Information production is key to the efficiency of financial markets. Does selling information separately improve its production? We investigate this question using MiFID II, a European regulation that unbundles research from transactions. We show that unbundling causes fewer research analysts...

We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors. Specifically, we study the performance of time series momentum for emerging market equity index futures, fixed income swaps,...

Human capital is a key factor in value creation in the modern corporation. Yet the disclosure of investment in human capital is scant. We propose that a company's online job postings are disclosures made outside of the investor relations channel that contain forward-looking information that...

The price of Bitcoin reached its peak a mere few days after the introduction of Bitcoin futures and suffered an 80% loss in the following year. In this paper, we find a significant and negative relationship between the introduction of Bitcoin futures and Bitcoin returns, and an insignificant or...

A press conference (PC) organized by the Federal Open Market Committee (FOMC) followed half of the scheduled announcements from 2011 to 2018. We document a striking pattern in which stocks earn high excess returns on PC days that are strongly and positively related to their market betas and...

The paper shows that peer information which banks collected from previous lending plays a role in current loan pricing. I construct peer information at the bank-firm level and find that firms obtain lower loan rates when borrowing from banks that lent to more similar peers in recent periods. The...

We study the effects of social media on the informativeness of retail investor trading. Our identification strategy exploits the editorial delay between report submission and publication on Seeking Alpha, a popular crowdsourced investment research platform. We find the ability of retail order...

This paper examines how the ex ante level of public scrutiny influences a manager's subsequent decision to misreport. The conventional wisdom is that high levels of public scrutiny facilitate monitoring, suggesting a negative relation between scrutiny and misreporting. However, public scrutiny...

Lucca and Moench (2015) document large average excess returns in U.S. equities before scheduled Federal Open Market Committee (FOMC) meetings from September 1994 to March 2011, leading to a puzzle not explained by standard asset pricing theory. We extend the sample to December 2019. We find that...

The introduction of futures on Bitcoin eases the access of institutional investors to the market and offers an efficient way to short the cryptocurrency. We investigate the effect of this event on the market's price efficiency and find the Bitcoin market to turn efficient. We conduct commonly...