The unmediated call auction is a useful trading mechanism to aggregate dispersed information. Its ability to … incorporate information of a single informed insider, however, is less well understood. We analyse this question by presenting a … information. The predictions of the model are tested in the laboratory. While an insider improves the call auction outcomes in …

Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the …, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably …

liquidity, which minimizes excess volatility. There are two effects when imposing a transactions tax. Both reduce excess … volatility in highly speculative markets when tax rates are small. The total tax effect then is unambiguous. However, in illiquid … markets the tax might raise volatility. …

. Markets differ in the number of insiders present and in the subset of traders who receive information about the number of … number ofinsiders, price efficiency increases gradually over time. (iv) The insiders' information is reflected in prices via …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is … differences of opinion is left, and hence volatility is decreased. …

improve informational efficiency and does not result in higher liquidity (lower transaction costs). An increase in information … intensity leads to both higher trading volume and higher volatility in both orderbook treatments. The comparison shows that they … only differ in price volatility which is higher with an open orderbook. The market results mentioned above are confirmed by …

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for … may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …

The assumption of asymmetric and incomplete information in a standard New Keynesian model creates strong incentives for … monetary policy transparency. We assume that the central bank has better information about its objectives than the private … sector, and that the private sector has better information about shocks than the central bank. Transparency has the potential …

In this paper, we employ a registry of legal insider trading for Dutch listed firms to investigate the information … insider trading is an important channel through which information flows to the market. We analyze also the impact of the … Netherlands. We show that the new regulation reduced the information content of sales by top executives. …