Exploits rich transaction data to identify distraction effects among institutional investors: distracted institutions are less likely to trade and their trades perform worse, but they are not all that rational about allocating their limited attention.

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Exploits distracting news events (such as the O.J. Simpson trial) to identify the causal effect of noise trading in financial markets.

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Develops a cheap talk model to show that short investment horizons can facilitate information sharing between investors.

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Estimates and describes a realistic noise trading process to help theorists calibrate their models.

Long-short equity hedge funds resemble constrained arbitrageurs: their trades generate alpha, but positions are closed too early.

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Noise shocks due to mutual fund fire sales spill over onto close economic peers because investors wrongly interpret them as fundamental signals.

Internet Appendix.