I provide empirical evidence in support of the conjecture that many observed market anomalies are simply a manifestation of the market's process of searching for equilibrium. Therefore, these anomalies should be fully explained by risk pricing, if only we knew how to correctly measure risk in a...

The scarcity of suitable proxies for asymmetric information has impeded empirical research from providing reliable evidence on whether information risk shapes equity pricing. In re-examining this unresolved question, we rely on firms' geographic distance from financial centers to gauge...