asset's value upon observing the price, but only when the price clearly reveals that others obtained private information … that differs from their own private information. In particular, we assume that investors learn from the price of an asset … in an asymmetric manner--they learn from the price if they observe good (bad) private information and the price is worse …

local relative to non-local investors, to measure local information advantages. An increase in this measure predicts higher …-adjustment models. And double-sorted analysis suggests that ARA imposes a much stronger influence on firms with worse information …

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the …

information, average beliefs are not Bayesian: they underweight new information and positively predict subsequent belief errors …

consistent with optimal learning theories that posit that individuals will place greater weight on new information in … environments with greater uncertainty, such as down markets, which implies that information will be reflected in asset prices more …

from other return-predictive information contained in the normalization scalars of analyst forecast dispersion measures. We …