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for helpful discussions. We are especially grateful to Jeff Strnad for providing detailed comments. The paper has benefited from truly excellent comments from an anonymous referee and the editor. We thank seminar participants at the High Frequency Data and San Diego. We also thank Philippe Mueller for tabulating some of the data and Jihong Zang for checking(More)
Do demographic patterns affect stock returns across industries? While there is a substantial literature on the impact of demographic fluctuations on aggregate stock returns (Gurdip S. is little evidence on the effect of demographics on cross-sectional returns. In this paper, we investigate this relationship. We analyze the impact of shifts in cohort sizes(More)
We provide empirical evidence that a firm's overall visibility with investors, as measured by its product market advertising, has important consequences for the stock market. Specifically we show that firms with greater advertising expenditures, ceteris paribus, have a larger number of both individual and institutional investors, and better liquidity of(More)
The real options framework has been used extensively to analyze the timing of investment under uncertainty. While standard real options models assume that agents possess a constant rate of time preference, there is substantial evidence that agents are very impatient about choices in the short-term, but are quite patient when choosing between long-term(More)
  • Alex Chinco, Chris Mayer, Daniel Hubbard, Laura Vincent, James Witkin, Moshe Cohen +6 others
  • 2012
We investigate the role of out of town second house buyers (so-called " distant speculators ") in bubble formation during the recent housing boom. Distant speculators are likely to have an excessive reliance on capital gains for financial returns and be less informed about local market conditions much like noise traders in many financial models. Using(More)
Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D filers trade aggressively, both high-frequency and low-frequency(More)
We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is mean-reverting, then the equilibrium price follows a multivariate(More)