We re-examine the puzzling pattern of lead-lag returns among economically linked firms. Our results show these patterns are driven largely by investors' tendency to ignore information that arrives continuously in small amounts. In contrast, when information with the same cumulative returns...

We demonstrate that a broad set of asset pricing factors (anomalies) are significantly exposed to "noise trader risk," and the noise trader risk is priced in factor premia. We first confirm that mutual funds' flow-induced trades of factors are uninformed as they generate a large price impact on...

We document and explain the sharp performance deterioration of smart beta in- dexes after the corresponding smart beta ETFs are launched for investment. While smart beta claims to deliver excess returns through factor exposures, the market-adjusted return of smart beta indexes drops from about...