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Do Prices Reveal the Presence of Informed Trading?

Collin-Dufresne, Pierre - 2012

Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D...

Persistent link: https://www.econbiz.de/10013099415

Inflation and the Informativeness of Prices

Ball, Laurence; Romer, David H. - 2021

This paper studies the welfare effects of the relative price variability arising from inflation. When agents interact … in anonymous markets, with customers buying from new suppliers each period, relative price variability benefits customers … informativeness of prices makes demand less price-elastic, thereby increasing markups. Both effects can be quantitatively significant …

Persistent link: https://www.econbiz.de/10013214577

Strategic Trading in Informationally Complex Environments

Lambert, Nicolas S. - 2015

We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of...

Persistent link: https://www.econbiz.de/10013032405

Endogenous Information Flows and the Clustering of Announcements

Acharya, Viral V. - 2010

We consider the strategic timing of information releases in a dynamic disclosure model. Because investors don't know whether or when the firm is informed, the firm will not necessarily disclose immediately. We show that bad market news can trigger the immediate release of information by firms....

Persistent link: https://www.econbiz.de/10013136743

Information Percolation in Segmented Markets

Duffie, Darrell - 2011

We calculate equilibria of dynamic double-auction markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors are segmented into groups that differ with respect to characteristics determining information...

Persistent link: https://www.econbiz.de/10013121588

Collateral, Rationing, and Government Intervention in Credit Markets

Gale, William G. - 2008

This paper analyzes the effects of government intervention in credit markets when lenders use collateral, interest, and the probability of granting a loan as potential screening devices. Equilibria with and without rationing are examined. The principal theme is that credit policies operate...

Persistent link: https://www.econbiz.de/10012774530

The Informational Content of Initial Public Offerings

Gale, Ian L. - 2007

attenuated when insiders can sell equity more than once. A model is developed in which there is price risk from holding equity …

Persistent link: https://www.econbiz.de/10012777115

Efficiency and Welfare with Complementarities and Asymmetric Information

Angeletos, George-Marios - 2006

This paper examines equilibrium and welfare in a tractable class of economies with externalities, strategic complementarity or substitutability, and incomplete information. In equilibrium, complementarity amplifies aggregate volatility by increasing the sensitivity of actions to public...

Persistent link: https://www.econbiz.de/10012783343

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

van Wincoop, Eric - 2003

Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal exchange rates. On the other hand, the recent microstructure approach to exchange rates' has shown that most exchange rate volatility at short to medium horizons is related to order flows. This...

Persistent link: https://www.econbiz.de/10012786712

Herd on the Street : Informational Inefficiencies in a Market with Short-Term Speculation

Froot, Kenneth - 2001

Standard models of informed speculation suggest that traders try to learn information that others do not have. This result implicitly relies on the assumption that speculators have long horizons, i.e, can hold the asset forever. By contrast, we show that if speculators have short horizons, they...

Persistent link: https://www.econbiz.de/10012787681

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