We examine how investor attention changes when a firm adopts a modern news dissemination technology. We find that after continental European firms begin using an English-language electronic wire service to disseminate company news, they exhibit a stronger initial reaction to earnings surprises,...

The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory setting. The experiments replicate an OTC market similar to the one used in monetary and financial economics (Shi, 1995; Trejos and Wright, 1995; Duffie, Garleanu, and Pedersen, 2005):...

We analyze the extent to which investors in opaque markets price information from more transparent markets. Exploiting the natural experiment created by bond-insurer insolvency, we show that municipal bond investors ignore insurers' equity prices and CDS premia, yet react to insurers'...

We study a natural experiment in which 1.5 million investors participate in allocation lotteries for Indian IPO stocks. Investors who win the lottery and obtain IPO stocks that rise in value increase portfolio trading volume in non-IPO stocks relative to lottery losers; the effects are negative...

This paper reviews the literature examining how costs of monitoring for, acquiring, and analyzing firm disclosures – collectively, “disclosure processing costs” – affect investor information choices, trades, and market outcomes. The existence of disclosure processing costs means that...

We investigate the frictions that impede individual investors' use of accounting information and, in particular, their costs of monitoring and acquiring accounting disclosures. We do so using an archival setting in which individuals are presented with automated media articles that report both...

Continuously rebalanced long-short trades are similar to highly levered trades in that their PNL profile depends not only on the final distribution of return, but also on the realized co-variance structure of the asset pair. It's easily possible for both orientations of a rebalanced long-short...

Recent research finds that investors, broadly defined, react to the linguistic tone of quarterly earnings conference calls; there is a positive relation between firms' stock returns and call tone (a measure of “sentiment” related word tabulations). However, this type of soft information can...

Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition by a nonlocal company is associated with less...

Mobile internet devices reduce trading frictions and information search costs for investors, but also introduce attention-competing activities,such as social networking. We use exogenous nationwide and city-level outages of the Blackberry Internet Service (BIS) to investigate the effect of...