This paper presents a simple model for dual-class stock shares, in which common shareholders receive both public and private cash flows (i.e. dividends and any private benefit of holding voting rights) and preferred shareholders only receive public cash flows (i.e. dividends). The dual-class...

We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at intervals of 30 minutes or at a daily frequency. Given the empirical and theoretical evidence that price discovery measures relate to highly persistent fundamentals, we adopt a...

We formulate a continuous-time price discovery model and investigate how the standard price discovery measures vary with respect to the sampling interval. We find that the component share measure is invariant to the sampling interval, and hence discrete-sampled prices suffice to identify the...

We show that the standard econometric framework typically yields inconsistent estimates of price discovery measures in the presence of richer market microstructure noise dynamics. We address this errors-in-variable issue using instrumental variables. We devise valid instruments for two...

Annual stress tests have become a regular part of the supervisors’ toolkit following the global financial crisis. We investigate their capital market implications in the United States by looking at price and trade reactions, information asymmetry and uncertainty indicators, and bank...

We propose a novel way to assess information processing in a complex environment of market fragmentation. We take a different angle from the price discovery literature, and investigate information processing in the stochastic process driving stock's volatility (volatility discovery). We show...

This paper investigates the dynamics of information processing for equity prices and the exchange rate of cross-listed firms. Using high-frequency data and a novel structural setting, I disentangle the effects on firm value of the exchange rate from the other determinants of a firm's cash flow....