We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...

The arrival of new, unfamiliar, investment opportunities is often associated with "exuberant" movements in asset prices and real economic activity. During these episodes of high uncertainty, financial markets look at the real sector for signals about the profitability of the new investment...

We show that the level of interest rates determines the magnitude of mispricing at the turn of the tax year, as investors face the trade-off between selling a temporarily-depressed stock this year and selling next year, but delaying tax implications by one year. Interest rates do explain the...