Abstract
A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks. 

Abstract
We document that long-run excess returns following announcements of share buyback authorizations and insider purchases are a U-shape function of firm centrality in the input-output trade flow network. These results conform to a model of investors endowed with a large but finite capacity for analyzing firms. Additional links weaken insiders’ informational advantage in peripheral firms (simple firms whose cash flows depend on few economic links) provided investors’ capacity is large enough, but eventually amplify that advantage in central firms (firms with many links) due to investors’ limited capacity. These findings shed light on the sources of managerial market timing ability.  

Abstract
We study the impact of noise traders’ limited attention on financial markets. We exploit episodes of sensational news (exogenous to the market) that distract noise traders. On “distraction days”, trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those that result from the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the influence of technological changes.  

Abstract
We study the relation between mutual fund trades and mass-media coverage of stocks. We find that funds exhibit persistent differences in their propensity to buy media-covered stocks. Moreover, this propensity is negatively related to their future performance. Funds in the highest propensity decile underperform funds in the lowest propensity decile by 1.1% to 2.8% per year. These results do not extend to fund sells, likely due to funds' inability to sell short. Overall, the findings suggest that professional investors are subject to limited attention.  

Abstract
Traditional portfolio balance theory derives a downward sloping currency demand function from limited international asset substitutability. Historically, this theory enjoyed little empirical support. We provide direct evidence by examining the exchange rate effect of a major redefinition of the MSCI global equity index in 2001 and 2002. The index redefinition implied large changes in the representation of different countries in the MSCI world index and therefore produced strong exogenous equity flows by index funds. Our event study reveals that countries with a relatively increasing equity representation experienced a relative currency appreciation upon announcement of the index change. Moreover, it shows that uninformative shocks can propagate from one asset class to another. 

Abstract
We show that the production of information in financial markets is limited by the extent of risk sharing. The wider a stock's investor base, the smaller the risk borne by each shareholder and the less valuable information. A firm which expands its investor base without raising capital affects its information environment through three channels: (i) it induces incumbent shareholders to reduce their research effort as a result of improved risk sharing, (ii) it attracts potentially informed investors, and (iii) it may modify the composition of the base in terms of risk tolerance or liquidity trading. These results have implications for individual firms and the market as a whole. 

Abstract
I investigate whether changes in stock market participation costs can explain the long term increase in the number of U.S. stockholders. I separate these costs into two components, an information cost (the cost of collecting information about the market) and an entry cost (all other costs, including commissions and fees). I disentangle their general equilibrium implications in a noisy rational expectations economy. A falling information cost cannot explain the observed increase in stock market participation, unlike a falling entry cost. In addition, a falling entry cost accounts for several other features of the U.S. economy, (i) the falling equity premium, (ii) rising return variances and (iii) the boom in passive investing relative to active investing. 

Abstract
We show how an investor can form portfolios of currencies that benefit from the forward bias and that trade off risk and return optimally. Applying a mean-variance analysis under the assumption that exchange rates behave as random walks leads to portfolio weights that are stable over time without resorting to exogenous constraints on weights. Optimal currency portfolios invested in the German deutschemark, the Japanese yen, the British pound, and the Swiss franc with the U.S. dollar as the risk-free asset generate an average excess return of 2.79% per year over the period 1989 through 1999. The Sharpe ratio on these returns is better than that on a U.S. Treasury index and that on a global Treasury index (unhedged for currency risk). Moreover, the returns are uncorrelated with major fixed-income and equity indexes. These findings suggest that the methodology can provide a useful benchmark for fund managers interested in optimal currency overlays. 

Abstract
We examine the empirical behaviour of swap spreads in Germany, Britain and the US over the last five years. Swap spreads of three maturities (2-, 5-and 10-year) are considered. The movements of swap spreads are explained using the movements in credit spreads, Libor-gc spreads, the shape of the government curve and returns on equity market indices. We document evidence for a regime shift in the dynamics of swap spreads over the last 12-15 months. The level and persistence of spreads and the volatility of changes in spreads are markedly higher now.

Moreover, their sensitivity to credit spreads and the cross-country correlation in spread changes have increased significantly. An increase in investor and dealer risk aversion, the reduction in leverage of risk capital employed by relative-value hedge funds (which were typical receivers on swaps), a perception of increased risk in asset markets and increases in spread volatility induced by lower liquidity could be cited as factors that have contributed to the recent spread widening.

Euro-area swap spreads continue to remain at half the levels of their British and US counterparts. Lower credit spreads in Europe and lower Libor-gc spreads may partly explain this feature. The level of issuance of credit bonds in Europe, the risk appetite of dealers and hedge funds, the shrinking supply of Treasury securities in the US, the performance of global (especially US) equity markets and cyclical movements in the US economy relative to the European economy are likely to be the key drivers of swap spreads in the near-to-intermediate term.