Using a structural market microstructure model, we develop a new measure of price informativeness that utilizes data on both price and volume, which we call the INF measure. We show that, compared to traditional measures, our measure is better at capturing information in prices, evidenced by...

We construct a comprehensive dataset of 3,890 analyst days, which are firm-hosted gatherings where information is disclosed to equity analysts and institutional investors. We demonstrate that firms holding these events have significantly higher abnormal returns after these events, despite the...