This paper explores the relationship between earnings uncertainty and attention to firm-specific information. I use the percentage of uncertain words in 10-K or 10-Q filings as the primary measure of ex ante earnings uncertainty. I find that, the earnings releases of high uncertainty firms are...

Post-earnings announcement drift is stronger in firms that release earnings on days when market returns are higher in magnitude. This drift remains robust after controlling for previously documented factors such as Friday releases, the number of simultaneous releases, and price delay measure....

I model the behavior of an arbitrageur who is exposed to time-varying liquidity. She is averse to liquidating her position in a bad liquidity state. Therefore, she limits her trading in stocks having high variation in liquidity. In equilibrium, these stocks experience severe mispricing due to...

This paper explores the relationship between variation in liquidity and mispricing. Mispricing is severe among stocks with high variation in liquidity. Among underpriced (overpriced) stocks, stocks with high variation in liquidity are more underpriced (overpriced). The mispricing is more...