We investigate the relation between contrarian flows, consumption growth and market risk premium. We construct a contrarian flows measure by summing up the capital flows to stocks that go against the total flow of the aggregate market. We show that the contrarian flows are negatively influenced...

We develop a measure of investor disagreement about the probability distribution of future returns on the market portfolio. The measure, which depends on the distribution across strike prices of open interest in index options, is derived by inverting the optimal portfolio decision of an investor...

Security regulators charge firms with providing material information about intangible investments to outside investors. Among the many firms that do not report their advertising, 25% are in the top decile of observed advertising. We find that relying on managerial judgment for disclosure...