This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

private information. This suggests that economists' inability to explain asset price movements is the result of either noise …

ordinary common stocks (NonREITs). Thus, information does not appear to move between the private and public asset markets in …

available information. Using a database of short sales combined with a database of news releases, we show that the well … valuable trading opportunities for short sellers who are skilled information processors …

of canonical models of gradual information diffusion and differences of opinion. I use a unique dataset of clicks on news … trading among investors who see the same news but disagree regarding its interpretation. Consistent with gradual information …

What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not … public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in … news. This information accounts for 49.6% of overnight idiosyncratic volatility (compared to 12.4% during trading hours …

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the …