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 …

Government agencies routinely allow pre-release access to information to accredited news agencies under embargo … subsequent policy surprises and contain information that predicts the market reaction to the policy announcements. The estimated …

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 …

We propose a joint theory of time-series momentum and reversal based on a rational-expectations model. We show that a … necessary condition for momentum to arise in this framework is that information flows at an increasing rate. We focus on word …

a dynamic heterogeneous agents model featuring overconfidence and slow information diffusion which is able to both …

asset's value upon observing the price, but only when the price clearly reveals that others obtained private information … that differs from their own private information. In particular, we assume that investors learn from the price of an asset … in an asymmetric manner--they learn from the price if they observe good (bad) private information and the price is worse …

local relative to non-local investors, to measure local information advantages. An increase in this measure predicts higher …-adjustment models. And double-sorted analysis suggests that ARA imposes a much stronger influence on firms with worse information …

Using several measures of information share, we examine price discovery across the inter-dealer and dealer …-customer market tiers in the currencies market. In the spot market, the information share of the inter-dealer tier is higher than that … investors' sell trades. In the forward market, the dealer-customer tier generally has the greater information share at the …

rational expectations model consistent with this observation. An infinity of agents possess dispersed information about future … dividends and trade in centralized markets. Information is processed, transmitted, and aggregated in two ways: (i) agents meet … randomly and exchange information through word-of-mouth communication, and (ii) the price aggregates information through the …