information. Over time, agents are privately informed by bids and offers. Investors are segmented into groups that differ with … respect to characteristics determining information quality, including initial information precision as well as market … "connectivity," the expected frequency of their trading opportunities. Investors with superior information sources attain strictly …

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 …

This paper studies policy in a class of economies in which information about commonly-relevant fundamentals -- such as …, the decentralized use of information can fail to be efficient either because of discrepancies between private and social … second case, inefficiency manifests itself in suboptimal social learning (low quality of information contained in …

We study the effect of releasing public information about productivity or monetary shocks when agents learn from … nominal prices. While public releases have the benefit of providing new information, they can have the cost of reducing the … informational efficiency of the price system. We show that, when agents have private information about monetary shocks, the cost can …

Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they …

complementarity or substitutability, and incomplete information. In equilibrium, complementarity amplifies aggregate volatility by … increasing the sensitivity of actions to public information; substitutability raises cross-sectional dispersion by increasing the … sensitivity to private information. To address whether these effects are undesirable from a welfare perspective, we characterize …

Standard models of informed speculation suggest that traders try to learn information that others do not have. This …, we show that if speculators have short horizons, they may herd on the same information, trying to learn what other … information that is completely unrelated to fundamentals. These equilibria are informationally inefficient …

and Titman (1993). We test one such theory--based on the gradual-information-diffusion model of Hong and Stein (1997)--and … winners. These findings are consistent with the hypothesis that firm-specific information only gradually across the investing …

are typically observed with high-frequency intradaily returns. This paper draws on the information arrival, or mixture … as the manifestation of numerous heterogeneous information arrivals, sudden bursts of volatility typically will have both …