I develop a model of statistical arbitrage trading in an environment with "fat-tailed" information. If risk-neutral arbitrageurs are uncertain about the variance of fat-tail shocks and if they implement max-min robust optimization, they will choose to ignore a wide range of pricing errors....

Using a large hand-collected dataset, we provide novel evidence on the additional information embedded in the designs and graphs of financial reports. We find that firms that add graphic financial reports experience a positive 2.7% abnormal returns in the following 3 to 6 months. The finding...

In times when short-term policy rates are at or near the zero lower bound, central banks use unconventional policies such as forward guidance and quantitative easing to influence the slope of the yield curve. In this paper, we analyze the dynamic responses of key U.S. macroeconomic variables to...