This paper demonstrates the multilayer structure of information in financial markets. While only 3.59% of 8,190 stock …/quarter pairs have single information layer, 75% have two to five layers and 18% have six to eight layers. We develop a clustering … algorithm which determines the number of information layers with the accuracy rates between 95% and 97% in simulated datasets …

Majluf (1984). Private information conveyed through trading activities may mitigate information asymmetry and improve capital … market efficiency. Moreover, an insider has less incentive to hide information from the market as it may be revealed through …

's incentives to tell the truth depend on the interaction between her investment horizon and the information acquisition decisions … information sharing between investors, thereby accelerating the information capitalization into market prices. Analyzing a dataset …