By means of an event study of stock market reactions to the announcement of the Olympic Games host cities, we find a significant and positive announcement effect of hosting the Summer Games, with a cumulative abnormal return of about 2% within a few days. We do not find any significant results...

Investor disagreement about public information precision can be pervasive and persistent. This paper shows that when investors agree to disagree about an observed public signal's precision, as they disagree more, informational price efficiency increases. By contrast, when investors disagree...

Stock price synchronicity is a critical consideration for asset allocation, risk assessment, and hedging decision. We present novel evidence that individual stock returns comove more persistently on certain days of the week. Specifically, we show that release of macroeconomic news on Mondays,...