Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false positive, or trading after processing the signal, at the risk that prices...

Author's abstract. We investigate the economic consequences of increasing financial report visibility, measured by the use of english as a reporting language for firms from non-English-speaking countries. We sample 113 firms that started publishing their annual report in English (in addition to...

While it is generally maintained that earnings management can occur to inform as well as to mislead, evidence that earnings management informs has been scarce, and evidence that credibility increases with signal costliness inexistent. We provide evidence that firms use discretion over financial...

Speed matters: we show that an investor's optimal trading strategy is significantly different when he observes news faster than others versus when he does not, holding the precision of his signals constant. When the investor has fast access to news, his trades are much more sensitive to news,...

In this paper we show that long run market informational inefficiency is perfectly compatible with standard rational sequential trade models. Our inefficiency result is obtained taking into account two features of actual financial markets: tradable quantities belong to a quantity grid and...

This paper introduces a model, based on the Kalman filter framework, which allows for latent factors, time varying parameters, and a general GARCH structure for the residuals, extending the Bekaert and Harvey (1997) model. With this extension it is possible to test if an emerging stock market...

In this paper, the authors test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because they act as noise traders.

This paper studies how strategic interaction between players can influence their decisions as to whether to acquire information and whether to reveal their private information to others. We show how a player can increase his utility by disclosing part of his private information, when such...

This paper provides a survey of recent changes in the market microstructure of the 5 largest European Stock Exchanges. We first provide a brief statistical overview of European equity markets. Then we discuss how the introduction of the Investment Services Directive and the development of...

This paper analyzes the impact of differences in supply of and demand for private equity financing on the performance of buyouts. Using a unique and proprietary sample of 684 buyout investments in North America and Europe, we show that buyout performance decreases when large volumes of private...