We investigate investor's correlated attention as a determinant of excess stock market comovement. We propose a novel proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated by the Google Search Volume Index (SVI). Our results...

Volatility in financial markets is a highly explored area of research for the last few decades. Possible reasons for high concentration on the markets are its unexplained and unexplored sources. The present study aims to check certain macroeconomic variables as determinants of financial markets...

Do equity investors care about pay dispersion and income inequality? We address this question by examining equity markets' reaction and investors' portfolio rebalancing in response to the first-time disclosure by U.S. public companies of the ratio of CEO to median worker pay in 2018. We find...

We analyze, theoretically and empirically, the effect of investor attention on the stock market reaction to innovation announcements and suggest how market-based measures of the economic value of patents can be enhanced. We develop a dynamic model with limited investor attention to show that,...

Using a novel natural experiment, we provide causal evidence on how asset prices are affected when the media draws investor attention to stale information. We find that shortly after the announcement of a high-profile financial analyst award, stocks with preexisting recommendations from analysts...

Studies on the financial markets proved that not all calendar anomalies are persistent in time. Some of them experienced various types of changes, including passing from the classical form to an extended one, with an enlarged specific time interval. This paper approaches the Holiday Effect...

This study is motivated by the continuing popularity of the Altman Z-score as a measure of distress risk. Altman first introduced the ‘Z' score in 1968 and 50 years later it is still going strong as a means to predicting bankruptcy. During these 50 years, academicians have studied the...

We study stock market reactions to the release of movies re-exposing past publicly known corporate scandals. Using a sample of 54 event firms featured in 23 movies, we find event firms have significantly negative and persistent abnormal returns to movie releases. We posit that such negative...

We explore the role of social connectedness in explaining the stock return comovement with the local portfolio. Using the Facebook Social Connectedness Index, we find the firms headquartered in the county with the higher average social connectedness with other counties exhibit lower local return...

This study examines the causal impact of financial knowledge on stock pricing efficiency. We created an investor education website and conducted a field experiment by providing knowledge about the pricing implications of accounting accruals to investors in randomized stock groups via social...