, price impact has two components: one due to asymmetric information (as in the seminal Kyle (1985) model) and one due to …

We develop a model of monetary policy with two key features: (i) the central bank has private information about its … long-run target for the policy rate; and (ii) the central bank is averse to bond-market volatility. In this setting … when the central bank moves more gradually. The same desire to mitigate bond-market volatility can lead the central bank to …

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

Does information asymmetry affect the cross-section of expected stock returns? We explore this question using … information advantage, and that past aggressiveness of institutional trading in a stock positively predicts institutions' future … information advantage in this stock. Sorting stocks on this predictor and controlling for other correlates of expected returns, we …

statistically and economically robust predictors of insider trading. However, this result only holds for short-lived information …. When information is long-lived, none of the measures of illiquidity I consider detect informed trading, including bid …

This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that … constitute a focal point of much market microstructure theory. Our empirical analysis is motivated by the recent lifting of …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …

This paper explores environments in which either the revelation or diffusion of information, or its incorporation into … methodology and for understanding the process by which stock prices incorporate information. Two environments are highlighted …. First, information is often not revealed in one announcement but rather through a process of gradual public revelation …

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …