This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

This paper finds evidence of return predictability across economically linked firms. We test
the hypothesis that in the presence of investors subject to attention constraints, stock prices …

We parsimoniously characterize the severity of market frictions affecting a stock using the
delay with which its price responds to information. The most delayed firms command a large …

This paper examines the relation between the stock price synchronicity and analyst activity
in emerging markets. Contrary to the conventional wisdom that security analysts specialize …

This paper finds that trading volume is a significant determinant of the lead‐lag patterns
observed in stock returns. Daily and weekly returns on high volume portfolios lead returns …

Using a broad panel of NYSE-listed stocks between 1983 and 2004, we study the relation
between institutional shareholdings and the relative informational efficiency of prices …

We investigate whether the returns of industry portfolios predict stock market movements. In
the US, a significant number of industry returns, including retail, services, commercial real …

Using audit trail data for a sample of NYSE firms we show that medium-size trades are
associated with a disproportionately large cumulative stock price change relative to their …

I argue that the slow diffusion of industry information is a leading cause of the lead-lag effect
in stock returns. I find that the lead-lag effect between big firms and small firms is …

We present evidence supporting the hypothesis that due to investor specialization and
market segmentation, value‐relevant information diffuses gradually in financial markets …