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

We survey the recent literature on learning in financial markets. Our main theme is that many
financial market phenomena that appear puzzling at first sight are easier to understand once …

As environmental, social, and governance (ESG) factors become increasingly important in
the business sector, investors pay more attention to corporate ESG information. Integrating …

This paper explores the impact of investor flows and financial market conditions on returns in
crude oil futures markets. I argue that informational frictions and the associated speculative …

Household financial decisions are complex, interdependent, and heterogeneous, and
central to the functioning of the financial system. We present an overview of the rapidly …

This paper identifies observable firm-specific attributes that drive momentum. We find that a
firm's revenues, costs, and growth options combine to determine the dynamics of its return …

The empirical evidence on investor disagreement and trading volume is difficult to reconcile
in standard rational expectations models. We develop a dynamic model in which investors …

In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a
welcoming introduction to and a comprehensive overview of asset pricing. Useful as a …

The article develops a dynamic model that nests the rational expectations (RE) and
differences of opinion (DO) approaches to study how investors use prices to update their …

We build an equilibrium model to explain why stock return predictability concentrates in bad
times. The key feature is that investors use different forecasting models, and hence assess …