We investigate the impact of information disclosed under SFAS 131 on idiosyncratic and total stock risk. For identification, we exploit an exogenous shock on volatility expectations. We are the first to show that international diversification alleviates the post-shock increase in idiosyncratic,...

Measuring fund clientele by investors’ revealed usage of different asset pricing models, we show that funds with more CAPM investors perform better, all else equal. This predictability is not because the CAPM-alpha predicts future fund performance but because it reflects investor...