Asset Pricing

Demand for Information and Stock Returns: Evidence from EDGAR

This paper empirically shows that information acquisition affects stock returns by reducing firm-level information asymmetry. When firms disclose material information that was known by insiders, demand for information reduces the asymmetric …

Momentum, Echo and Predictability: Evidence from the London Stock Exchange (1820-1930)

We study momentum and its predictability within equities listed at the London Stock Exchange (1820-1930). At the time, this was the largest and most liquid stock market and it was thinly regulated, making for a good laboratory to perform …