information. Over time, agents are privately informed by bids and offers. Investors are segmented into groups that differ with … respect to characteristics determining information quality, including initial information precision as well as market … "connectivity," the expected frequency of their trading opportunities. Investors with superior information sources attain strictly …

exchange, we identify information leakage from short sellers. Our identification strategy explores trading execution mismatches … and leak that information to their clients. We find evidence that the information leakage is intentional and that brokers …

We consider the strategic timing of information releases in a dynamic disclosure model. Because investors don't know … trigger the immediate release of information by firms. Conversely, good market news slows the release of information by firms … preemptively disclose their own information prior to the arrival of external information. These results have implications for …

This paper studies policy in a class of economies in which information about commonly-relevant fundamentals -- such as …, the decentralized use of information can fail to be efficient either because of discrepancies between private and social … second case, inefficiency manifests itself in suboptimal social learning (low quality of information contained in …

We study the effect of releasing public information about productivity or monetary shocks when agents learn from … nominal prices. While public releases have the benefit of providing new information, they can have the cost of reducing the … informational efficiency of the price system. We show that, when agents have private information about monetary shocks, the cost can …