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 …

This paper investigates the speed of price discovery when information becomes publicly available but requires costly …) protocols. Public blockchain data provides the precise time a hack's transactions are recorded - becoming public information … isolate the price impact occurring during the interval characterized by information asymmetry driven purely by differential …

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 …

We develop a return variance decomposition model to separate the role of different types of information and noise in … stock price movements. We disentangle four components: market-wide information, private firm-specific information revealed … through trading, firm-specific information revealed through public sources, and noise. Overall, 31% of the return variance is …

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 …

We show that hedge funds gain an information advantage from their prime broker banks regarding the banks' corporate … high revenue potential for prime broker banks. These informed trades appear to be based on information not just about the … analysts inside the banks are one potential conduit of information transfer …