Investor disagreement about public information precision can be pervasive and persistent. This paper shows that when investors agree to disagree about an observed public signal's precision, as they disagree more, informational price efficiency increases. By contrast, when investors disagree...

Using the introduction of high-speed rail (HSR) as an exogenous shock to costs of information acquisition, we show that reductions in information-acquisition costs lead to (i) a significant increase in information production, evidenced by a higher frequency of analysts visiting portfolio firms,...

Using the introduction of high-speed rail as exogenous shocks to costs of information acquisition, we show that reductions in information-acquisition costs lead to a significant increase in information production and improvement in output quality, evidenced by higher frequency of analysts...

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...

Yes. By observing return reversals following unexpected responses to noisy public signals about market-wide common factors, we show that investors in the US equity market tend to over-respond to public signals for mature firms that are relatively easy to price—old, large, and dividend-paying...

I use a new measure of investor attention and measure its affect on the returns of winner and loser portfolios over a holding period of up to 52 weeks. Whilst I do not find any relationship between Stock Information Demand and price momentum, I do find that increases in investor attention affect...

We examine information, market impact and trade sizes using a data-set of institutional trades where approximately 1/4 of the orders are labeled as having been created for cash flow purposes. We find that during the execution the functional form and scale of market impact are similar for cash...

Large investors often advertise private information at private talks or in the media. To analyse the incentives for information disclosure, I develop a two-period Kyle (1985) type model in which an informed short-horizon investor strategically discloses private information to enhance price...

We study information production and diffusion resulting from dynamic interactions between different types of informed investors in financial markets. Using a theoretical framework that exploits the setting of the Q&A section of earnings conference calls, we predict that information production...

An extensive literature shows that R&D intensities and increases are positively related to firm performance, but little research examines the valuation of R&D reductions. This paper fills the void by studying long-term performance following R&D reductions. We find that, contrary to conventional...