Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...

Rumors can be classified into two types, according to whether they can credibly predict impending events or not. The analysis of takeover rumors of publically traded US companies from 1990 to 2008 shows that these two types of rumors can be statistically distinguished by returns of rumored...

Rumors can be classified into two types, according to whether they can credibly predict impending events or not. The analysis of takeover rumors of publicly traded US companies from 1990 to 2008 shows that these two types of rumors can be statistically distinguished by returns of rumored...

Certification by online analysts and early investors can generate excitement among potential token investors, leading to successful initial coin offerings (ICOs). We test the general notion of "wisdom of crowds" using novel data on nearly 3,400 ICOs, including sequential investor subscriptions...

We develop a model where insiders' decision to manipulate earnings is linked both to their stake and to corporate governance. We show how earnings manipulation affects analysts' forecasts and institutional trading. More precisely, whenever there is “excessive” earnings manipulation, we...

Short rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.31%, a net-of-fees return of 0.78%, and a 1.44%...

We identify all return leader-follower pairs among individual stocks using Granger causality regressions. Thus-identified leaders can reliably predict their followers' returns out of sample, and the return predictability works at the level of individual stocks rather than industries. Our results...

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 50 to 85...

Shiller (1981) and others have shown that the quantitative predictions of the REH present-value model are inconsistent with time-series data on stock prices and dividends. In this paper, we assess the empirical relevance of the model without explicitly representing how a rational market...