. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

We test a frog-in-the-pan (FIP) hypothesis that predicts investors are inattentive to information arriving continuously … infrequent dramatic changes. Consistent with the FIP hypothesis, we find that continuous information induces strong persistent … continuous information during their formation period to -2.07% for stocks with discrete information but similar cumulative …

This paper empirically shows that information acquisition affects stock returns by reducing firm-level information … asymmetry. When firms disclose material information that was known by insiders, demand for information reduces the asymmetric … information faced by uninformed investors and lowers the stock returns persistently. The effect is much stronger for both …

jointly. We find that, in general, multiple equilibria in market structure exist. When public information is scarce or … information is costly, the market tends to concentrate on a few dealers who acquire high levels of expertise. Tension arises … externality of information production, liquidity customers' utility is maximized in a duopoly market with two dealers. When …

available for borrowing, mutual funds acquire information about short selling, which they exploit for trading. Funds with … lower lending fees than passive funds, consistent with funds paying for the information with lower fees …

This paper analyzes the relevance of the information process and the link of companies with the financial and capital … regarding the information disclosed to the market and the behaviour of stock prices. Using an index that measures the … information that companies voluntarily provide to the market, and through a regression analysis, we examine the direct …

In this paper, we study whether firm intangible information affects analyst behavior. We find direct evidence that when … analysts make more judgment-intensive decisions, such as issuing stock recommendations, they overweight intangible information …, leading to overreaction to intangible information. On the contrary, when analysts make less judgment-intensive decisions, such …

We develop and test a frog-in-the-pan (FIP) hypothesis that predicts investors are less attentive to information … arriving continuously in small amounts than to information with the same cumulative stock price implications arriving in large … than infrequent dramatic changes and construct an information discreteness measure to capture the intensity of firm …