phenomenon arising from horizon-induced clientele equilibrium as well as information discovery. Specifically, we employ arguments … from models of liquidity concentration and benchmark security information. After examining time series behavior of price … errors against our fitted model, we find results consistent with both the horizon and information hypotheses. Our evidence …

Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how … liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price … enhanced when conditioning on trading liquidity. It reduces information asymmetry in the sense of Easley and O’Hara (2004) and …

We analyze in this study investor trading behavior based not on information related assumptions but on the search model …

We analyze in this study what could have caused herding in the stock market. Information cascades have often been … prediction of the information cascade hypothesis. Information cascade effect, if any, is actually stronger near market close than … rather than information related factors. …