Essays in Asset Pricing

How does information flow through financial markets, and how does heterogeneity among market participants shape the prices we observe? These questions are central to our understanding of price discovery and risk premia, and this dissertation contains three chapters, each approaching these questions from a different angle. The first chapter studies how disagreement among professional forecasters affects the price impact of macroeconomic announcements and shows that the relationship between dispersion and market reactions depends critically on the composition of the forecaster pool, in particular the share of experienced analysts. The second chapter identifies the type of macroeconomic news that commands an equity premium, demonstrating that investors demand compensation primarily for discount rate news rather than cash flow news. The third chapter examines investor behavior around bad market days, showing that fund flows respond asymmetrically to manager performance and that outperformance on bad days reflects a specialized and persistent form of skill. Together, the three chapters shed new light on how information shapes investor expectations and asset prices across different dimensions of the information environment.