In this paper we explore some of the consequences of greater market transparency for market performance in the presence of a strategic specialist. Although numerous studies have dealt with this issue, previous work has only considered either fully transparent or fully opaque markets. Our model...

This paper considers informed traders' trading strategy in a bear market. Known as stealth trading, one strategy of informed traders' is to use medium-size trades, thus medium-size trades tend to contain more information than small- and large-size trades and to have stronger impact on stock...

We develop a model of insider trading where agents have private information either about liquidation value or about supply, and behave strategically to maximize their profits. The presence of a supply-informed trader in the market induces non-monotonicity of market indicators with respect to the...

This paper studies information blockages and the asymmetric release of information in a security market with fixed setup costs of trading. In this setting, 'sidelined' investors may delay trading until price movements validate their private signals. Trading thereby internally generates the...

We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by speculative...

This paper studies, both theoretically and empirically, dispersion in cross-border equity holdings. We propose a rational expectations equilibrium model in which agents have information about asset specific and/or common components of stocks' payoffs. The model produces closed-form solutions for...

In their joint framework project, the FASB and the IASB recently proposed dropping stewardship as one of the objectives of financial accounting, because the Boards view stewardship and valuation usefulness as compatible sub-objectives ranking under an overall objective of decision usefulness....

We investigate the link between agency costs and equity mispricing. We find that mispricing is positively related with agency costs caused by divergent objectives between agents and owners in the presence of information asymmetry where managers discriminately have better/more information than...

Trading activity varies widely across individual corporate bond issues. Thirty-five percent of bonds do not change hands at all in the course of an average month, while some bonds see multiple transactions every trading day. This paper utilizes newly available transaction data to examine the...

This study examines the option market liquidity using Ivy DB's OptionMetrics data. We establish convincing evidence of commonality for various liquidity measures based on the bid-ask spread, volumes and price impact. The commonality remains strong even after controlling for the underlying stock...