Individual investors' processing of information is conventionally considered to be less efficient than that of more sophisticated institutional investors. Using Google Trends' daily search volume index, I create a firm-specific measure of individual investors' attention to accounting...

We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced...

This paper reviews the literature examining how costs of monitoring for, acquiring, and analyzing firm disclosures – collectively, “disclosure processing costs” – affect investor information choices, trades, and market outcomes. The existence of disclosure processing costs means that...

This paper examines the role of financial statement comparability in shaping trading volume prior to earnings announcements. We find that the degree of delayed trading volume prior to earnings announcements is less pronounced for firms with more comparable financial statements. In addition, the...

Research assigns significant share price relevance to linguistic tone in earnings conference calls. Tone is, however, only one facet in the mosaic of the soft information that is disseminated in the interactive conference call setting. We argue that investors exploit further aspects of this soft...

This paper finds that the majority of stock price movements remain unexplained after controlling for both public and private information. This suggests that economists' inability to explain asset price movements is the result of either noise or naive asset pricing models.

This paper uses the unique setting of the 2007 stock market bubble in China to examine whether information dissemination mitigates bubbles. Using multiple measures of bubble intensity for each stock, we find significantly smaller bubbles in stocks with greater analyst coverage. The abating...

Investors demand higher premiums from firms whose future performance in R&D is difficult to evaluate. We construct a measure that captures investors' evaluation of a firm's R&D information quality (RDIQ) by linking a firm's historical innovation input (R&D expenditures) and innovation outcome...

From 1992 to 2011, average R2 increased from 0.17 to 0.47. During this period, passive financial institutions also grew their ownership from 30 to 50% of the market. Passive investors do not perform fundamental research nor trade around firm-specific news, thus reducing the firm-specific...

After staggered mandatory interactions between Chinese listed firms and individual investors, which only allow listed firms to explain existing information, exogenously enhance individual investors’ information processing, our difference-in-differences analysis shows that these firms...