Cespa, Giovanni; Vives, Xavier - Centro Studi di Economia e Finanza (CSEF) - 2014
claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and … find that prices reect average expectations about fundamentals and liquidity trading. Informed investors engage in … of liquidity, volatility, and informational efficiency. We derive implications that explain market anomalies as well as …