Investors with limited attention have an incentive to focus on summary statistics rather than individual pieces of information. We use this observation to form a test of the impact of limited attention on the aggregate stock market. We examine the market response to a macroeconomic release that...

This paper reports an experimental test of how, when observing others' actions, participants learn more than just information that the others have. We use a setting where all information is public and where subjects face two kinds of information sets: (1) the information that is necessary and...

We show that U.S. stock and Treasury futures prices respond sharply to recurring stale information releases. In particular, we identify a unique macroeconomic series--the U.S. Leading Economic Index^® (LEI)--which is released monthly and constructed as a summary statistic of previously released...

In this paper we identify a unique series of recurring stale information releases and show that the aggregate markets respond to its release. The macroeconomic series -- the U.S. Index of Leading Economic Indicators (LEI) -- is released monthly and constructed as a summary statistic of...