Bai, Jennie; Massa, Massimo - National Bureau of Economic Research - 2021
-triggered lockdown that has hampered people's physical interactions hence the ability to collect, process, and transmit soft information …. Exploiting the cross- sectional and time-series variations of lockdown, we investigate how the difficulty to use soft information … show that lockdown reduces fund investment in proximate stocks and generates a portfolio rebalancing toward distant stocks …