This paper focuses on the impact that dispersion of opinions and asymmetric information have on turnover near releases … of public information, using the probability of information-based trading (PIN) to proxy for information asymmetry and …. Furthermore, the information contained in the time-series difference between trading around and before announcements helps to …

equity lending, collected from several custodians, from January 2004 to June 2006. This information is available weekly for …

public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher … Order Expectations (HOEs) about the two factors that influence the aggregate demand: fundamentals information and liquidity …-rely on public information, the market displays high illiquidity, and low volume of informational trading; conversely, when …

We investigate the dynamic of prices, information and expectations in a competitive, noisy, dynamic asset pricing … information with respect to optimal statistical weights. We find that prices are biased in relation to average expectations … whenever traders speculate on short-run price movements. In a market with long traders, over-reliance on public information …

We study a general static noisy rational expectations model, where investors have private information about asset … information, in relation to the usual public learning channel. When the private learning channel is strong (weak) in relation to … results enable a precise characterization of whether information acquisition decisions are strategic substitutes or …

and private values in the absence of exogenous noise. It is shown how private information yields more market power than … the levels seen with full information. Results obtained here are broadly consistent with evidence from asset auctions, may …