Recent studies show that the consensus forecasts of professional forecasters and central bankers underreact to news relative to full-information rational expectations. However, can the treasury bond market anticipate such underreaction through information aggregation? To answer this question, we...

Using the multivariate quantile model, this paper develops a global economic policy uncertainty (EPU) spillover measure for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across a sample of 23 economies. The regression results show...

This paper investigates whether investors’ anchoring bias matters for the cross section of cryptocurrency returns. Following the convention, we use the nearness of the current cryptocurrency price to N–day high as the proxy of anchoring. Both portfolio–level analysis and coin–level...