This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

We use a user-cost model to study how dispersed information among housing marketparticipants a¤ects the equilibrium … speculate onprice changes. Information dispersion leads agents to have heterogeneous expectationsabout housing demand and prices …

This paper develops a structural model to examine high-frequency price dynamics. The key innovation is to allow trades …-world data to the model. The filtered series significantly recover the efficient price innovation through the dynamics of trade …

Extreme adverse selection arises when private information has unboundedsupport, and market breakdown occurs when no … support of private information converges to an unboundedsupport. A necessary and sufficient condition for market breakdown is …

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on … expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors …. Thus, investors' average welfare is maximal when access to price information is rationed. We show that a market for price …

subject to a private information problem. The asset plays the role of a medium of exchange, but this role can be affected by … information, a set of experiments with adverse selection where the terminal value of notes are determined exogenously, and a set …