Recent work uses option prices to derive lower bounds for the risk premia of the market portfolio and individual stocks. We test the bounds conditionally. We cannot reject that they are valid, but we do reject that they are tight. Using the market bounds as forecasts appears unreasonable in many cases due to their high slackness. Adding past mean slackness is a potential improvement but is hampered by the brevity of the available data series. The correlation of the stock bounds with subsequent returns stems primarily from the time series rather than the cross section.

I show that investment advisers disseminate valuable information about stocks on their Twitter accounts. A one standard deviation increase in the sentiment of their tweets predicts a 12 bps increase in abnormal returns over the next week. Advisers’ tweets interpret public news, especially analyst revisions and earnings announcements, and also disclose novel information. Furthermore, advisers can identify which recent trends in stock prices are overreactions. Advisers offering financial planning services post more informative tweets. Moreover, retail investors trade in the direction of tweets over the following week.

We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may disclose high values, lifting investors’ perceptions of the values of nondisclosing firms. Risk premia rise (and average prices fall) prior to disclosures, because investors make inferences about aggregate risks from failures to disclose, resulting in higher state prices for bad states.

The wealth share of direct investors is priced in the cross-section of stocks and bonds. This is consistent with a theoretical model that expands the intermediary asset pricing model of He and Krishnamurthy (2013) to include households’ direct investment. Using total assets of mutual funds as a proxy for direct investment, I show that a portfolio mimicking my proxy for the share of direct investment has a price of -0.9% to -2.0% annually. My factor has explanatory power even in a two-factor model that also includes the intermediary capital ratio factor of He, Kelly, and Manela (2017).