This paper develops a theory of the frequency of financial analysts' forecast revisions and then tests the empirical predictions of the model. Financial analysts act as information intermediaries for firms and investors and therefore their forecast revision frequency helps explain the...

I develop a theory of optimal trading by an institutional trader who receives a parent order (i.e., an overall trading request) from a fund manager to buy a specific quantity of a particular stock over a specified time horizon. The trader selects child orders to be submitted each period over the...

We develop a model that accounts for medium-term continuation (momentum) in asset returns by analyzing information acquisition about news events (such as earnings announcements) in a multiperiod setting. As more and more agents become informed about news events, temporal uncertainty is resolved...

Finance is an inherently quantitative subject, and educators at both the undergraduate and graduate levels often struggle with finding the optimal approach that maximizes understanding and retention for their students, especially for students who are mathematically challenged.In this column, we...

SUBJECT AREAS: Term structure of interest rates; Dynamics; Treasury bills; Treasure securities; Business cycle. CASE SETTING: 1970 to present, U.S. risk-free, zero-coupon yield curves. For twenty years, the modern theory of the term structure of interest rates has been based on dynamic models of...

We analyze a competitive model in which different information signals get reflected in value at different points in time. If investors are sufficiently risk averse, we obtain an equilibrium in which all investors focus exclusively on the short-term. In addition, we show that increasing the...