order book model. We find that while the presence of HFT always improves market quality under symmetric information, under … asymmetric information this is the case only if competition between high-frequency traders is sufficiently strong. While HFT does …

equilibrium. The latter reveals the minimal possible amount of information and is highly inefficient: In this equilibrium, Arrow …-Debreu state prices are not sufficient to recover the information contained in the noisy aggregate demand and supply. My results …

dealers who were contacted by the investor use this information in the interdealer market. Increasing the number of contacted … dealers lowers markups through competition but increases the dealers' costs of providing the asset through information leakage …

How does private information get incorporated into option prices? To study this question, I develop a non-linear, noisy … rational expectations equilibrium model with asymmetric information and a full menu of call and put options available for … aversion (CARA) and non-CARA preferences due to feedback effects between wealth, price discovery, and private information …

conditional on the measure are highly profitable. For instance, when the measure indicates positive(negative) information, out …

acquire information and contribute to increased mar- ket efficiency. A “reform” introducing post-trade transparency leads … these professional investors to acquire less information and, then, to trade less, contributing to less price discovery …. This information crowding-out may be so strong to neutralize the generally positive effects related to public disclosure or …

that information about the track record of analysts and their potentially conflicting activities is valuable to investors …

, implies inefficient use of the information contained in analysts' outputs. Further, the post-earnings announcement drift (PEAD …) phenomenon occurs only when high-quality analysts are more uncertain about the firm's performance than all analysts following the …

performance. Heavily-shorted IPOs underperform lightly-shorted IPOs by a risk-adjusted average of 22.68% annualized return …

earnings management as a way for firms to convey private information, or simply as a neutral feature of financial reporting? We …