FOMC announcements cause substantial trade volume in equity markets. Is such volume mirroring information flow? Using a new diagnostic to quantify information flow net of noise, we show equity prices following FOMC announcements are less informative about future indicative prices than those...

We document a systematic seasonal component in the aggregate underperformance of active mutual funds. At the aggregate level, active funds underperform the market and other passive benchmarks only in the first month of a quarter. This intra-quarter performance seasonality holds across fund sizes...

We provide a novel framework and empirical results to understand the relation between profitability growth and returns. By connecting a concave profit function to a standard valuation framework, we argue that if growth-rate risk carries a positive risk premium, firms with higher current...