Regressions of information disparity and the power-law exponent.

Models (1) and (2) test the association of information disparity and economic uncertainty; Models (3) and (4) test how the power-law exponent α deviates from unity due to information disparity. Models (5) and (6) test how collective behavior changed after the Regulation FD was introduced. R takes the value unity for years after Regulation FD was introduced and zero otherwise, I is the proxy for information disparity measured by the scaled forecast dispersion of the market, E is the economic uncertainty measure from Ref. [48] and c is constant. The numbers in parentheses are t-statistics calculated from heteroskedasticity and autocorrelation consistent standard errors according to Newey and West [49]. ** and *** represent significance at 5% and 1% levels, respectively.