The purpose of this study is to explore a model in which asset prices are endogenously determined by information acquisition when investors have different prediction abilities. The authors discuss how equilibrium price and investor's demand for information are affected by investors' risk...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction costs, leverage constraints, non-competitive behavior and search. Our model has three periods: agents are identical in the first, become...

Originators produce higher quality assets at a private cost. These assets can either be bought by informed intermediaries or sold in a pool with low quality assets. Savings gluts diminish origination incentives because they compress the spread between the price paid for high quality assets and...

We present a competitive model of takeovers that explains two robust features of the data: target premia and size-dependent bidder returns. Takeovers are driven by complementarity between two factors, non-tradeable "skill" and a tradeable "project". Firms are heterogeneous in both dimensions....

We separate downloads on the SEC EDGAR database into human and machine actions by the intensity of information retrieval (Ryans, 2017). The split shows that the extent of machine downloads has risen 35 times since 2004, accounting for over 96% of total downloads as of 2016. We formally...

We investigate the effect of information uncertainty on the macroeconomicannouncement premium of the market return in addition to theeffect of fundamentals uncertainty. We show that the premium issignificant only during low information uncertainty periods, opposite to thecase of fundamentals...

We introduce a novel method to identify information networks in stock markets, which explicitly accounts for the impact of public information on investor trading decisions. We show that public information has a clear effect on the empirical investor networks' topology. Most importantly, our...