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 …

This paper develops a structural model to examine high-frequency price dynamics. The key innovation is to allow trades …-world data to the model. The filtered series significantly recover the efficient price innovation through the dynamics of trade …

subject to a private information problem. The asset plays the role of a medium of exchange, but this role can be affected by … information, a set of experiments with adverse selection where the terminal value of notes are determined exogenously, and a set …

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on … expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors …. Thus, investors’ average welfare is maximal when access to price information is rationed. We show that a market for price …

opinion, a finding different from the current literature that attempts to attribute option trading to information asymmetry …

investigate whether the change in the acquirer's information uncertainty contributes to acquirer wealth losses. Information … acquisitions lead to increases in information uncertainty, as proxied by analysts' earnings forecast dispersion. We also find that … the change in information uncertainty is negatively related to acquirer long-term stock performance, after controlling for …

Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns …. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only the …, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty …

recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively …

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 …

We show that aversion to risk and ambiguity leads to information inertia when investors process public news about … disappears when investors are risk neutral or the news is about idiosyncratic risk. Information inertia leads to news momentum (e …