Many stock exchanges implement advanced procedures toward preventing manipulative orders from distorting informative price discovery during preopening sessions. Often, such sessions involve both the stock and options markets, with book-based indicative stock prices and traded index options,...

This study shows that uncertainty about information does not strengthen momentum. If the behavioral models hold, and if uncertainty about information causes high-volatility momentum strategies to outperform low-volatility strategies, then this relation must hold on a relative level. Momentum...

Adding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well defined law of demand for financial information when asset return distributions are conjugate priors to signals such as in the gamma-Poisson case. Signals have a positive marginal...