The gradual information diffusion hypothesis (GIDH) suggests that information flows slowly across investors and asset markets and thus generates return predictability. We examine cross-asset return predictability of FX market strategies. Apply the GIDH to empirically investigate the role of...

Using Google’s recently introduced COVID-19 Community Mobility Reports, we test the effects of stay-at-home activity on the US stock market outcomes. We argue that shocks to residential and workplaces mobility reflect stay-at-home activity and capture shocks to retail investor inattention and...

Using Google’s recently introduced COVID-19 Community Mobility Reports, we test the effects of stay-at-home activity on the US stock market outcomes. We argue that shocks to residential and workplaces mobility reflect stay-at-home activity and capture shocks to retail investor inattention and...