The three working papers behind the indices on this site.
ABS 4 · ABDC A* · FT50
Investor Behavior at the 52-Week High
Della Vedova, J., Grant, A. R., and Westerholm, P. J. · Journal of Financial and Quantitative Analysis (2023), 58(7), 2852-2889
Individual investors anchor on the 52-week high as a reference price in their trading decisions. Using transaction-level data we show that investors are more likely to sell winners as prices approach the 52-week high and more likely to hold losers as prices fall further from it — a pattern consistent with prospect-theory reference dependence. The reference-price effect persists in regressions controlling for momentum, capital gains overhang, and trader sophistication.
ABS 3 · ABDC A
Who Drives Momentum Returns? The Role Reversal of Trend-Seeking Households and Contrarian Institutions
Della Vedova, J., Grant, A. R., and Westerholm, P. J. · European Financial Management (2025)
Cross-sectional momentum is conventionally attributed to slow-moving institutional capital. Using investor-class flow data we show the opposite: households are the trend-followers buying recent winners, while institutions are the contrarians providing liquidity to those flows. The role reversal helps reconcile competing behavioral and intermediary-based explanations for the momentum premium.
ABS 3 · ABDC A*
Financial Uncertainty and the Cross Section of Cryptocurrency Returns
Colak, G., Della Vedova, J., Foley, S., and Mai, S. T. · Journal of Banking and Finance (forthcoming)
Macroeconomic and financial uncertainty (proxied by VIX, EPU, and a measure of intermediary risk-bearing) commands a significant premium in the cross-section of cryptocurrency returns. Coins more exposed to uncertainty earn higher subsequent returns; the premium is robust to standard crypto factor controls and is concentrated in the most liquid coins. The result links cryptocurrency pricing to the broader uncertainty-and-asset-pricing literature.
ABDC B
Equity Borrowing Constraints and the Informed Trading Strategies of Short Sellers
Blau, B. M., Della Vedova, J., Fox, C., and Smith, J. M. · Market Microstructure and Liquidity (forthcoming)
Short sellers are widely documented as informed, but their trading strategies are constrained by the cost and availability of borrowable shares. We show that high borrowing fees compress the predictive content of short selling: when borrow is expensive, only the most negative private signals get acted on, narrowing the cross-section of short-side informativeness. The result complicates a literature that treats short interest as a uniform sentiment proxy.
ABS 3 · ABDC A
Fostering Reverse Innovation with Value Chain Co-Creation
Kortmann, S., Zimmermann, C., Bliss, B. A., and Della Vedova, J. · IEEE Transactions on Engineering Management (2025), 72, 770-785
Reverse innovation — the diffusion of products from emerging-market subsidiaries back to developed-market parents — succeeds disproportionately when the parent firm structures the relationship as value-chain co-creation rather than top-down transfer. We document the boundary conditions under which co-creation outperforms, drawing on multi-firm engineering and innovation data.