We develop a firm-specific measure of valuation uncertainty from the distribution of valuations predicted by an empirical multiples-based valuation model. The measure is effective in summarizing the information in existing proxies and offers substantial incremental variation. Among many possible...

We develop a dynamic model of banks whose insiders have superior information about the impact of a pending shock to the bank’s cash holdings and can signal the bank’s type through its dividend policy. Banks that will be adversely affected by the shock have incentives to pool with unaffected...

New ETF creation has surged in recent years, giving investors the option to choose from a wide range of similar ETFs within each group of competitors. We identify groups of ETFs that can be considered direct competitors and examine the impact of competition on their market quality. Results show...

While fiscal plans are expected to provide timely information about planned fiscal budgets, little is known about their value to investors. This paper examines how governments’ fiscal plans can enrich equity investors’ information set and induce consensus about the future fiscal outlook. We...

Ensuring that firms devote sufficient resources to the reporting process is important for quality reporting. To explore the effects of resources invested in the reporting function, we use a regulatory intervention in South Korea that led to an increase in human capital invested in the reporting...

In this paper, we ask which ex-ante characteristics empirically predict the out-of-sample drop in risk-adjusted performance of published stock anomalies. Our sample is a large cross- section of anomalies published in finance and academic journals, and we define out-of-sample as the...

Meme stocks have received a lot of attention in the media from both investors and regulators in recent months. The power of the crowd, coupled with the unprecedented coordination of social media investors, raises questions about their impact on information efficiency. We construct two meme stock...

We use observed insider trading data to estimate the start and end points of quarterly open trading windows, and find that voluntary insider trading restrictions reflect concerns about information asymmetry, the strength of external monitoring, and executives’ liquidity needs. We also identify...

The relationship between the level of stock market volatility and public information flow is non-linear, resembling a bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information flow do not, regardless of whether news are negative...

This paper introduces a time series model derived from the reverse engineering of the Schrodinger equation. The model is a wave packet model which has a stochastic drift as a superposition of trigonometric functions. The model can be thought of as a financial time series model that includes a...