No News is News: Do Markets Underreact to Nothing?
---- Acknowledgements ----
We thank Mark Mitchell and Todd Pulvino for their detailed comments and generosity in sharing data. We also thank Vikas Agarwal, Shane Corwin, and Narayan Naik for their generosity in sharing data. We are grateful for comments from John Cochrane, Shane Corwin, Scott Davis, Ben Golez, David Hirshleifer, Steve Kaplan, Bryan Kelly, Charles Lee, Mike Lemmon, David McLean, Toby Moskowitz, Lubos Pastor, Michael Roberts, Noah Stoffman, Dick Thaler, Pietro Veronesi, and Rob Vishny. We thank Keith Henwood and Menaka Hampole for excellent research assistance. We thank seminar participants at U Chicago, FRA, INSEAD, Jackson Hole, Miami Behavioral, NBER Behavioral, Norwegian School of Economics, TAU, UBC, UNC Roundtable, USC, UT Dallas, Wash U, CITE, and Utah Winter Finance Conference. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.