Because theories in finance rely critically on what agents know, designing powerful tests of these theories requires measuring information transmission. In this review, I characterize the rapidly growing subfield directly analyzing information in financial markets. Its three hallmarks are the...

Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared to premiums in listed markets, the OTC illiquidity...

We decompose the returns of five well-known anomalies into cash flow and discount rate news. Common patterns emerge across the five factor portfolios and their mean-variance efficient (MVE) combination. Whereas discount rate news predominates in market returns, systematic cash flow news drives...

I propose and test a simple model of the equity premium implied by the prices of options on the stock market. The model's main assumption is the absence of arbitrage in stock and option markets. Its forecasts of the equity premium are more accurate than those in prior work, especially when...

Regulation of the use of cellular phones by individuals while driving is now commonplace outside the United States and has been proposed in a number of jurisdictions in the United States. There is growing concern that using cellular phones while driving leads to increases in accidents and...

This chapter reviews and synthesizes a rapidly growing subfield that analyzes the relation between media and financial markets. Research in this area identifies novel data sources, such as newspaper articles, Internet search queries, and posts on social networks, and employs inventive empirical...

In response to the increasing impact of regulation, several governments have introduced economic analysis as a way of trying to improve regulatory policy. This paper provides a comprehensive assessment of government-supported economic analysis of regulation. We find that there is growing...