Research
Peer-reviewed publications, working papers, and work in progress. Abstracts and full text on my SSRN author page. See Google Scholar for citations.
Peer-reviewed publications
Investor Behavior at the 52-Week High
Della Vedova, J., Grant, A. R., and Westerholm, P. J. (2023). Journal of Financial and Quantitative Analysis, 58(7), 2852-2889. (ABS 4, ABDC A*, FT50)
Individual investors use the 52-week high as a reference price in their trading decisions. See SSRN for the full abstract.
Who Drives Momentum Returns? The Role Reversal of Trend-Seeking Households and Contrarian Institutions
Della Vedova, J., Grant, A. R., and Westerholm, P. J. (2025). European Financial Management. (ABS 3, ABDC A)
An investor-class decomposition of cross-sectional momentum returns. See SSRN for the full abstract.
Fostering Reverse Innovation with Value Chain Co-Creation
Kortmann, S., Zimmermann, C., Bliss, B. A., and Della Vedova, J. (2025). IEEE Transactions on Engineering Management, 72, 770-785. (ABS 3, ABDC A)
Equity Borrowing Constraints and the Informed Trading Strategies of Short Sellers
Blau, B. M., Della Vedova, J., Fox, C., and Smith, J. M. (Forthcoming). Market Microstructure and Liquidity. (ABDC B)
Financial Uncertainty and the Cross Section of Cryptocurrency Returns
Colak, G., Della Vedova, J., Foley, S., and Mai, S. T. (Forthcoming). Journal of Banking and Finance. (ABS 3, ABDC A*)
Macroeconomic uncertainty and the cross-section of cryptocurrency returns. See SSRN for the full abstract.
Working papers
Who Profits from Prediction Markets? Execution, not Information
Della Vedova, J. (2026). Working paper. 1,059 SSRN downloads.
Trading skill in prediction markets is structurally two-dimensional. Forecasting accuracy and execution quality are distinct, persistent, and nearly independent capacities (shared variance below 1% for humans, below 4% for bots). Execution, not forecasting, determines which traders profit. 222M Polymarket trades; external validation on 14.1M CBOE equity options contracts.
Detecting Informed Trading in Prediction Markets: An Orthogonality Test
Della Vedova, J. (2026). Working paper. Posted to SSRN 20 April 2026.
The theta-epsilon orthogonality from the companion paper becomes a forensic detection signal. 6,032 of 450,048 wallets (1.34%) show the structural signature of private information; aggregate gains approximately $150M, with $111M absorbed by bot market makers. A microstructure-grounded, Daubert-ready test statistic. Near-zero flag-set concordance with the heuristic screening in Mitts and Ofir (2026).
The Wrong Reference Price: Trading Strategy and the Disposition Effect
Della Vedova, J. (2026). Working paper.
Disposition-effect evidence rests on the assumption that purchase price is the reference point. Transaction data shows most investors form reference prices from the last price rather than the purchase price. Reframing the reference reverses classical disposition findings in a substantial subset of trades.
Investor Disagreement, Liquidity, and Informational Efficiency at the 52 Week High
Della Vedova, J., Gao, M., Grant, A. R., Westerholm, P. J., and Bliss, B. A. Journal of Banking and Finance, R&R (1st round). (ABS 3, ABDC A*)
Investor behavior around the 52-week high and its consequences for liquidity and price discovery. See SSRN for the full abstract.
The 1% Problem: LLM Orchestration for Rare Event Detection in Manufacturing Supply Chains
Della Vedova, J., Dang, J., and Yang, Y. International Journal of Production Economics, R&R (2nd round). (ABS 3, ABDC A)
Multi-stage LLM pipelines for rare-event detection in manufacturing supply chains. See SSRN for the full abstract.
The Value of Openness
Della Vedova, J., Siegel, S., and Warachka, M. Target: Journal of Financial and Quantitative Analysis. (ABS 4, ABDC A*, FT50)
The Big Five personality openness trait and its relationship to cross-sectional asset returns. See SSRN for the full abstract.
Work in progress
Probability Weighting from Prediction Markets (with A. Grant)
A model-free measurement of probability weighting from a weekly panel of 640M prediction-market trades. Tests whether the prediction-market-implied weighting index predicts cross-sectional equity anomalies.
The Flaw of Averages: Realized Holding Period Returns vs Housing Price Indices
With Jeremy Gabe and John Demas.
Notes and commentary
Updated when major prediction-market events warrant. Forthcoming.