I introduce a method for gauging the qualitative similarity of firm-specific information based on linguistic commonality in newswire text. I show that this new qualitative similarity measure predicts future cross-firm return correlation even after accounting for the pair's contemporaneous price...

In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...

We study volume-return dynamics using a framework in which information flows are endogenously determined and linked to a firm's investment activities. The framework generates time-varying differences of opinion (across investor types) and trading volume, especially when a firm receives...

We propose an information-based theory to explain time variation in liquidity and link it to a variety of patterns in asset markets. In "normal times," the market is fully liquid and gains from trade are realized immediately. However, the equilibrium also involves periods during which liquidity...

This paper identifies an important source of variation in U.S. firms' material information flows: their SEC current report filing frequency. Exploiting cross-sectional variation in this novel proxy for information intensity, this paper finds that firms with higher information intensity...

This paper shows that firms talking less about the future in their annual reports generate positive abnormal returns of about 5% annually. I measure how much companies talk about the future in their annual 10-K reports by the frequency of the verbs will, shall, and going to. The evidence favors...

This paper shows that a largely-ignored source of commonality - correlated errors in news about fundamentals - is an important, rational determinant of excess comovement. Individual analysts' forecast errors tend to be correlated across stocks. Using a proxy for correlated forecast errors based...

Using the split-share structure reform in China as a quasi-natural experiment, we examine the effect of stock liquidity on investment efficiency. Consistent with feedback and incentive theories, investment efficiency increases after the reform but only for under-investing firms. Higher stock...

There is a continuum of agents, each of whom trades a divisible asset via demand function competition. Individual valuations are determined by multiple idiosyncratic and common shocks, regarding which the agent observes multi-dimensional signals. The only assumptions are that the signals are...

We use clickstream data to show that investors' demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting...