Volatility and Informativeness
---- Acknowledgments ----
We would like to thank Fernando Álvarez, Yakov Amihud, Marios Angeletos, Dirk Bergemann, Bruno Biais, John Campbell, Jennifer Carpenter, Olivier Darmouni, Ian Dew-Becker, Maryam Farboodi, Xavier Gabaix, Itay Goldstein, Piero Gottardi, Joel Hasbrouck, Zhiguo He, Ralph Koijen, Hanno Lustig, Stephen Morris, Thomas Philippon, Tano Santos, Alexi Savov, Alp Simsek, Aleh Tsyvinski, Felipe Varas, Laura Veldkamp, Xavier Vives, Brian Weller, Wei Xiong, Liyan Yang, and Haoxiang Zhu for helpful comments and discussions. We would also like to thank seminar participants at NYU Stern, Yale Finance Junior Conference, Columbia Finance Junior Conference, MIT Sloan, Harvard, Northwestern Kellogg, and the NBER Asset Pricing Meeting. Luke Min and Josh Mohanty provided exceptional 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.