We study institutional investor attention using daily internet news reading. We measure fund-level attention to both aggregate and firm-specific information and relate it to portfolio allocation decisions. During economic downturns, funds shift their attention from firm-specific news toward...

Opinions (δόξα, doxa) have always had a generally disfavored status in philosophy and science. However, in the financial markets, contradictory opinions generate an arrangement of opinions (doxotaxy) which can mathematically be defined by analytical functions and vector geometry. Information...

This paper shows a strong link between granular information contained in individual stock prices and sectoral movements. Based on high-frequency data, we find that a simple LASSO predictor that aggregates high-frequency price movements of a broad universe of individual stocks predicts sector ETF...

This paper attempts to develop a theory of statistical equilibrium based on an entropy-constrained framework, that allow us to explain the distribution of stock returns overdi erent market trends. By making use of the Quantal Response Statistical Equilib-rium model (Scharfenaker and Foley,...

We show that financial reporting spurs consumer behavior. Using granular GPS data, we show that foot-traffic to firms’ commerce locations significantly increases in the days following their earnings announcements. Foot-traffic increases more for announcements with extreme earnings surprises,...

Using the minute-frequency data of the top 30 coins listed on Binance, which represent 86% of the total dollar trading volume of the cryptocurrency market, we document strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant...

We examine the relationship between investor attention, and measures of uncertainty, with the market dynamics of Bitcoin, and other cryptocurrencies. We find that increases in investor attention are associated with higher returns, more volatility, and greater illiquidity in cryptocurrency...

Using data from a decade of surveys of corporate managers, I find evidence that firms with higher expected stock returns have a higher perceived cost of equity and use higher discount rates in capital budgeting. Variation in expected stock returns, as measured by exposure to equity risk factors,...

This paper uses a novel and direct retail investor attention proxy and provide evidence that retail investor attention is important for information efficiency around earnings announcements. The main finding is the presence of asymmetric patterns in subsequent responses to earnings surprises when...

We propose a behavioral dividend clientele view to explain a unique “ex-dividend day” anomaly on the Chinese stock market. In particular, we find that on the ex-dividend day, the average CAPM-adjusted stock return is significantly below zero and the average trading volume significantly...