We consider a multi-period rational expectations model in which risk-averse investors differ in their information on … expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors …. Thus, investors' average welfare is maximal when access to price information is rationed. We show that a market for price …

the potential degree of disclosure. Having access to all relevant trading information, we provide evidence that … transaction cost measures that use dealer specific information such as trader identity and trade direction can be efficiently … proxied by measures that use less detailed information. This finding is important for all market participants in the context …

, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical …

significant results, which are more consistent than the ones produced by the market sentiment factor. The joint use of information …

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three …

viceversa. These findings are consistent with local investors having an information-processing advantage. …