A stock's market exposure, beta, is not the same when measured across different return frequencies. Sorting stocks on the difference between low and high frequency betas (dBeta) yields large systematic mispricings relative to the CAPM at high frequencies, but significantly smaller mispricings at...

We investigate investor behavior and firm performance related to corporate restructuring announcements using a database of Security Exchange Commission (SEC) filings by U.S. firms and web traffic on the SEC’s website. We find that abnormal investor attention positively predicts restructuring...