This study tests whether disclosing a trader's identity dampens or stimulates subsequent trading volume based on the trader's reputation for being informed. While a reputation for being informed makes markets less liquid, thus inhibiting subsequent trade ("illiquidity effect"), the information...

We analyze a class of dynamic games of information exchange between two players. Each agent possesses information about a binary state that is of interest to the other player and cares about the other player's actions. Preferences are additively separable over own and the other player's actions....

It is a stylized fact that trade indicator models (e.g. Madhavan, Richardson, and Roomans (1997) and Huang and Stoll (1997)) underestimate the bid-ask spread. We argue that this negative bias is due to an endogeneity problem which is caused by a negative correlation between the arrival of public...