations in experience. Combining household survey data and administrative data from the Netherlands, we find that given market development, households’ expectations about house price changes vary with their individual experience. This association is related to the use of information conveyed by experience, which varies in terms of informativeness, recency, and household sophistication. Finally, we find that individual experience also explains how far house price expectations deviate from realized house prices and that it may affect household behavior. Our findings elucidate the role that individual experience plays in expectation formation.