We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...

We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of employment of other firms. The model has three steady states: the low and high steady states are expectationally stable...

We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise,...

Consumers regularly seek professional advice when purchasing financial products. It is often argued that advisers should solely be compensated by consumers, as then, an adviser has no incentive to give biased advice. In our theoretical model, we show, that a fee-for-advice remuneration system...

Crowdsourced financial information platforms often allow content contributors to publish equity research anonymously. This study examines whether investors value or discount information in anonymous equity research. In the short window around research releases, we find that investors’ stock...

We develop a model of voluntary disclosure in the presence of diversely-informed investors. The manager's disclosure strategy influences trading by investors, which in turn affects the manager's incentives to disclose. We document conditions under which there exists a unique equilibrium where...

We design and administer a financial literacy test tailored to a specific defined contribution plan. We find that participants show fairly good knowledge of the basic mechanics of the plan, but are unable to differentiate among various investment options. Knowledge is particularly low among...

This article develops and implements a new test to investigate whether sell-side analysts herd around the consensus when they make stock recommendations. Our empirical results support the herding hypothesis. Stock price reactions following recommendation revisions are stronger when the new...

Recent literature documents that analyst recommendations tend to coincide with important corporate events, but offers mixed evidence on whether such recommendations have added value. In this paper, we use jump in stock price as a proxy for generic corporate “information event” and examine...

By addressing three of the most common debates surrounding indicators, this paper attempts to progress the reflection on KRIs for the financial industry. It insists on the identification of risk drivers prior to any effective risk management and suggests four types of metrics leading to...