We isolate frictions at the acquisition and integration stages of information processing by leveraging a policy that resulted in users of the Securities and Exchange Commission's online repository of company reports failing to consult the disclosures they had requested. Exploiting this plausible...

Attention to the most common firm disclosures, measured as the number of IP addresses accessing them on the SEC's servers, accelerates price discovery. Conversely, attention toward other concurrent filings has the opposite effect. By examining the submenu of reports that each IP address decides...

Different momentum investors use different time horizons, or formation periods, to evaluate prior stock performance. We show that this heterogeneity has important consequences on asset returns. We provide evidence that heightened trading pressure due to the concurrence of the heterogeneous...

This study brings to light the new empirical fact that flows into US domestic equity mutual funds depend less on past fund returns when the risk-free rate declines. A one-percent drop in interest rates is associated with a decrease in the slope of the flow-performance relationship of around 10%....

In this study, I demonstrate that international mutual funds can cause temporary stock price deviations from fundamentals in the countries they have positions in. I show that US mutual funds massively sold their Mexican equity when the recent crisis was developing, which then led to the average...