This paper reviews the literature examining how costs of monitoring for, acquiring, and
analyzing firm disclosures–collectively,“disclosure processing costs”–affect investor …

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 …

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …

A constraint that actions can depend on observations only through a communication
channel with finite Shannon capacity is shown to be able to play a role very similar to that of …

This paper studies how the spillovers between investor attention and green bond
performance vary across normal and extreme market conditions. Using the quantile …

This paper documents a significantly negative cross-sectional relation between left-tail risk
and future returns on individual stocks trading in the US and international countries. We …

Recent studies propose that limited investor attention causes market underreactions. This
paper directly tests this explanation by measuring the information load faced by investors …

Motivated by psychological evidence that attention is a scarce cognitive resource, we model
investors' attention allocation in learning and study the effects of this on asset-price …

We parsimoniously characterize the severity of market frictions affecting a stock using the
delay with which its price responds to information. The most delayed firms command a large …

If an investor wants to form a portfolio of risky assets and can exert effort to collect
information on the future value of these assets before he invests, which assets should he …