This paper explores the long-standing empirical fact of increased trading volume around news releases through the lens of canonical models of gradual information diffusion and differences of opinion. I use a unique dataset of clicks on news by key finance professionals to distinguish between...

We develop a continuous-time asset price model to capture short-run momentum and long-run reversal. By studying a dynamic asset allocation problem, we derive the optimal investment strategy in closed form and show that the combined momentum and reversal strategies are optimal. We then estimate...

One of the most important administrative features of the nation's tax system involves the issuance of information returns (such as Form W-2s and Form 1099s). Most studies indicate that such returns are pivotal in causing taxpayers to be forthright in their reporting practices. These same studies...