strongly related to required returns. This indicates that an important part of the information risk premium is related to the …

While theoretical models strongly suggest that short-sales are mainly driven by private information, recent empirical … short and compares these with regular buys and sales with regards to variation in the information contents and timing of … short-sales. We find that short-sellers have different private information than regular buyers and sellers, which seems to …

This paper investigates the information environment during and after a corporate break-up utilizing direct measures of … information asymmetry developed in the market microstructure literature. The analysis is based on all corporate break-ups in the … United States in the period 1995-2005. The results document that information asymmetry declines significantly as a result of …

momentum factor is found to contain incremental information for asset pricing. …