We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible … return is the component of its return attributable to fundamental accounting-performance information, and its intangible … return is the component which is orthogonal to this information. Our evidence indicates that intangible information reliably …

This paper explores environments in which either the revelation or diffusion of information, or its incorporation into … methodology and for understanding the process by which stock prices incorporate information. Two environments are highlighted …. First, information is often not revealed in one announcement but rather through a process of gradual public revelation …

dissemination of post-trade price and volume information for corporate bonds. Dissemination took place in Phases, with actively …

, product information improved the prediction accuracy of respondents. Turning to real-life behavior, we find that mutual funds …