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

Using over 5,000 trades unequivocally based on nonpublic information about firm
fundamentals, we find that asymmetric information proxies display abnormal values on days …

We propose and estimate a model of endogenous informed trading that is a hybrid of the
PIN and Kyle models. When an informed trader trades optimally, both returns and order …

Extensive evidence suggests that managers strategically choose the complexity of their
descriptive disclosures. However, their motives in doing so appear mixed, as complex …

We study theoretically how the proliferation of new data (“data abundance”) affects the
allocation of capital between quantitative and nonquantitative asset managers (“data …

We allow a strategic trader to choose when to acquire information about an asset's payoff,
instead of endowing her with it. When the trader dynamically controls the precision of a flow …

I model a financial market in which traders acquire private information through time-
consuming research. A time cost of information arises due to competition–through the …

We study the effects of policies proposed to address “short-termism” in financial markets. We
examine a noisy rational expectations model in which investors' exposures and information …

Unusual events trigger persistent spikes in uncertainty. Standard models cannot match
these dynamic patterns. This paper presents a unified framework, motivated by the literature …

We propose a generalized continuous-time insider trading model, building upon the
frameworks of Caldentey and Stacchetti (2010) and Collin-Dufresne and Fos (2016), with a …