Identifying Price Informativeness
---- Acknowledgments ----
We would like to thank Ricardo Caballero, Jennifer Carpenter, John Campbell, Ian Dew-Becker, Darrell Duffie, Emmanuel Farhi, Itay Goldstein, Joel Hasbrouck, Arvind Krishnamurthy, Ben Lester, Stephen Morris, Stefan Nagel, Guillermo Ordoñez, Michael Sockin, David Thesmar, Aleh Tsyvinski, Kathy Yuan, Wei Xiong, and Toni Whited, as well as seminar participants at SITE, Michigan Ross, and BYU for helpful comments and discussions. We are especially thankful to Alexi Savov for extended conversations on the topic of this paper, as well as for sharing code and data. Luke Min provided outstanding research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.