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

We study the influence of financial innovation by fintech brokerages on individual investors'
trading and stock prices. Using data from Robinhood, we find that Robinhood investors …

The purpose of this study is to identify the key aspects that have been studied in the area of
stock market liquidity, accumulate their important findings, and also provide a quantitative …

Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine
the activity of a common ELP type—high frequency traders (HFTs)—around extreme price …

Prior literature documents that both earnings announcements and management earnings
forecasts increase information asymmetry at announcement. In contrast, we predict and …

ABSTRACT A contrast effect occurs when the value of a previously observed signal
inversely biases perception of the next signal. We present the first evidence that contrast …

Using the Chinese stock market data, we test the hypothesis that cognitive dissonance
influences the stock market response to earnings news. Supporting this notion, we find that …

Purpose The purpose of this paper is to review the insights provided by behavioral finance
studies conducted in the last decade (2006-2015) examining behavioral variables in …

We develop real-time proxies of retail corporate sales from multiple sources, including∼ 50
million mobile devices. These measures contain information from both the earnings quarter …

Stock and options markets can disagree about a stock's value because of informed trading
in options and/or price pressure in the stock. The predictability of stock returns based on this …