We propose a model in which firms involved in trading securities overinvest in financial expertise. Intermediaries or traders in the model meet and bargain over a financial asset. As in the bargaining model in Dang (2008), counterparties endogenously decide whether to acquire information, which...

We address a text regression problem: given a piece of text, predict a real-world continuous quantity associated with the text’s meaning. In this work, the text is an SEC-mandated financial report published annually by a publiclytraded company, and the quantity to be predicted is volatility of...

We show that U.S. stock and Treasury futures prices respond sharply to recurring stale information releases. In particular, we identify a unique macroeconomic series--the U.S. Leading Economic Index^® (LEI)--which is released monthly and constructed as a summary statistic of previously released...

A basic tenet of financial economics is that asset prices change in response to unexpected fundamental information. Since Roll's (1988) provocative presidential address that showed little relation between stock prices and news, however, the finance literature has had limited success reversing...

Investors with limited attention have an incentive to focus on summary statistics rather than individual pieces of information. We use this observation to form a test of the impact of limited attention on the aggregate stock market. We examine the market response to a macroeconomic release that...

This paper reports an experimental test of how, when observing others' actions, participants learn more than just information that the others have. We use a setting where all information is public and where subjects face two kinds of information sets: (1) the information that is necessary and...