There are large cross-sectional differences in the probability and magnitude of mispricing among stocks. Mispricing is traditionally attributed to stock-specific frictions. We show that mispricing can be explained in a rational equilibrium where investors allocate investigative resources to...

We exploit joint dynamics of lendable and lent shares in the equity lending market to measure recall activity by lenders. We find that high recall activity predicts poor stock performance and precedes the lowest returns by two months. This suggests that short sellers are forced out of otherwise...

We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...

We use the 2007 acquisition of Dow Jones & Co. by News Corporation to study whether the perception of a news source's political affiliation affects its credibility and financial market impact. Following 2007, the price of Republican- (Democrat-) aligned stocks becomes less sensitive to positive...

We investigate whether providers of news analytics affect the stock market. We exploit a unique identification strategy based on revisions between different product releases of a major provider of news analytics. We document a causal effect of news analytics on the market, irrespective of the...

Exploiting a unique identification strategy based on inaccurate news analytics, we document a causal effect of news analytics on the market irrespective of the informational content of the news. We show that news analytics speed up the stock price and trading volume response to articles, but...