My empirical work in behavioral finance studies how stock prices respond to information that they should not (e.g. soccer results, strategically timed news releases) and do not respond to information that they should (e.g. intangible assets). My theoretical work shows why arbitrage may be limited, allowing mispricings to persist.
Theory:
- Limits to arbitrage (Edmans, Goldstein, Jiang AER 2015)
Empirics
- Market responds to shocks to sentiment (Edmans, Garcia, Norli JF 2007)
- A big-data measure of sentiment is associated with market returns (Edmans, Fernandez-Perez, Garel, Indriawan JFE forthcoming)
- Market does not fully value intangibles
- CEOs strategically time news releases (Edmans, Goncalves-Pinto, Groen-Xu, Wang RFS 2018)