, price impact has two components: one due to asymmetric information (as in the seminal Kyle (1985) model) and one due to …

Markets Hypothesis, greater firm-specific stock price variation reflects higher intensity firm-specific information …

This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. It … volatile stock markets, even after one controls for liquidity/maturity of the market, and the volatility of the underlying … fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is …

This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that … constitute a focal point of much market microstructure theory. Our empirical analysis is motivated by the recent lifting of …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …

This paper explores environments in which either the revelation or diffusion of information, or its incorporation into … methodology and for understanding the process by which stock prices incorporate information. Two environments are highlighted …. First, information is often not revealed in one announcement but rather through a process of gradual public revelation …

We explore the equilibrium relation between price volatility and price informativeness in financial markets, with the … volatility. We identify two different channels (noise reduction and equilibrium learning) through which changes in price … informativeness are associated with changes in price volatility. We show that when informativeness is sufficiently high (low …

In a market with symmetric information about fundamentals, can information-based trade still arise? Consider bond and … FX markets, where private information about nominal cash flows is generally absent, but participants are convinced that … superior information exists. We analyze a class of asymmetric information - inventory information - that is unrelated to …

integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant … estimators to the standard realized volatility …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross … regarding improved volatility estimation methods …