Title: Essays in Financial Economics
Description: In the first essay, I study stock price movements during the trading day and find that retail trading activity generates excess intraday volatility. I develop a simple econometric measure which reveals that volatility realized during the trading day is too high to be reconciled with volatility achieved over the entire trading day. High intraday volatility stocks temporarily outperform low intraday volatility stocks by approximately 59 basis points over the next month. This temporary outperformance is due to retail investor price pressure, which I identify using the detailed brokerage dataset of Barber and Odean (2000) as well as a novel time-series dataset obtained from parsing the financial statements of Charles Schwab and E TRADE.