Inadequate sleep is a public health epidemic in the U.S., and poor sleep habits are especially common among professional investors. Neuroscience research finds that sleep disruption inhibits information processing by impairing higher-order cognitive functions. Using Daylight Saving Time (DST)...

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...

A significant proportion of sell-side analysts’ recommendation revisions are directionally inconsistent with their earnings forecast revisions. For example, analysts revise earnings forecasts upward (downward) while simultaneously downgrading (upgrading) the recommendation. Prior research is...

We examine how the media influences retail trade and market returns during the “quiet period” that follows a firm's IPO. We find that more media coverage during this period is associated with more purchases by retail investors and that such purchases are attention-driven, rather than...

We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced...

Distorted prices misguide managerial incentives and resource allocation. Distorted prices may occur when firms' stock prices are near their 52-week highs because investors tend to perceive the stocks as relatively overvalued and are reluctant to bid prices higher even if new information warrants...

Prior research documents capital market benefits of increased investor attention to accounting disclosures and media coverage; however, little is known about how investors and markets respond to attention‐grabbing events that reveal little nonpublic information. We use daily firm advertising...

Prior literature documents that short sale activity clusters around mandated short sale position disclosures. We investigate two competing hypotheses for this finding in the UK market: herding- versus information-based trading. First, using an entropy-balanced matched sample of stocks, we find...

Using a comprehensive data set of earthquakes in China, we show that investors perceive increased credit risk in quasi-municipal bonds exposed to devastating earthquakes, leading to a significant positive risk premium. Our study identifies that this bias is temporary and decreases as investors...

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'...