We examine information spillover as a source of stock return synchronicity, where information about highly … not observed. This is consistent with information spillover being primarily unidirectional - flowing from prominent to … neglect stocks, but not vice versa. These findings also validate models of specialized information intermediaries in stock …

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 …

We consider a setting in which insiders have information about income that outside shareholders do not, but property … with outsiders' expectations based on publicly available information rather than true income, resulting in an observed …

that information about the backing assets - loans - not be revealed, so that bank money does not fluctuate in value …, reducing the efficiency of trade. This need for opacity conflicts with the production of information about investment projects …, needed for allocative efficiency. Intermediaries exist to hide such information, so banks select portfolios of information …

dynamic trading model, in which traders receive private information of asset value over time and trade strategically with … induces aggressive demand schedules, but fast trading allows more immediate reaction to new information. If all traders have … the same speed, the socially optimal trading frequency tends to be low for scheduled arrivals of information but high for …

, asymmetric information, imperfect competition, funding constraints, and search---and for each imperfection we address the three …

(or uncorrelated) with the asset value, then prices in large markets aggregate all available information. If liquidity … demand is negatively correlated with the asset value, then prices in large markets aggregate all information except that …

This paper proposes a theory of liquidity dynamics. Illiquidity results from asymmetric information. Observing the … historical track record teaches agents how to interpret public information and helps overcome information asymmetry. There can be … an illiquidity trap: too much asymmetric information leads to the breakdown of trade, which interrupts learning and …