We characterize an information cliff in the stock market: the supply of information on aggregate cash flows drops precipitously beyond a one-year horizon, and so does analyst forecast accuracy. We use a generalized state-space model to explore the …

We identify a common misconception that expected future changes in short-term interest rates predict corresponding future changes in long-term interest rates. People forecast similar shapes for the paths of short and long rates over the next four …

We analyze the impact of rating agencies' beliefs on credit markets. We measure their beliefs as the difference between their forecasts of aggregate credit spreads and the consensus. When rating agencies become more optimistic, they issue higher …

I document a robust pattern in how Treasury market participants' yield curve expectations respond to new information: forecasts for short-term rates underreact to news while forecasts for long-term rates overreact. I propose a new explanation of this …

Delegation bears an intrinsic form of uncertainty. Investors hire managers for their superior models of asset markets, but delegation outcome is uncertain precisely because managers' model is unknown to investors. We model investors' delegation …