This paper extends a growing body of research into the time-series properties of return and trading dynamics caused by direct information flow across investors. Our market setting has the virtue of extreme simplicity including atomistic investors, continuous trading, and a diversified asset...

We analyze a dynamic auction model in which competitive risk-averse traders optimally exploit their long-lived homogeneous private information regarding the value of an asset. The asset's terminal value depends on both the traders' initial signal and a sequence of zero-mean information shocks...

Of the hundreds of published asset pricing anomalies, few have been properly tested to determine if they are admissible as true risk factors. Anomalies need not be risk factors, but they are often deployed in subsequent empirical tests as if they are. I leverage the equivalence between the...

We demonstrate that fund investors employ a heuristic benchmark model to estimate alphas and allocate capital. This can result in observational equivalence to CAPM driven investment decisions. The benchmark estimator trades off bias against precision, accommodating finite sample constraints. The...

Of late, both U.S. and International firms have increased the granting of performance-contingent equity awards to their executive officers. Beyond simple stock options, these awards frequently include accounting-based performance targets. Failure to meet or exceed these targets causes award...