Harry Markowitz developed the portfolio theory model in 1952. His theory is how risk-averse
investors create optimal portfolios that maximize expected returns for a given level of risk …

The capital asset pricing model (CAPM) performs poorly overall, as market risk (beta) is
weakly related to 24-h returns. This is because stock prices behave very differently with …

We study whether firm and macroeconomic announcements that convey systematic
information generate a return premium for firms that experience information spillovers. We …

This paper develops a multi-firm equilibrium model of information acquisition based on
differences in firms' characteristics. The model shows that heightened economic uncertainty …

This study attests to the important role of US midterm elections in asset pricing, even more
important than presidential elections. In months following the midterms, equity premiums …

We present a dynamic Grossman-Stiglitz model with endogenous information acquisition to
explain the pre-FOMC announcement drift. Because FOMC announcements reveal …

One can earn well over 100% of the equity risk premium on macroeconomic announcement
days identified by the prior literature. This is a robust phenomenon present across many …

We document a large return drift around monetary policy announcements by the Federal
Open Market Committee (FOMC). Stock returns start drifting up 25 days before expansionary …

Market betas have a strong and positive relation with average stock returns on a handful of
days every year. Such unique days, defined as leading earnings announcement days …

We study subjective valuation using a comprehensive sample of 78,000 analyst reports that
contain detailed information on subjective discount rates and the entire term structure of …