after processing the signal, at the risk that prices already reflect their information. The number of speculators who choose … testable implications for the effects of these variables on (i) the value of information, (ii) patterns in returns and trades …

the speculative term must be orthogonal to public information in real time and therefore statistically distinct from risk … yields. Furthermore, estimates of historical risk premia from the heterogeneous information model are less volatile than, and …

This paper studies the relationship between the amount of public information that stock market prices incorporate and … vectors of assets accessing multidimensional information under two alternative market structures. In the first (the … want to trade. I show that informed traders’ incentives to exploit multidimensional private information depend on the …

The paper analyzes the effects of strategic behavior by an insider in a price discovery process, akin to an information … evidence available, we find that information revelation accelerates close to the opening, that the market price does not …

reaction to information arrival and, owing to risk aversion, scale back their trading intensity. This, in turn, reduces both … risk sharing and information impounding into prices enforcing a high returns' volatility-low price informativeness …

phenomenon based on trading constraints and asymmetric information. We test our hypothesis against competing stories such as …. Finally we provide new evidence regarding crashes and the degree of information asymmetry. …