This paper studies international equity markets when some investors have private information that is valuable for … trading in many countries simultaneously. We use a dynamic model of equity trading to show that 'global' private information …-following. We also show that trades due to private information are strongly correlated across countries: a common 'global' factor …

populations contain investors with superior information sets; and (ii) these knowledgeable investors have access to both public …

phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed …

paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we … report evidence of significant incremental information revelation in the credit default swap (CDS) market, consistent with …. Furthermore, consistent with hedging activity by informed banks with loan exposure, information revelation in the CDS market is …

. We show that elementary results in auction theory can fully account for some stylized facts on asset returns that have … assumptions underlying auction theory. …

information in the price formation process in the U.S. and Portuguese stock markets. First, and consistent with our theoretical ….S. public information affects Portuguese stock market returns, but this effect is diminished when U.S. stock market returns are … accepted. Finally, public information news in the U.S. is associated with increased liquidity, while the effect in Portugal …