We show evidence that consistent with category-learning behavior, investors allocate more attention to macroeconomic news than to firm-specific news, such as earnings announcements. Despite the distracting effect of macroeconomic news on investor attention, we find that earnings announcements...

This study examines the concentration of active mutual fund managers' research efforts toward information-intense stocks and the degree to which they are successful in such efforts. Using the contribution of jumps to stock return variance as a proxy for information intensity, we find that both...

In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily unbiased. We provide empirical evidence that individual daily...

One of the contentious issues regarding the post-earnings announcement drift (PEAD) is whether the abnormal stock return is driven by investors' delayed reaction to earnings information or by unexpected information shocks subsequent to earnings announcement. In this paper, we disentangle...

We examine the effect of single-stock futures (SSFs) trading on the price discovery and market quality of underlying stocks during the 2008 short-selling ban. We find a significant increase in SSFs trading volume for banned stocks during the ban period. We show that the contribution of SSFs...

We argue that active fund managers can pick stocks only when the market presents such opportunities. We propose measures of stock selection opportunity and show evidence that a significant portion of mutual funds time stock selection, i.e., trading more when stock selection opportunities are...

Given the unique institutional setting in the Chinese stock market, we investigate the effect of analyst activity on the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock returns is more pronounced in stocks without analyst...

Given the unique institutional setting in the Chinese stock market, we investigate the effect of analyst activity on the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock returns is more pronounced in stocks without analyst...

Given the unique institutional setting and the role of analysts in the Chinese stock markets, we investigate the effect of analyst activities on idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock returns is more pronounced in the...