The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...

We investigate the impacts of the short-termism on multiple equilibria in a dynamic rational expectations equilibrium model. We find that short-termism is not the cause of equilibrium multiplicity but affects market quality of all equilibria. The liquidity, price efficiency and expected trading...

We propose a costly information acquisition model to explore the mechanism of the process from the strategies of information acquisition to price informativeness. The profit-seeking characteristics of free-access market environments hinder the transmission channel of high-precision information...

We construct a two-period Kyle model to investigate how a financial online influencer manipulates the stock market. Given that an online influencer usually has many loyal fans, he firstly places a random order in the market and transmits the order signal to his fans, and then engages in...

We propose an information production model to explore the mechanism of the process from entry barriers to market quality. Entry barriers depicted by a level of information precision, affect the interactive behavior between information producers and rational investors, thereby acting on market...

We introduce the ambiguity towards risk, defined as the variance of signals, as a source of investors’ uncertainty to supplement risk. When public signals arrive, all traders are informed, but they react diversely. We propose a piecewise optimal demand schedule for ambiguity-averse investors,...

We present a model in which an insider (i.e., manager or CEO) and an informed outsider (i.e., analyst or professional) have heterogeneous beliefs on their shared information about a risky asset and analyze the insider's incentive to voluntarily disclose this information to the public. We find...