their negative effects on market quality persist and such effects are more severe when HFTs have more heterogeneous speeds … reduces the negative impact of HFTs on market quality and (2) randomizing the sequence of order execution can degrade market … quality when the randomizing interval is short. Consistent with empirical findings, a small number of HFTs can generate a …

. In addition, stock prices are partly driven by noise, and therefore negatively predict returns on announcement days when … noise is revealed and the market corrects itself …

, prices, endogenous and public. Prices aggregate private information but include aggregate noise. Information can accumulate …

portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify … conditions under which signaling at the portfolio level dominates signaling at the single asset level. In particular, when banks …

at odds with rational behavior. Differences in information quality in combination with asymmetric information lead to an … mimicked by access to the realization of a certain signal including its quality, as well as in an environment in which signal … quality is the only source of information asymmetry. Both scenarios support price patterns like momentum and reversal in a …

private sector, impairing the stabilizing effects of the policy. Using a theoretical model, we show that these signaling … identify fiscal news with different degrees of signaling effects and find that such effects weaken or, in extreme cases, even …