This dissertation consists of two chapters studying how news is priced in equity markets. Chapter 1 studies how earnings news becomes priced into stock returns. I use a demand system approach to show that this passthrough depends on investor responses to both earnings and prices and that these sensitivities are heterogeneous across investors. A key identification challenge is that earnings news is rapidly incorporated into prices; as a result, it is difficult to distinguish whether investors react to the earnings news itself or the concurrent price change. Using a two-step procedure to isolate price from earnings responses, I identify an average asset-weighted earnings elasticity of 3, i.e. for a stock that beats earnings expectations by 1\%, the average investor would increase his number of shares held by 3\% if prices were held fixed. These estimates vary across sectors, with most institutional investors more earnings elastic and price inelastic compared to the residual (``household") sector. The stock-level sensitivities implied by their ownership account for heterogeneous earnings passthroughs, as stocks with higher earnings sensitivity and lower price sensitivity see larger return responses from the same earnings surprise. Extremes of price and earnings elasticities are also closely related to misreaction: a strategy that bets on subsequent reversal (momentum) insensitive (insensitive) stocks in response to earnings news generates significant outperformance and alpha. These findings suggest that the pricing of earnings news is closely related to the ownership structure of stocks. Chapter 2 studies how inflation expectations affect stock returns, and what accounts for this relationship. I directly measure investors’ expectations using traded inflation-indexed contracts and show that, post-2000, stocks offer positive returns in response to higher expected inflation: unconditionally, a 10 basis point increase in 10-year breakeven inflation is associated with a 1.1% increase in the value-weighted stock index. Using a wide range of approaches, I show that this positive relationship is almost entirely due to aggregate variations in expected excess returns rather than changes in firm cash flows (e.g., due to higher mark-ups) or fluctuations in risk-free rates (e.g., due to expected monetary policy response). Overall, a risk premium ``proxy” mechanism appears to explain this dominant role of expected excess returns: higher long-term inflation expectations signal stronger future economic growth and reduced volatility.