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SEC Regulation Fair Disclosure, Information, and the Cost of Capital
Gomes, Armando - 2004
We empirically investigate the effects of the adoption of Regulation Fair Disclosure ( Reg FD') by the U.S. Securities … and Exchange Commission in October 2000. This rule was intended to stop the practice of selective disclosure,' in which … loss for small firms, which now face a higher cost of capital. The loss of the selective disclosure' channel for …
Persistent link: https://www.econbiz.de/10012468126
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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/10012460208
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Informed Trading and Expected Returns
Choi, James J. - 2013
Does information asymmetry affect the cross-section of expected stock returns? We explore this question using representative portfolio holdings data from the Shanghai Stock Exchange. We show that institutional investors have a strong information advantage, and that past aggressiveness of...
Persistent link: https://www.econbiz.de/10012459983
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Predatory Short Selling
Brunnermeier, Markus K. - 2013
Financial institutions may be vulnerable to predatory short selling. When the stock of a financial institution is shorted aggressively, leverage constraints imposed by short-term creditors can force the institution to liquidate long-term investments at fire sale prices. For financial...
Persistent link: https://www.econbiz.de/10012459149
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Information, Trading and Stock Returns : Lessons from Dually-Listed Securities
Chan, K.C. - 1994
This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European dually- listed stocks, Japanese dually-listed stocks also listed in London, and Japanese dually-listed stocks not listed in London with American stocks of comparable...
Persistent link: https://www.econbiz.de/10012474182
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Efficiency and the Bear : Short Sales and Markets around the World
Goetzmann, William N. - 2003
We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider whether short-sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach...
Persistent link: https://www.econbiz.de/10012469237
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The Two Faces of Information
Gaballo, Gaetano; Ordoñez, Guillermo - National Bureau of Economic Research - 2021
In absence of insurance contracts to share risk, public information is a double-edged sword. On the one hand, it empowers self-insurance as agents better react to shocks, reducing risk. On the other hand, it weakens market-insurance as common knowledge of shocks restricts trading risk. We embody...
Persistent link: https://www.econbiz.de/10012482704
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Efficiency and Welfare with Complementarities and Asymmetric Information
Angeletos, George-Marios - 2005
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/10012466845
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Herd on the Street : Informational Inefficiencies in a Market with Short-Term Speculation
Froot, Kenneth A. - 1990
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/10012475787
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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/10012461362