This paper investigates empirically the dynamics of investors' beliefs and Bayesian uncertainty on the state of the economy as state variables that describes the time-variation in investment opportunities. Using measures of uncertainty constructed from the state probabilities estimated from...

Firms in industry clusters have market prices that are more efficient than firms outside clusters. To establish causality, we analyze exogenous firm relocations and find that firms that relocate into industry clusters have higher levels of industry-information in their prices. We argue that...

We examine the response of investment to peers' stock prices. While the response to average peer-Q is typically positive, the response to prices of peer firms that are more threatening and those of industry leaders is reliably negative. The responses are more strongly negative when the prices...

Using the degree of accessibility of foreign investors to emerging stock markets, or investibility, as a proxy for the extent of foreign investments, we assess whether investibility has a significant influence on the diffusion of global market information across stocks in emerging markets. We...

Prompted by recent financial integration and increasingly regional nature of trade and investment flows, we investigate the existence and characteristics of international market-related cash flow exposures for international and domestic companies. Specifically, we study whether firm-level cash...

We show empirically that firms' investment responds to innovations in stock prices of peer firms. This response is stronger and more positive when peer firms have greater informed trading and more informative prices. We also find higher competition, faster growth, greater correlation in...