“…4 Among the advantages of the HS model is evidence of gradual-information-diffusion, shown in empirical results that the information is more slowly diffused among small firms (e.g., Thomas (1989, 1990)) and firms with lower analysts' coverage (e.g., Hong et al (2000)). In addition, the heterogeneous agent model can be adapted to explain short-sale constraints (e.g., Daniel et al (2019)). However, analyzing this model would require information on the market expectations, especially newswatchers' expectations, which are, by definition, unobservable.…”