The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier research. The spread is endogenized, and two testable...

The current SEC regulation section 13(f) allows financial institutions to delay the disclosure of their quarter-end stock holdings up to 45 days. Motivated by a recent regulatory debate about the appropriate length of delay for disclosures, I develop a model to examine a financial institution's...

We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price, as...

This paper employs four established market microstructure measures on information-based trade in financial markets. A set of German mid and small caps is used to analyze potential differential information content in real estate stocks compared to other asset classes. After linking substantially...

In this paper, I relax the common assumption of the one-dimensionality of noise made in the standard noisy rational expectations framework. Within an environment characterized by multidimensional noise, I explore the strategic interactions between different traders that are informed about...

In this paper, I relax the common assumption of the one-dimensionality of noise made in the standard competitive noisy rational expectations framework. Within an environment characterized by multidimensional noise, I explore the strategic interactions between different traders that are informed...

We develop and implement a new measure of information asymmetry among traders. Our measure is based on the intuition that informed traders are more likely than uninformed traders to generate abnormal volume in options or stock markets. We formalize this intuition theoretically and compute the...

We study China's flagship option market, Shanghai Stock Exchange (SSE) 50 ETF option market, and the information content of trading volume using a proprietary dataset. We find that open buy put-call ratio, defined as put volume over the sum of put and call volumes, of financial institutional...