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 …

recent years, both in the US and in other markets. This paper also compares five different information aggregation approaches … approach outperform other approaches in capturing the return-related information. Moreover, results based on equal …

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 …

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 …

We find that single-name options trading increases the absolute level of information content of prices (stock price … volume. Our findings are through the channels of investors' acquiring more information and through managers' information … disclosure. The findings are driven by firms with higher information asymmetry and firms with more efficiently priced options …

proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and …

We examine the effects of investor disagreement on price discovery using a recurring public information event in the … condition trades on information beyond the news …

Modern information technologies have fundamentally changed how information is disseminated in financial markets. Using … the staggered implementation of the EDGAR system in 1993-1996 as a shock to information dissemination technologies, we … find evidence that internet dissemination of corporate disclosures increases information production by corporate outsiders …

recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively …