I show how a post-announcement drift can be generated in a model with fully rational investors who interpret public information differently. Differential interpretation of information transforms public raw information into private interpreted information. If investors recognize their limited...

Abstract This paper studies information-based manipulation in a setting where sophisticated investors have access to an independent source of information. It is shown that investors' access to independent information is crucial to support truthful announcements by the manipulator. However, even...

Abstract We study the interrelation among the post-earnings announcement drift (PEAD) and momentum short-term anomalies, and the reversal long-term anomaly. Some theories argue that PEAD and momentum are a consequence of underreaction to new information on the market. One theory in particular,...

Abstract In this paper I show how the existence of short-term trading causes a divergence between the average price and the average expectation of the fundamental value by embedding higher-order expectations –expectations of expectations of expectations...– into prices. Short-term trading...

Periods of technological revolution are usually associated with overvaluation of and over-investment by innovating firms. This paper develops a model that explains this behavior in a frictionless rational setting. When fully rational innovating firms face uncertainty about the returns to scale...

Expected Shortfall (ES) as a risk measure has several shortcomings. It does not in general reward diversification; it considers only extreme losses; and it assumes risk neutrality. We propose an alternative risk measure, the n-th order Root Lower Partial Moment (rLPM), that overcomes these and...