This study is to assess the dynamics effects of business confidence and consumer confidence on stock market risk premiums and to determine the relative importance of business confidence and consumer confidence in forecasting the variability of stock market risk premiums though a variance...

Sponsored search is the mechanism whereby where advertisers pay a fee to Internet search engines to be displayed alongside organic (non-sponsored) web search results. Based on prior literature, we draw an analogy between these markets and financial markets. We use the analogy as well as the key...

We investigate the economic consequences of stock ranking using a novel natural experiment in which stock ranking is due to the rounding of stock prices. The results show that ranking a stock in a more salient place can increase its return volatility, trading volume, liquidity, and cause higher...

We analyze a model with information asymmetry where owning stock confers direct utility, in addition to impacting wealth. In contrast to settings based on wealth considerations alone, expected stock prices deviate from expected fundamentals even when assets are in zero net supply. Stocks that...

I use a new measure of investor attention and measure its affect on the returns of winner and loser portfolios over a holding period of up to 52 weeks. Whilst I do not find any relationship between Stock Information Demand and price momentum, I do find that increases in investor attention affect...

Mutual fund managers increase investment allocations to companies manufacturing automobiles they have purchased. This effect is stronger (weaker) when these customer-managers have positive (negative) consumption experiences, as measured by repeat purchases (positive), brand switches, and swift...

We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency...

The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the "bond premium puzzle." We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in...

We present evidence that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional...