This paper presents a model of strategic behavior by a privately informed trader and liquidity traders near to the anticipated release of public signals such as earnings announcements. The private information of the informed trader is long-lived in the sense that the public signal does not...

This paper investigates how strategic trading around the time of earnings announcements affects market liquidity (e.g., bid-ask spreads). We model an investor with private information in advance of an earnings announcement (e.g., inside information). The investor trades both before and after the...