We survey theoretical developments in the literature on the limits of arbitrage. This literature
investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings …

We study how investor sentiment affects the cross‐section of stock returns. We predict that a
wave of investor sentiment has larger effects on securities whose valuations are highly …

We provide a model that links an asset's market liquidity (ie, the ease with which it is traded)
and traders' funding liquidity (ie, the ease with which they can obtain funding). Traders …

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity-
adjusted capital asset pricing model, a security's required return depends on its expected …

This study explores the role of investor sentiment in a broad set of anomalies in cross-
sectional stock returns. We consider a setting in which the presence of market-wide …

Motivated by the behavior of asset prices, trading volume, and price volatility during
episodes of asset price bubbles, we present a continuous-time equilibrium model in which …

We use the information in credit default swaps to obtain direct measures of the size of the
default and nondefault components in corporate spreads. We find that the majority of the …

NBER WORKING PAPER SERIES BUBBLES, CRISES, AND HETEROGENEOUS BELIEFS
Wei **ong Working Paper 18905 http://www.nber.org/papers/w1 Page 1 NBER WORKING …

We propose that the decision to pay dividends is driven by prevailing investor demand for
dividend payers. Managers cater to investors by paying dividends when investors put a …

Anomalies are empirical results that seem to be inconsistent with maintained theories of
asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or …