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...

We provide new empirical evidence suggesting that the marginal investor in mutual funds behaves differently across market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance of funds should be unpredictable. We find however that...

We study, both theoretically and in the lab, the performance of open outcry debt and equity auctions in the presence of both private information and hidden e¤ort in an independent private value setting. We characterize symmetric equilibrium bidding strategies and show that these lead to e¢...