Mobile internet devices reduce trading frictions and information search costs for investors, but also introduce attention-competing activities,such as social networking. We use exogenous nationwide and city-level outages of the Blackberry Internet Service (BIS) to investigate the effect of...

Does mobile internet distract “connected investors” from participating in financial markets? We examine this limited attention hypothesis using exogenous outages of the Blackberry Internet Service (BIS). We find that trading volume and trading frequency surge by 6% on days when BIS...

This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...

We study volume-return dynamics using a framework in which information flows are endogenously determined and linked to a firm's investment activities. The framework generates time-varying differences of opinion (across investor types) and trading volume, especially when a firm receives...

We study investor communication and stock comovement using a novel dataset for an active online stock forum in China. We find substantial comovement among the returns of a stock and its “related stocks,” that are frequently discussed in the sub-forum dedicated to the given stock. Comovement...

This paper develops a new framework to study investor attention in real time at high frequency. Using information retrieval approach, we construct a proxy for attention from the Twitter messages of financial experts, hedge funds and portfolio managers around the release of unscheduled news...

This paper provides a new empirical strategy for testing models of information choice based on observing which types of information are consumed and incorporated into asset prices. Consistent with the predictions of the information driven comovement hypothesis (Veldkamp 2006), we find that stock...

We propose a simple framework for understanding accounting-based stock return regularities. A firm's accounting reports provide noisy information about hidden economic states that evolve according to a Markov process. In response to the accounting reports, a representative Bayesian investor...

Traders differ in speed and their speed differences matter. I model strategic interactions induced when high frequency traders (HFTs) have different speeds in an extended Kyle (1985) framework. HFTs are assumed to anticipate incoming orders and trade rapidly to exploit normal-speed traders'...

This experiment examines forecasting behavior under varying information conditions to assess the extent to which traders in security markets incorporate information in trading activity to resolve fundamental uncertainty and to resolve higher-order uncertainty. Fundamental uncertainty refers to a...