Abstract...............................................................................................5

We study the trading of individual investors using transaction data and identifying buyeror seller-initiated trades. We document four results: (1) Small trade order imbalance correlates well with order imbalance based on trades from retail brokers. (2) Individual investors herd. (3) When measured annually, small trade order imbalance forecasts future returns; stocks heavily bought underperform stocks heavily sold by 4.4 percentage points the following year. (4) Over a weekly horizon small trade order imbalance reliably predicts returns, but in the opposite direction; stocks heavily bought one week earn strong returns the subsequent week, while stocks heavily sold earn poor returns.

We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain conditions, illiquidity discounts are higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply shocks cause prices to jump, and then “recover” over time, with a time signature that is exaggerated by search frictions. We discuss a variety of empirical implications.

Ownership concentration, ownership control and enterprise performance: Based on the perspective of enterprise life cycle

for the United States—years in which the country was strenuously challenged in several important areas of national life. It has become almost a cliché to say that the terrorist attacks in September 2001 have changed America forever, yet the statement is probably true. In 2002, the nation continued its recovery from the attacks, but revelations of serious deficiencies in corporate governance and accounting practices presented a significant new challenge, economic growth remained lackluster, and the stock market declined further. The threat of war in the Middle East toward the end of the year created a level of geopolitical risk that appeared to place a considerable additional drag on the economy. In this environment,